Inverse put calendar position.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -1204.8% | -0.90 | +1161.9% | +15.8% | -63.4% | 19 |
| QQQ | -1239.0% | -1.12 | +1159.7% | +10.5% | -65.2% | 19 |
| IWM | -944.9% | -0.71 | +848.2% | +26.3% | -49.7% | 19 |
| DIA | -1084.9% | -0.69 | +1049.5% | +21.1% | -57.1% | 19 |
| Avg | -1118.4% | -0.85 | +1054.9% | +18.4% | — | 19 |
What this shows: Overlayed cumulative return series for this strategy across all available symbols.
How to read it: Look for symbols with smoother curves and faster recoveries to assess whether performance is broad-based or driven by a few outliers.
What this shows: Single-symbol cumulative return path for SPY.
How to read it: Use this detailed view to inspect entry/exit behavior over time and whether drawdowns cluster in specific periods.
| Parameter | Default | Description |
|---|---|---|
| term_structure | 45/90 DTE | Short/long tenors |
Short vega setup opposite long put calendar.
# -P(K,T_long) + P(K,T_short)