Short Put Calendar

Volatility

Inverse put calendar position.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY-1256.0%-0.97+1129.9%+21.1%-66.1%19
QQQ-1050.1%-0.86+958.3%+21.1%-55.3%19
IWM-806.3%-0.76+713.0%+15.8%-42.4%19
DIA-978.0%-0.75+1006.3%+21.1%-51.5%19
Avg-1022.6%-0.83+951.9%+19.7%—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)