Inverse of long call butterfly.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -1422.0% | -2.13 | +1323.9% | +0.0% | -74.8% | 19 |
| QQQ | -1306.6% | -2.21 | +1205.8% | +0.0% | -68.8% | 19 |
| IWM | -1436.3% | -1.79 | +1392.1% | +5.3% | -75.6% | 19 |
| DIA | -986.2% | -1.58 | +952.1% | +5.3% | -51.9% | 19 |
| Avg | -1287.8% | -1.93 | +1218.5% | +2.6% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| body_strike | ATM | Middle strike |
A credit structure that benefits from large movement away from the middle strike.
# -C(K1) + 2C(K2) - C(K3)