Short Put Diagonal

Volatility

Inverse put diagonal.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+114.3%0.14+143.9%+57.9%+6.0%19
QQQ-38.9%-0.04+202.3%+57.9%-2.0%19
IWM-1.4%0.00+246.5%+57.9%-0.1%19
DIA+413.3%0.54+101.3%+73.7%+21.8%19
Avg+121.8%0.16+173.5%+61.8%—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)