IV Percentile Filter: How IVP Doubled a 0DTE Iron Condor's Capture Rate
Option Omega added IV percentile, IV rank and HV filters. In a quick backtest, a 20–80 IVP range roughly doubled a 0DTE SPX condor's capture rate.
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Butterflies
7 posts tagged Butterflies.
Double Long Diagonals on SPX: Tom Lei on Calendars, Theta and Flies
Tom Lei explains where a double calendar's edge comes from and why he moved into double long diagonals with a built-in floor of about $10 of intrinsic value.
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The Time Bomb Butterfly: A Cheap Speculative SPX Options Trade
Dan Sheridan models the time bomb butterfly, a 4-day SPX put fly that costs about $80 to $95 and pays off if SPX lands in a chosen zone by Friday.
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5 Principles of an Options Portfolio: How Dan Sheridan Builds One on SPX
Dan Sheridan builds a four-trade SPX options portfolio, about $2,000 per trade, to show how he spreads entry days, strategies, durations, deltas and theta.
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High VIX SPX Options Trades: Calendars, Put Spreads and Butterflies
With VIX near 27, Dan Sheridan models three 21-day SPX trades (a calendar, a 20-delta put spread and a 70/65 broken wing butterfly) and how he manages each.
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SPX Reverse Iron Butterfly Backtest With a VIX Drop and RSI Filter
Is 0DTE dead? Part 2 backtests the McRib, a long SPX reverse iron butterfly that only enters after VIX drops overnight and intraday with RSI between 40 and 70.
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SPX Options Portfolio Management: Managing Multiple Trades by the Greeks
Dan Sheridan combines a put calendar, a 70/65 butterfly and a put credit spread on SPX into one position and shows how to manage it by its combined Greeks.
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