Short Put Butterfly

Volatility

Inverse of long put butterfly.

Performance across all datasets

Symbol	Return %	Sharpe	Max DD %	Win %	Avg/trade %	Trades
SPY	-1208.4%	-2.53	+1143.5%	+0.0%	-63.6%	19
QQQ	-1206.9%	-1.81	+1066.3%	+0.0%	-63.5%	19
IWM	-1236.9%	-1.74	+1192.8%	+0.0%	-65.1%	19
DIA	-1026.1%	-2.23	+992.0%	+0.0%	-54.0%	19
Avg	-1169.6%	-2.08	+1098.6%	+0.0%	—	19

Cumulative P&L % — all symbols

Detail:

Cumulative P&L % — SPY

Risk Profile

Max Profit

Net credit

Max Loss

At middle strike

Breakeven

Around body strike

Outlook

Long volatility

Parameters

Parameter	Default	Description
body_strike	ATM	Middle strike

Methodology

A credit setup that gains when expiry moves away from center.

Implementation

# -P(K3) + 2P(K2) - P(K1)