Strategies
Flyagonal Optionist Variant
A SPY structure with 2 short calls in the center, asymmetric call wings, and an additional short put on the downside.
Structure
How the setup is built
The center uses 2 short calls around delta 50. Around that sit a long call at ATM minus 6 and a long call at ATM plus 5.
In addition, there is a short put at ATM minus 12. That is why the left side is more open than in a classical butterfly.
The diagram is therefore intentionally schematic and excludes concrete premium inputs.
SPY setup
- Long 1x call ATM-6
- Short 2x calls delta 50 / roughly ATM
- Long 1x call ATM+5
- Short 1x put ATM-12
Backtest results
The Option Omega evaluations show the overall curve, year-by-year results, and outcome distribution.
P/L Diagram
Schematic on SPY
The short put drives the left tail, the profit center sits around the two short calls, and the upper call wing leaves a small residual value on the right side.
Summary
Key points
- Thesis SPY should remain in a defined range.
- Center 2x short calls around ATM.
- Wings Long call at ATM-6 and long call at ATM+5.
- Extra leg Short put at ATM-12.
- Risk The left side is not fully bounded.
- Scan Later candidates can be screened through the OWS Tools.