Weekly Options Backtest — Performance Summary & Analysis
| Leg | Strike | Action | Role |
|---|---|---|---|
| Long Put | ATM − $10 | Buy | Lower wing — defines max loss on downside |
| Short Put | ATM | Sell | ATM body — highest premium collection |
| Short Call | ATM | Sell | ATM body — highest premium collection |
| Long Call | ATM + $10 | Buy | Upper wing — defines max loss on upside |
| Net credit at open | Max profit = credit × 100 × 40 (SPY pins exactly at ATM) |
| SPY moves more than $10 from ATM | Max loss = ($10 − credit) × 100 × 40 |
| Avg net credit collected | $5.3729 / share (53.7% of wing width) |
| Average winner | +$5,380 |
| Average loser | $-7,143 |
| Best trade | +$11,880 (2025-10-06) |
| Worst trade | $-17,280 (2024-12-16) |
| Total gross wins | +$129,120 |
| Total gross losses | $-100,000 |
| Metric | Value | Notes |
|---|---|---|
| Avg max profit / trade | $21,492 | Net credit × 100 × 40 |
| Avg max loss / trade | $18,508 | ($10 wing − credit) × 100 × 40 |
| Max drawdown | $33,720 | Peak-to-trough cumulative equity |
| Best single trade | +$11,880 | 2025-10-06 open |
| Worst single trade | $-17,280 | 2024-12-16 open |
Total P&L of +$29,120 over 38 trades across 3 years (2023–2025). The iron butterfly's short ATM straddle collects maximum premium when SPY remains anchored near the opening price through Thursday.
Iron butterflies target 40–60% win rates (tighter than iron condors due to ATM placement). A 63.2% result over 38 trades reflects the strategy's sensitivity to weekly directional moves.
Unlike an iron condor, the iron butterfly sells the ATM straddle, collecting much higher premium but requiring SPY to pin near ATM to profit. Any Monday-to-Thursday move beyond ~$5.37/share erodes the position. The $10 wing creates a defined but limited buffer.
The S&P 500 gained roughly 70% over this 3-year window. Strong weekly directional moves — particularly around Fed announcements, AI earnings, and macro events — repeatedly moved SPY beyond the ±$10 wing, turning large credits into large losses.
All pricing uses Black-Scholes (European) with 20-day trailing historical vol. No commissions, slippage, or pin risk modelled. The live script also triggers +90% profit target and −80% stop-loss auto-exits intraweek, which are not simulated here and would materially change results.
| Open Date | Close Date | S Open | S Close | ATM | LP / SP / SC / LC | Credit Open | Credit Close | P&L | Cum P&L |
|---|---|---|---|---|---|---|---|---|---|
| 2024-01-22 | 2024-01-26 | $484.00 | $488.02 | 484 | 474/484/484/494 | $4.2500 | $4.2100 | +$160 | +$160 |
| 2024-01-29 | 2024-02-02 | $487.70 | $489.22 | 488 | 478/488/488/498 | $5.5600 | $3.8300 | +$6,920 | +$7,080 |
| 2024-02-05 | 2024-02-09 | $493.69 | $498.47 | 494 | 484/494/494/504 | $4.8100 | $4.6100 | +$800 | +$7,880 |
| 2024-02-12 | 2024-02-16 | $501.23 | $501.97 | 501 | 491/501/501/511 | $4.9200 | $2.8300 | +$8,360 | +$16,240 |
| 2024-03-04 | 2024-03-08 | $512.19 | $515.12 | 512 | 502/512/512/522 | $5.1200 | $3.9700 | +$4,600 | +$20,840 |
| 2024-03-18 | 2024-03-22 | $513.26 | $522.08 | 513 | 503/513/513/523 | $6.2000 | $8.7500 | $-10,200 | +$10,640 |
| 2024-03-25 | 2024-04-01 | $519.78 | $523.13 | 520 | 510/520/520/530 | $4.7100 | $3.8300 | +$3,520 | +$14,160 |
| 2024-04-01 | 2024-04-05 | $523.71 | $513.12 | 524 | 514/524/524/534 | $4.7900 | $8.0400 | $-13,000 | +$1,160 |
| 2024-04-08 | 2024-04-12 | $519.24 | $518.05 | 519 | 509/519/519/529 | $5.9100 | $3.1400 | +$11,080 | +$12,240 |
| 2024-04-29 | 2024-05-03 | $510.26 | $505.03 | 510 | 500/510/510/520 | $6.1300 | $5.3700 | +$3,040 | +$15,280 |
| 2024-05-06 | 2024-05-10 | $513.77 | $520.16 | 514 | 504/514/514/524 | $4.8800 | $6.6500 | $-7,080 | +$8,200 |
| 2024-05-13 | 2024-05-17 | $522.62 | $528.83 | 523 | 513/523/523/533 | $5.6400 | $5.6800 | $-160 | +$8,040 |
| 2024-05-20 | 2024-05-24 | $529.56 | $525.96 | 530 | 520/530/530/540 | $4.9500 | $4.2100 | +$2,960 | +$11,000 |
| 2024-06-03 | 2024-06-07 | $529.05 | $534.63 | 529 | 519/529/529/539 | $5.4400 | $5.7200 | $-1,120 | +$9,880 |
| 2024-06-17 | 2024-06-21 | $542.08 | $547.03 | 542 | 532/542/542/552 | $4.8800 | $5.1300 | $-1,000 | +$8,880 |
| 2024-06-24 | 2024-06-28 | $544.37 | $546.37 | 544 | 534/544/544/554 | $5.4500 | $3.7400 | +$6,840 | +$15,720 |
| 2024-07-01 | 2024-07-05 | $545.54 | $554.73 | 546 | 536/546/546/556 | $4.7200 | $8.4000 | $-14,720 | +$1,000 |
| 2024-07-08 | 2024-07-12 | $555.35 | $556.42 | 555 | 545/555/555/565 | $5.0700 | $3.1400 | +$7,720 | +$8,720 |
| 2024-07-15 | 2024-07-19 | $562.18 | $552.80 | 562 | 552/562/562/572 | $4.9400 | $7.7400 | $-11,200 | $-2,480 |
| 2024-08-26 | 2024-08-30 | $563.43 | $558.31 | 563 | 553/563/563/573 | $6.0800 | $4.0900 | +$7,960 | +$5,480 |
| 2024-09-23 | 2024-09-27 | $569.27 | $572.17 | 569 | 559/569/569/579 | $5.5100 | $4.2000 | +$5,240 | +$10,720 |
| 2024-10-14 | 2024-10-18 | $581.22 | $582.32 | 581 | 571/581/581/591 | $5.6000 | $3.2000 | +$9,600 | +$20,320 |
| 2024-10-21 | 2024-10-25 | $583.91 | $579.23 | 584 | 574/584/584/594 | $5.3600 | $4.1300 | +$4,920 | +$25,240 |
| 2024-11-25 | 2024-11-29 | $599.49 | $602.49 | 599 | 589/599/599/609 | $4.7100 | $2.2600 | +$9,800 | +$35,040 |
| 2024-12-02 | 2024-12-06 | $603.00 | $606.69 | 603 | 593/603/603/613 | $5.3300 | $4.2900 | +$4,160 | +$39,200 |
| 2024-12-09 | 2024-12-13 | $607.59 | $604.39 | 608 | 598/608/608/618 | $4.7400 | $4.0600 | +$2,720 | +$41,920 |
| 2024-12-16 | 2024-12-20 | $606.00 | $586.12 | 606 | 596/606/606/616 | $5.4900 | $9.8100 | $-17,280 | +$24,640 |
| 2025-07-14 | 2025-07-18 | $623.13 | $627.98 | 623 | 613/623/623/633 | $6.0900 | $5.7400 | +$1,400 | +$26,040 |
| 2025-07-21 | 2025-07-25 | $628.76 | $634.49 | 629 | 619/629/629/639 | $5.4300 | $6.1600 | $-2,920 | +$23,120 |
| 2025-08-11 | 2025-08-15 | $637.51 | $644.90 | 638 | 628/638/638/648 | $6.0100 | $7.1300 | $-4,480 | +$18,640 |
| 2025-08-18 | 2025-08-22 | $642.86 | $635.63 | 643 | 633/643/643/653 | $5.8800 | $6.1800 | $-1,200 | +$17,440 |
| 2025-08-25 | 2025-08-29 | $644.01 | $648.94 | 644 | 634/644/644/654 | $6.0700 | $5.7500 | +$1,280 | +$18,720 |
| 2025-09-08 | 2025-09-12 | $648.64 | $657.55 | 649 | 639/649/649/659 | $5.8400 | $8.4700 | $-10,520 | +$8,200 |
| 2025-09-15 | 2025-09-19 | $659.58 | $662.26 | 660 | 650/660/660/670 | $5.6900 | $3.6000 | +$8,360 | +$16,560 |
| 2025-09-22 | 2025-09-26 | $662.21 | $657.79 | 662 | 652/662/662/672 | $5.6700 | $4.2300 | +$5,760 | +$22,320 |
| 2025-09-29 | 2025-10-03 | $664.38 | $669.15 | 664 | 654/664/664/674 | $5.9900 | $5.9800 | +$40 | +$22,360 |
| 2025-10-06 | 2025-10-10 | $671.62 | $671.19 | 672 | 662/672/672/682 | $5.5200 | $2.5500 | +$11,880 | +$34,240 |
| 2025-12-22 | 2025-12-26 | $683.92 | $690.26 | 684 | 674/684/684/694 | $4.7900 | $6.0700 | $-5,120 | +$29,120 |