Short Put Butterfly

Volatility

Inverse of long put butterfly.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY-907.7%-1.32+815.4%+0.0%-47.8%19
QQQ-636.1%-1.06+571.6%+0.0%-33.5%19
IWM-366.1%-0.54+386.7%+26.3%-19.3%19
DIA-797.9%-1.13+772.4%+5.3%-42.0%19
Avg-676.9%-1.01+636.5%+7.9%—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

ParameterDefaultDescription
body_strikeATMMiddle strike

Methodology

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

Implementation

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