Short Put Calendar

Volatility

Inverse put calendar position.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+435.9%0.20+232.2%+57.9%+22.9%19
QQQ+527.1%0.23+299.2%+68.4%+27.7%19
IWM+406.8%0.20+335.9%+63.2%+21.4%19
DIA+12.2%0.01+213.0%+63.2%+0.6%19
Avg+345.5%0.16+270.1%+63.2%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
If vol contracts and path suits
Max Loss
Potentially large
Breakeven
Dynamic
Outlook
Short volatility

Parameters

ParameterDefaultDescription
term_structure45/90 DTEShort/long tenors

Methodology

Short vega setup opposite long put calendar.

Implementation

# -P(K,T_long) + P(K,T_short)