🦋 NVDA Daily Iron Butterfly

Daily Options Backtest — Jan 1 to Apr 14, 2026

NVDA (Nvidia) Jan 1 – Apr 14, 2026 40 Contracts Market Neutral Net Credit 4-Leg Strategy
Total P&L
+$11,400
Jan 1 → Apr 14, 2026
Win Rate
81.8%
9 wins / 2 losses
Total Trades
11
Mon–Thu daily entries
Avg P&L / Day
+$1,036
Per trade average
Profit Factor
3.38
Gross wins / gross losses
Sharpe Ratio
7.73
Daily × √252 annualised
Max Drawdown
$4,640
Peak-to-trough equity
Payoff Ratio
0.75x
Avg win / avg loss

📈 Equity Curve

⚙️ Strategy Configuration

Ticker
NVDA
Contracts
40
Structure
Iron Butterfly
Wing Width
±$10
Entry Days
Mon–Thu
Entry Time
9:40 ET
Exit Time
14:20 ET
Expiry
Next Friday
Profit Target
+90%
Stop Loss
-80%

Strike Construction

LegStrikeActionRole
Long PutATM − $10BuyOuter put wing — defines max loss on downside
Short PutATMSellATM short — max profit zone (butterfly body)
Short CallATMSellATM short — max profit zone (butterfly body)
Long CallATM + $10BuyOuter call wing — defines max loss on upside

P&L Mechanics

Net credit at open (9:40 ET)Max profit = credit × 100 × 40 (at expiry if NVDA = ATM)
NVDA moves > $10 from ATMMax loss = ($10 − credit) × 100 × 40
Avg net credit collected$4.7427 per share
Auto-exit profit targetClose if P&L ≥ +90% of max profit
Auto-exit stop lossClose if P&L ≤ −80% of max profit

🚦 Exit Breakdown

Scheduled (14:20 ET)

11

Profit Target +90%

0

Stop Loss −80%

0

Total Trades

11

📊 Win / Loss Analysis

Win Rate Breakdown

Winners (9)81.8%
81.8%
Losers (2)18.2%
18.2%

P&L Breakdown

Average winner+$1,800
Average loser$-2,400
Best trade+$2,920 (2026-02-05)
Worst trade$-4,640 (2026-03-26)
Total gross wins+$16,200
Total gross losses$-4,800

⚠️ Risk Assessment

Max Drawdown

$4,640

Worst Single Loss

$-4,640

Avg Max Loss / Trade

$21,029

Profit Factor

3.38

Sharpe (Annualised)

7.73

Payoff Ratio

0.75x

💡 Key Insights

✅

Profitable Strategy

Total P&L of +$11,400 over 11 trades across Jan–Apr 2026. The iron butterfly's ATM structure collects elevated short-term premium on a daily basis, benefiting from NVDA's high absolute option prices.

⚠️

Auto-Exit Applied at Exit Bar Only

The live script monitors positions every 5 minutes and can exit intraday. This backtest applies +90%/−80% thresholds at the 15:00 ET bar close only, understating how often the stop loss would trigger intraday. Real performance may differ.

⚠️

NVDA Iron Butterfly Risk: High Gamma

NVDA can easily move ±$10 intraday given a share price of ~$100–140. Each day the butterfly is held until close, max loss risk ($10 − credit per share × 4000 shares) is significant. The short ATM body means even a $5 move captures only partial profit.

📋 Full Trade Log (11 trades)

DateDayExpiryNVDA OpenATM LP/SP/SC/LCCredit OpenCredit Close P&LCum P&LExit
2026-01-06 Tuesday 2026-01-09 $190.49 190 180/190/190/200 $5.1600 $4.9000 +$1,040 +$1,040 SCHED
2026-01-13 Tuesday 2026-01-16 $184.87 185 175/185/185/195 $4.7400 $4.6200 +$480 +$1,520 SCHED
2026-01-14 Wednesday 2026-01-16 $182.46 182 172/182/182/192 $4.4900 $3.7700 +$2,880 +$4,400 SCHED
2026-01-20 Tuesday 2026-01-23 $180.49 180 170/180/180/190 $5.5900 $5.2200 +$1,480 +$5,880 SCHED
2026-01-22 Thursday 2026-01-23 $185.26 185 175/185/185/195 $3.3800 $2.7000 +$2,720 +$8,600 SCHED
2026-02-05 Thursday 2026-02-06 $175.19 175 165/175/175/185 $4.9400 $4.2100 +$2,920 +$11,520 SCHED
2026-02-09 Monday 2026-02-13 $189.51 190 180/190/190/200 $6.1800 $5.9000 +$1,120 +$12,640 SCHED
2026-02-10 Tuesday 2026-02-13 $190.16 190 180/190/190/200 $5.3800 $5.4200 $-160 +$12,480 SCHED
2026-03-24 Tuesday 2026-03-27 $175.14 175 165/175/175/185 $5.0500 $4.6900 +$1,440 +$13,920 SCHED
2026-03-25 Wednesday 2026-03-27 $179.56 180 170/180/180/190 $3.9900 $3.4600 +$2,120 +$16,040 SCHED
2026-03-26 Thursday 2026-03-27 $175.46 175 165/175/175/185 $3.2700 $4.4300 $-4,640 +$11,400 SCHED