Structure
The setup on SPY
The core consists of 2 short calls around delta 50, which puts the short premium close to the center of the expected move. Around that, the structure uses a long call at ATM minus 6 points and a long call at ATM plus 5 points.
The call side is then supplemented by a short put at ATM minus 12 points. That means the left side is no longer a clean bounded butterfly. Instead, it adds a financing and directional component that benefits from SPY staying above that put strike.
Because you only specified strikes and sizing, but not premiums or exact expiries, the diagram below is intentionally shown as a normalized expiry sketch of the structure. It reflects the shape of the payoff, not a fully priced real-money curve.
SPY example structure
- Long 1x call ATM minus 6 points
- Short 2x calls delta 50 / roughly ATM
- Long 1x call ATM plus 5 points
- Short 1x put ATM minus 12 points
The profile shows the open downside created by the short put, the highest value zone around the two short calls, and a small positive shelf on the right because the upper call wing sits at ATM plus 5.
Backtest results
The current Option Omega evaluations of the flyagonal variant are embedded here. They show the overall equity curve, the year-by-year results, and the outcome distribution.
