Short Call Diagonal

Volatility

Inverse call diagonal.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY-970.5%-0.79+934.1%+15.8%-51.1%19
QQQ-859.1%-0.59+952.3%+31.6%-45.2%19
IWM-794.9%-0.47+936.6%+42.1%-41.8%19
DIA-896.9%-0.80+799.2%+21.1%-47.2%19
Avg-880.3%-0.66+905.6%+27.6%—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)