Inverse call calendar position.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -868.7% | -0.91 | +837.7% | +15.8% | -45.7% | 19 |
| QQQ | -988.6% | -1.12 | +925.4% | +10.5% | -52.0% | 19 |
| IWM | -713.4% | -0.71 | +640.7% | +26.3% | -37.5% | 19 |
| DIA | -688.5% | -0.69 | +665.9% | +21.1% | -36.2% | 19 |
| Avg | -814.8% | -0.86 | +767.4% | +18.4% | — | 19 |
What this shows: Overlayed cumulative return series for this strategy across all available symbols.
How to read it: Look for symbols with smoother curves and faster recoveries to assess whether performance is broad-based or driven by a few outliers.
What this shows: Single-symbol cumulative return path for SPY.
How to read it: Use this detailed view to inspect entry/exit behavior over time and whether drawdowns cluster in specific periods.
| Parameter | Default | Description |
|---|---|---|
| term_structure | 45/90 DTE | Short/long tenors |
Short vega expression that favors realized movement away from strike and lower vol.
# -C(K,T_long) + C(K,T_short)