Inverse of long call butterfly.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -841.2% | -1.07 | +776.8% | +21.1% | -44.3% | 19 |
| QQQ | -656.0% | -0.97 | +649.5% | +15.8% | -34.5% | 19 |
| IWM | -399.3% | -0.59 | +369.3% | +15.8% | -21.0% | 19 |
| DIA | -887.6% | -1.37 | +862.1% | +5.3% | -46.7% | 19 |
| Avg | -696.0% | -1.00 | +664.4% | +14.5% | — | 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)