| 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) | 0.586 (5.86/10) |
| Avg straddle % of SPY (traded days) | 0.995% |
| 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 |
| 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 | $5.8636 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 |
| Average winner | +$2,391 |
| Average loser | $-2,476 |
| Best trade | +$11,440 (2026-03-05) |
| Worst trade | $-6,320 (2026-05-06) |
| Total gross wins | +$81,280 |
| Total gross losses | $-44,560 |
Total P&L of +$36,720 over 55 trades across Jan–2026-09-28. The iron butterfly's ATM structure collects short-term premium on SPY, a highly liquid ETF with excellent OPRA data coverage.
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.
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 is not displayed on mobile devices to prevent page freezing. View this report on a desktop browser to see all 55 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 |
| 2026-04-23 | Thursday | 2026-04-24 | $710.25 | 710 | 700/710/710/720 | $4.9300 | 0.493 | 0.788% | $4.6100 | +$1,280 | +$40,080 | SCHED |
| 2026-04-30 | Thursday | 2026-05-01 | $711.84 | 712 | 702/712/712/722 | $5.7200 | 0.572 | 0.954% | $6.8300 | $-4,440 | +$35,640 | SCHED |
| 2026-05-05 | Tuesday | 2026-05-08 | $722.10 | 722 | 712/722/722/732 | $6.1300 | 0.613 | 1.069% | $6.4500 | $-1,280 | +$34,360 | SCHED |
| 2026-05-06 | Wednesday | 2026-05-08 | $729.05 | 729 | 719/729/729/739 | $5.2700 | 0.527 | 0.863% | $6.8500 | $-6,320 | +$28,040 | SCHED |
| 2026-05-12 | Tuesday | 2026-05-15 | $736.05 | 736 | 726/736/736/746 | $6.3900 | 0.639 | 1.168% | $6.2900 | +$400 | +$28,440 | SCHED |
| 2026-05-13 | Wednesday | 2026-05-15 | $736.77 | 737 | 727/737/737/747 | $5.7600 | 0.576 | 0.981% | $7.0900 | $-5,320 | +$23,120 | SCHED |
| 2026-05-26 | Tuesday | 2026-05-29 | $749.71 | 750 | 740/750/750/760 | $6.2000 | 0.620 | 1.075% | $5.8900 | +$1,240 | +$24,360 | SCHED |
| 2026-05-27 | Wednesday | 2026-05-29 | $750.51 | 751 | 741/751/751/761 | $5.5500 | 0.555 | 0.899% | $5.1200 | +$1,720 | +$26,080 | SCHED |
| 2026-06-01 | Monday | 2026-06-05 | $756.22 | 756 | 746/756/756/766 | $6.5600 | 0.656 | 1.168% | $6.8100 | $-1,000 | +$25,080 | SCHED |
| 2026-06-02 | Tuesday | 2026-06-05 | $756.98 | 757 | 747/757/757/767 | $6.2000 | 0.620 | 1.020% | $6.7100 | $-2,040 | +$23,040 | SCHED |
| 2026-06-03 | Wednesday | 2026-06-05 | $757.85 | 758 | 748/758/758/768 | $5.4500 | 0.545 | 0.848% | $5.2300 | +$880 | +$23,920 | SCHED |
| 2026-06-25 | Thursday | 2026-06-26 | $736.97 | 737 | 727/737/737/747 | $5.7400 | 0.574 | 0.938% | $4.9500 | +$3,160 | +$27,080 | SCHED |
| 2026-07-06 | Monday | 2026-07-10 | $748.27 | 748 | 738/748/748/758 | $6.3200 | 0.632 | 1.123% | $6.4300 | $-440 | +$26,640 | SCHED |
| 2026-07-07 | Tuesday | 2026-07-10 | $749.44 | 749 | 739/749/749/759 | $5.7900 | 0.579 | 0.913% | $4.9700 | +$3,280 | +$29,920 | SCHED |
| 2026-07-08 | Wednesday | 2026-07-10 | $743.96 | 744 | 734/744/744/754 | $5.8300 | 0.583 | 0.987% | $5.6400 | +$760 | +$30,680 | SCHED |
| 2026-07-13 | Monday | 2026-07-17 | $753.20 | 753 | 743/753/753/763 | $6.0800 | 0.608 | 1.075% | $6.4400 | $-1,440 | +$29,240 | SCHED |
| 2026-07-14 | Tuesday | 2026-07-17 | $751.17 | 751 | 741/751/751/761 | $6.1300 | 0.613 | 1.045% | $5.8300 | +$1,200 | +$30,440 | SCHED |
| 2026-07-22 | Wednesday | 2026-07-24 | $747.28 | 747 | 737/747/747/757 | $5.7700 | 0.577 | 0.927% | $5.7900 | $-80 | +$30,360 | SCHED |
| 2026-07-23 | Thursday | 2026-07-24 | $741.66 | 742 | 732/742/742/752 | $5.3500 | 0.535 | 0.836% | $5.4000 | $-200 | +$30,160 | SCHED |
| 2026-08-03 | Monday | 2026-08-07 | $751.75 | 752 | 742/752/752/762 | $6.3300 | 0.633 | 1.095% | $7.1000 | $-3,080 | +$27,080 | SCHED |
| 2026-08-10 | Monday | 2026-08-14 | $772.78 | 773 | 763/773/773/783 | $6.2600 | 0.626 | 1.083% | $6.1900 | +$280 | +$27,360 | SCHED |
| 2026-08-11 | Tuesday | 2026-08-14 | $773.14 | 773 | 763/773/773/783 | $5.9700 | 0.597 | 1.001% | $5.6900 | +$1,120 | +$28,480 | SCHED |
| 2026-08-12 | Wednesday | 2026-08-14 | $772.86 | 773 | 763/773/773/783 | $5.1400 | 0.514 | 0.770% | $4.7200 | +$1,680 | +$30,160 | SCHED |
| 2026-08-14 | Friday | 2026-08-21 | $778.05 | 778 | 768/778/778/788 | $6.3400 | 0.634 | 1.072% | $5.6200 | +$2,880 | +$33,040 | SCHED |
| 2026-08-17 | Monday | 2026-08-21 | $775.40 | 775 | 765/775/775/785 | $5.6500 | 0.565 | 0.883% | $5.3000 | +$1,400 | +$34,440 | SCHED |
| 2026-08-18 | Tuesday | 2026-08-21 | $769.14 | 769 | 759/769/769/779 | $5.5300 | 0.553 | 0.885% | $5.0600 | +$1,880 | +$36,320 | SCHED |
| 2026-08-24 | Monday | 2026-08-28 | $763.37 | 763 | 753/763/763/773 | $6.6000 | 0.660 | 1.192% | $6.5100 | +$360 | +$36,680 | SCHED |
| 2026-08-25 | Tuesday | 2026-08-28 | $766.15 | 766 | 756/766/766/776 | $6.3600 | 0.636 | 1.083% | $6.3600 | +$0 | +$36,680 | SCHED |
| 2026-08-26 | Wednesday | 2026-08-28 | $765.54 | 766 | 756/766/766/776 | $5.7700 | 0.577 | 0.947% | $5.7700 | +$0 | +$36,680 | SCHED |
| 2026-08-28 | Friday | 2026-09-04 | $772.26 | 772 | 762/772/772/782 | $6.6300 | 0.663 | 1.196% | $6.4500 | +$720 | +$37,400 | SCHED |
| 2026-08-31 | Monday | 2026-09-04 | $766.26 | 766 | 756/766/766/776 | $6.2100 | 0.621 | 1.048% | $6.2100 | +$-0 | +$37,400 | SCHED |
| 2026-09-01 | Tuesday | 2026-09-04 | $761.72 | 762 | 752/762/762/772 | $6.0700 | 0.607 | 1.019% | $6.0200 | +$200 | +$37,600 | SCHED |
| 2026-09-02 | Wednesday | 2026-09-04 | $762.28 | 762 | 752/762/762/772 | $5.7700 | 0.577 | 0.896% | $5.9300 | $-640 | +$36,960 | SCHED |
| 2026-09-04 | Friday | 2026-09-11 | $772.43 | 772 | 762/772/772/782 | $6.3000 | 0.630 | 1.097% | $6.0400 | +$1,040 | +$38,000 | SCHED |
| 2026-09-08 | Tuesday | 2026-09-11 | $768.09 | 768 | 758/768/768/778 | $5.9500 | 0.595 | 0.996% | $6.0400 | $-360 | +$37,640 | SCHED |
| 2026-09-09 | Wednesday | 2026-09-11 | $763.75 | 764 | 754/764/764/774 | $5.7800 | 0.578 | 0.932% | $5.5800 | +$800 | +$38,440 | SCHED |
| 2026-09-10 | Thursday | 2026-09-11 | $758.41 | 758 | 748/758/758/768 | $5.6300 | 0.563 | 0.874% | $5.4500 | +$720 | +$39,160 | SCHED |
| 2026-09-16 | Wednesday | 2026-09-18 | $758.77 | 759 | 749/759/759/769 | $6.6600 | 0.666 | 1.199% | $5.7100 | +$3,800 | +$42,960 | SCHED |
| 2026-09-21 | Monday | 2026-09-25 | $766.62 | 767 | 757/767/767/777 | $5.7200 | 0.572 | 0.934% | $7.2800 | $-6,240 | +$36,720 | SCHED |