🦋 SPY Daily Iron Butterfly

Daily Options Backtest — Jan 1 to 2026-04-17, 2026

SPY (S&P 500 ETF) Jan 1 – 2026-04-17 40 Contracts Market Neutral Net Credit 4-Leg Strategy

Total P&L
+$38,800
Jan 1 → 2026-04-17

Win Rate

75.0%

12 wins / 4 losses

Total Trades

Mon–Fri daily entries

Avg P&L / Day

+$2,425

Per trade average

Profit Factor

4.32

Gross wins / gross losses

Sharpe Ratio

8.97

Daily × √252 annualised

Max Drawdown

$4,880

Peak-to-trough equity

Payoff Ratio

1.44x

Avg win / avg loss

📈 Equity Curve

⚙️ Strategy Configuration

Ticker

SPY

Contracts

Structure

Iron Butterfly

Wing Width

±$10

Entry Days

Mon–Fri

Entry Time

9:40 ET

Exit Time

14:20 ET

Expiry

Next Friday

Profit Target

+90%

Stop Loss

-80%

Trade Filters

Filter	Status
Credit ratio ≥ 0.2 (2.00/wing)	✔ Active
Net credit ≥ $1.00	✔ Active
Straddle ≥ 0.8% of SPY	✔ Active
Straddle ≤ 1.2% of SPY	✔ Active
Overnight gap ≤ 1.0% of prior close	✔ Active
Prior-day move ≤ 45% of wing (≤$4.50)	✔ Active
Avg credit ratio (traded days)	0.567 (5.67/10)
Avg straddle % of SPY (traded days)	0.989%

Strike Construction

Leg	Strike	Action	Role
Long Put	ATM − $10	Buy	Outer put wing — defines max loss on downside
Short Put	ATM	Sell	ATM short — max profit zone (butterfly body)
Short Call	ATM	Sell	ATM short — max profit zone (butterfly body)
Long Call	ATM + $10	Buy	Outer 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 SPY = ATM)
SPY moves > $10 from ATM	Max loss = ($10 − credit) × 100 × 40
Avg net credit collected	$5.6662 per share
Auto-exit profit target	Close if P&L ≥ +90% of max profit
Auto-exit stop loss	Close if P&L ≤ −80% of max profit

🚦 Exit Breakdown

Scheduled (14:20 ET)

Profit Target +90%

Stop Loss −80%

Total Trades

📊 Win / Loss Analysis

Win Rate Breakdown

Winners (12)75.0%

75.0%

Losers (4)25.0%

25.0%

P&L Breakdown

Average winner	+$4,207
Average loser	$-2,920
Best trade	+$11,440 (2026-03-05)
Worst trade	$-4,880 (2026-04-09)
Total gross wins	+$50,480
Total gross losses	$-11,680

⚠️ Risk Assessment

Max Drawdown

$4,880

Worst Single Loss

$-4,880

Avg Max Loss / Trade

$17,335

Profit Factor

4.32

Sharpe (Annualised)

8.97

Payoff Ratio

1.44x

💡 Key Insights

✅

Profitable Strategy

Total P&L of +$38,800 over 16 trades across Jan–2026-04-17. The iron butterfly's ATM structure collects short-term premium on SPY, a highly liquid ETF with excellent OPRA data coverage.

⚠️

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 14:20 ET bar close only, understating how often stops would trigger intraday. Real performance may differ.

⚠️

SPY Wing Width Consideration

With SPY trading near $500–600, a ±$10 wing is a relatively narrow ~1.7% range. In high-volatility periods SPY can easily move more than $10 intraday, frequently triggering max loss. Consider widening wings (±$15–$25) or reducing QTY for live trading.

📋 Full Trade Log (16 trades)

Date	Day	Expiry	SPY Open	ATM	LP/SP/SC/LC	Credit Open	Cr/Wing	Straddle%	Credit Close	P&L	Cum P&L	Exit
2026-01-05	Monday	2026-01-09	$687.08	687	677/687/687/697	$6.0700	0.607	1.089%	$5.9300	+$560	+$560	SCHED
2026-01-06	Tuesday	2026-01-09	$688.18	688	678/688/688/698	$5.4500	0.545	0.907%	$6.3800	$-3,720	$-3,160	SCHED
2026-01-07	Wednesday	2026-01-09	$692.41	692	682/692/692/702	$4.9100	0.491	0.784%	$4.3500	+$2,240	$-920	SCHED
2026-01-12	Monday	2026-01-16	$692.79	693	683/693/693/703	$5.7600	0.576	1.132%	$6.3200	$-2,240	$-3,160	SCHED
2026-01-13	Tuesday	2026-01-16	$695.79	696	686/696/696/706	$5.4600	0.546	0.901%	$4.8400	+$2,480	$-680	SCHED
2026-01-14	Wednesday	2026-01-16	$690.59	691	681/691/691/701	$5.6700	0.567	0.999%	$4.9200	+$3,000	+$2,320	SCHED
2026-01-16	Friday	2026-01-23	$693.79	694	684/694/694/704	$6.0800	0.608	1.114%	$6.0100	+$280	+$2,600	SCHED
2026-01-27	Tuesday	2026-01-30	$693.60	694	684/694/694/704	$6.1700	0.617	1.125%	$6.3800	$-840	+$1,760	SCHED
2026-01-28	Wednesday	2026-01-30	$697.16	697	687/697/697/707	$5.8200	0.582	1.003%	$4.8800	+$3,760	+$5,520	SCHED
2026-01-29	Thursday	2026-01-30	$695.39	695	685/695/695/705	$5.0600	0.506	0.817%	$2.9300	+$8,520	+$14,040	SCHED
2026-02-03	Tuesday	2026-02-06	$695.75	696	686/696/696/706	$5.9900	0.599	1.052%	$4.3300	+$6,640	+$20,680	SCHED
2026-02-11	Wednesday	2026-02-13	$695.19	695	685/695/695/705	$5.7200	0.572	0.959%	$4.7000	+$4,080	+$24,760	SCHED
2026-02-19	Thursday	2026-02-20	$683.68	684	674/684/684/694	$6.1500	0.615	1.122%	$5.1700	+$3,920	+$28,680	SCHED
2026-02-26	Thursday	2026-02-27	$692.16	692	682/692/692/702	$5.1700	0.517	0.857%	$4.2800	+$3,560	+$32,240	SCHED
2026-03-05	Thursday	2026-03-06	$683.63	684	674/684/684/694	$6.2700	0.627	1.137%	$3.4100	+$11,440	+$43,680	SCHED
2026-04-09	Thursday	2026-04-10	$675.12	675	665/675/675/685	$4.9100	0.491	0.832%	$6.1300	$-4,880	+$38,800	SCHED