Short Put Diagonal

Volatility

Inverse put diagonal.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+913.6%0.58+375.4%+89.5%+48.1%19
QQQ+735.6%0.44+380.2%+84.2%+38.7%19
IWM+594.5%0.36+474.7%+68.4%+31.3%19
DIA+837.8%0.76+222.0%+79.0%+44.1%19
Avg+770.4%0.53+363.1%+80.3%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
From adverse move to long diag
Max Loss
Potentially large
Breakeven
Dynamic
Outlook
Short vol / bullish bias

Parameters

ParameterDefaultDescription
strike_skewATM/OTMLong higher strike, short lower strike

Methodology

Opposite side of long put diagonal risk profile.

Implementation

# -P(K1,T_long) + P(K2,T_short)