Short Call Diagonal

Volatility

Inverse call diagonal.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY-769.7%-0.98+760.9%+15.8%-40.5%19
QQQ-750.3%-0.89+771.5%+26.3%-39.5%19
IWM-756.6%-0.82+705.1%+26.3%-39.8%19
DIA-850.9%-0.92+830.8%+15.8%-44.8%19
Avg-781.9%-0.90+767.1%+21.1%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
From adverse move to long diag
Max Loss
Potentially large
Breakeven
Dynamic
Outlook
Short vol / bearish bias

Parameters

ParameterDefaultDescription
strike_skewATM/OTMLong lower strike, short higher strike

Methodology

Opposite of long call diagonal with short convexity profile.

Implementation

# -C(K1,T_long) + C(K2,T_short)