| Filter | Status |
|---|---|
| Credit ratio ≥ 0.35 (0.70/wing) | ✔ Active |
| Net credit ≥ $0.30 | ✔ Active |
| Straddle ≥ 1.0% of XLE | ✔ Active |
| Overnight gap ≤ 1.0% of prior close | ✔ Active |
| Prior-day move ≤ 60% of wing (≤$1.20) | ✔ Active |
| Avg credit ratio (traded days) | 0.577 (1.15/2) |
| Avg straddle % of XLE (traded days) | 2.632% |
| Leg | Strike | Action | Role |
|---|---|---|---|
| Long Put | ATM − $2 | 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 + $2 | Buy | Outer call wing — defines max loss on upside |
| Net credit at open (9:40 ET) | Max profit = credit × 100 × 40 (at expiry if XLE = ATM) |
| XLE moves > $2 from ATM | Max loss = ($2 − credit) × 100 × 40 |
| Avg net credit collected | $1.1534 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 | +$679 |
| Average loser | $-561 |
| Best trade | +$3,840 (2026-05-20) |
| Worst trade | $-1,920 (2026-03-20) |
| Total gross wins | +$42,760 |
| Total gross losses | $-15,160 |
Total P&L of +$27,600 over 91 trades across Jan–2026-09-15. The iron butterfly's ATM structure collects short-term premium on XLE, the Energy Select Sector SPDR ETF, whose implied vol runs meaningfully hotter than SPY.
The live script (if deployed) would monitor 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.
XLE (Energy Select Sector SPDR — large-cap oil/gas producers and services) trades at a much lower price than SPY (~$59 vs ~$580s) with $0.50 strike increments, and its ATM weekly straddle (~1.7-1.8% of price) runs notably wider than SPY/XLF/DIA/IWM's ~0.75-1.2% band — consistent with energy-sector volatility (oil price swings, OPEC/geopolitical headlines) exceeding the broad market. Wing width and straddle-band thresholds were both widened accordingly rather than reused from SPY/XLF. Treat this as a higher-volatility cousin of the SPY strategy, not a substitute for it.
📋 Full Trade Log is not displayed on mobile devices to prevent page freezing. View this report on a desktop browser to see all 91 trades.
| Date | Day | Expiry | XLE Open | ATM | LP/SP/SC/LC | Credit Open | Cr/Wing | Straddle% | Credit Close | P&L | Cum P&L | Exit |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01-02 | Friday | 2026-01-09 | $44.59 | 44.5 | 42.5/44.5/44.5/46.5 | $0.8100 | 0.405 | 1.996% | $1.1300 | $-1,280 | $-1,280 | SCHED |
| 2026-01-07 | Wednesday | 2026-01-09 | $45.48 | 45.5 | 43.5/45.5/45.5/47.5 | $0.7700 | 0.385 | 1.759% | $0.6300 | +$560 | $-720 | SCHED |
| 2026-01-09 | Friday | 2026-01-16 | $46.73 | 46.5 | 44.5/46.5/46.5/48.5 | $1.0700 | 0.535 | 2.867% | $0.8300 | +$960 | +$240 | SCHED |
| 2026-01-12 | Monday | 2026-01-16 | $46.44 | 46.5 | 44.5/46.5/46.5/48.5 | $0.9500 | 0.475 | 2.304% | $0.8600 | +$360 | +$600 | SCHED |
| 2026-01-13 | Tuesday | 2026-01-16 | $46.70 | 46.5 | 44.5/46.5/46.5/48.5 | $0.7700 | 0.385 | 1.885% | $0.9100 | $-560 | +$40 | SCHED |
| 2026-01-16 | Friday | 2026-01-23 | $47.59 | 47.5 | 45.5/47.5/47.5/49.5 | $1.0600 | 0.530 | 2.711% | $0.9000 | +$640 | +$680 | SCHED |
| 2026-01-20 | Tuesday | 2026-01-23 | $47.85 | 48.0 | 46.0/48.0/48.0/50.0 | $0.9600 | 0.480 | 2.403% | $0.8600 | +$400 | +$1,080 | SCHED |
| 2026-01-28 | Wednesday | 2026-01-30 | $49.95 | 50.0 | 48.0/50.0/50.0/52.0 | $0.8400 | 0.420 | 1.902% | $0.5700 | +$1,080 | +$2,160 | SCHED |
| 2026-01-30 | Friday | 2026-02-06 | $50.32 | 50.5 | 48.5/50.5/50.5/52.5 | $1.4200 | 0.710 | 3.498% | $0.9300 | +$1,960 | +$4,120 | SCHED |
| 2026-02-03 | Tuesday | 2026-02-06 | $50.50 | 50.5 | 48.5/50.5/50.5/52.5 | $0.9200 | 0.460 | 2.139% | $1.2600 | $-1,360 | +$2,760 | SCHED |
| 2026-02-06 | Friday | 2026-02-13 | $52.61 | 52.5 | 50.5/52.5/52.5/54.5 | $1.4000 | 0.700 | 3.497% | $1.1600 | +$960 | +$3,720 | SCHED |
| 2026-02-09 | Monday | 2026-02-13 | $53.15 | 53.0 | 51.0/53.0/53.0/55.0 | $1.2500 | 0.625 | 2.954% | $1.0500 | +$800 | +$4,520 | SCHED |
| 2026-02-13 | Friday | 2026-02-20 | $54.07 | 54.0 | 52.0/54.0/54.0/56.0 | $1.1600 | 0.580 | 2.793% | $1.1500 | +$40 | +$4,560 | SCHED |
| 2026-02-17 | Tuesday | 2026-02-20 | $54.21 | 54.0 | 52.0/54.0/54.0/56.0 | $1.5400 | 0.770 | 3.210% | $0.9400 | +$2,400 | +$6,960 | SCHED |
| 2026-02-20 | Friday | 2026-02-27 | $54.98 | 55.0 | 53.0/55.0/55.0/57.0 | $1.3200 | 0.660 | 3.274% | $1.3500 | $-120 | +$6,840 | SCHED |
| 2026-02-25 | Wednesday | 2026-02-27 | $55.05 | 55.0 | 53.0/55.0/55.0/57.0 | $0.7900 | 0.395 | 1.889% | $0.8400 | $-200 | +$6,640 | SCHED |
| 2026-02-26 | Thursday | 2026-02-27 | $54.50 | 54.5 | 52.5/54.5/54.5/56.5 | $1.0300 | 0.515 | 2.128% | $0.8300 | +$800 | +$7,440 | SCHED |
| 2026-02-27 | Friday | 2026-03-06 | $55.51 | 55.5 | 53.5/55.5/55.5/57.5 | $1.5500 | 0.775 | 4.054% | $1.3400 | +$840 | +$8,280 | SCHED |
| 2026-03-02 | Monday | 2026-03-06 | $56.40 | 56.5 | 54.5/56.5/56.5/58.5 | $1.1900 | 0.595 | 3.529% | $1.2600 | $-280 | +$8,000 | SCHED |
| 2026-03-03 | Tuesday | 2026-03-06 | $56.98 | 57.0 | 55.0/57.0/57.0/59.0 | $1.2500 | 0.625 | 3.229% | $1.4000 | $-600 | +$7,400 | SCHED |
| 2026-03-04 | Wednesday | 2026-03-06 | $56.06 | 56.0 | 54.0/56.0/56.0/58.0 | $1.0700 | 0.535 | 2.533% | $0.9600 | +$440 | +$7,840 | SCHED |
| 2026-03-05 | Thursday | 2026-03-06 | $56.64 | 56.5 | 54.5/56.5/56.5/58.5 | $0.7800 | 0.390 | 1.695% | $0.7500 | +$120 | +$7,960 | SCHED |
| 2026-03-06 | Friday | 2026-03-13 | $56.80 | 57.0 | 55.0/57.0/57.0/59.0 | $1.4800 | 0.740 | 3.996% | $1.4100 | +$280 | +$8,240 | SCHED |
| 2026-03-09 | Monday | 2026-03-13 | $56.65 | 56.5 | 54.5/56.5/56.5/58.5 | $1.3800 | 0.690 | 3.636% | $1.3500 | +$120 | +$8,360 | SCHED |
| 2026-03-11 | Wednesday | 2026-03-13 | $55.99 | 56.0 | 54.0/56.0/56.0/58.0 | $0.7500 | 0.375 | 1.822% | $1.1500 | $-1,600 | +$6,760 | SCHED |
| 2026-03-12 | Thursday | 2026-03-13 | $57.16 | 57.0 | 55.0/57.0/57.0/59.0 | $0.8000 | 0.400 | 1.697% | $0.9400 | $-560 | +$6,200 | SCHED |
| 2026-03-13 | Friday | 2026-03-20 | $57.41 | 57.5 | 55.5/57.5/57.5/59.5 | $1.5900 | 0.795 | 3.745% | $1.3000 | +$1,160 | +$7,360 | SCHED |
| 2026-03-16 | Monday | 2026-03-20 | $57.62 | 57.5 | 55.5/57.5/57.5/59.5 | $1.2700 | 0.635 | 2.916% | $1.1800 | +$360 | +$7,720 | SCHED |
| 2026-03-17 | Tuesday | 2026-03-20 | $58.18 | 58.0 | 56.0/58.0/58.0/60.0 | $1.3100 | 0.655 | 2.733% | $1.3700 | $-240 | +$7,480 | SCHED |
| 2026-03-18 | Wednesday | 2026-03-20 | $58.73 | 58.5 | 56.5/58.5/58.5/60.5 | $0.9200 | 0.460 | 1.992% | $0.9700 | $-200 | +$7,280 | SCHED |
| 2026-03-19 | Thursday | 2026-03-20 | $58.81 | 59.0 | 57.0/59.0/59.0/61.0 | $0.9800 | 0.490 | 1.819% | $0.7600 | +$880 | +$8,160 | SCHED |
| 2026-03-20 | Friday | 2026-03-27 | $59.92 | 60.0 | 58.0/60.0/60.0/62.0 | $1.2900 | 0.645 | 3.187% | $1.7700 | $-1,920 | +$6,240 | SCHED |
| 2026-03-26 | Thursday | 2026-03-27 | $60.88 | 61.0 | 59.0/61.0/61.0/63.0 | $0.9800 | 0.490 | 1.823% | $0.4600 | +$2,080 | +$8,320 | SCHED |
| 2026-03-27 | Friday | 2026-04-10 | $62.00 | 62.0 | 60.0/62.0/62.0/64.0 | $1.5800 | 0.790 | 4.887% | $1.6000 | $-80 | +$8,240 | SCHED |
| 2026-04-10 | Friday | 2026-04-17 | $57.33 | 57.5 | 55.5/57.5/57.5/59.5 | $1.0800 | 0.540 | 3.297% | $1.2400 | $-640 | +$7,600 | SCHED |
| 2026-04-15 | Wednesday | 2026-04-17 | $55.60 | 55.5 | 53.5/55.5/55.5/57.5 | $0.9200 | 0.460 | 2.014% | $0.9100 | +$40 | +$7,640 | SCHED |
| 2026-04-20 | Monday | 2026-04-24 | $55.49 | 55.5 | 53.5/55.5/55.5/57.5 | $1.2200 | 0.610 | 2.901% | $1.2100 | +$40 | +$7,680 | SCHED |
| 2026-04-21 | Tuesday | 2026-04-24 | $55.30 | 55.5 | 53.5/55.5/55.5/57.5 | $1.1900 | 0.595 | 2.550% | $1.0600 | +$520 | +$8,200 | SCHED |
| 2026-04-24 | Friday | 2026-05-01 | $56.46 | 56.5 | 54.5/56.5/56.5/58.5 | $1.3700 | 0.685 | 3.471% | $1.3100 | +$240 | +$8,440 | SCHED |
| 2026-04-29 | Wednesday | 2026-05-01 | $58.28 | 58.5 | 56.5/58.5/58.5/60.5 | $1.1400 | 0.570 | 2.299% | $1.1400 | +$-0 | +$8,440 | SCHED |
| 2026-04-30 | Thursday | 2026-05-01 | $58.91 | 59.0 | 57.0/59.0/59.0/61.0 | $1.3700 | 0.685 | 2.750% | $0.9100 | +$1,840 | +$10,280 | SCHED |
| 2026-05-01 | Friday | 2026-05-08 | $59.22 | 59.0 | 57.0/59.0/59.0/61.0 | $1.5900 | 0.795 | 3.664% | $1.2600 | +$1,320 | +$11,600 | SCHED |
| 2026-05-04 | Monday | 2026-05-08 | $58.47 | 58.5 | 56.5/58.5/58.5/60.5 | $1.1800 | 0.590 | 2.856% | $1.1900 | $-40 | +$11,560 | SCHED |
| 2026-05-05 | Tuesday | 2026-05-08 | $59.38 | 59.5 | 57.5/59.5/59.5/61.5 | $1.1900 | 0.595 | 2.543% | $1.0500 | +$560 | +$12,120 | SCHED |
| 2026-05-08 | Friday | 2026-05-15 | $55.59 | 55.5 | 53.5/55.5/55.5/57.5 | $1.2800 | 0.640 | 3.130% | $1.2300 | +$200 | +$12,320 | SCHED |
| 2026-05-12 | Tuesday | 2026-05-15 | $57.33 | 57.5 | 55.5/57.5/57.5/59.5 | $0.9500 | 0.475 | 2.163% | $1.0800 | $-520 | +$11,800 | SCHED |
| 2026-05-14 | Thursday | 2026-05-15 | $58.00 | 58.0 | 56.0/58.0/58.0/60.0 | $0.7200 | 0.360 | 1.466% | $0.7100 | +$40 | +$11,840 | SCHED |
| 2026-05-18 | Monday | 2026-05-22 | $58.96 | 59.0 | 57.0/59.0/59.0/61.0 | $1.1800 | 0.590 | 2.866% | $1.4200 | $-960 | +$10,880 | SCHED |
| 2026-05-20 | Wednesday | 2026-05-22 | $61.39 | 61.5 | 59.5/61.5/61.5/63.5 | $1.6000 | 0.800 | 2.948% | $0.6400 | +$3,840 | +$14,720 | SCHED |
| 2026-05-22 | Friday | 2026-05-29 | $59.13 | 59.0 | 57.0/59.0/59.0/61.0 | $1.4300 | 0.715 | 3.314% | $1.3200 | +$440 | +$15,160 | SCHED |
| 2026-05-26 | Tuesday | 2026-05-29 | $59.30 | 59.5 | 57.5/59.5/59.5/61.5 | $1.4700 | 0.735 | 3.171% | $1.3500 | +$480 | +$15,640 | SCHED |
| 2026-05-28 | Thursday | 2026-05-29 | $57.45 | 57.5 | 55.5/57.5/57.5/59.5 | $0.8100 | 0.405 | 1.532% | $0.6800 | +$520 | +$16,160 | SCHED |
| 2026-05-29 | Friday | 2026-06-05 | $56.60 | 56.5 | 54.5/56.5/56.5/58.5 | $1.2800 | 0.640 | 3.092% | $1.1600 | +$480 | +$16,640 | SCHED |
| 2026-06-02 | Tuesday | 2026-06-05 | $57.66 | 57.5 | 55.5/57.5/57.5/59.5 | $1.1000 | 0.550 | 2.428% | $1.1400 | $-160 | +$16,480 | SCHED |
| 2026-06-03 | Wednesday | 2026-06-05 | $58.12 | 58.0 | 56.0/58.0/58.0/60.0 | $1.0500 | 0.525 | 2.116% | $1.0300 | +$80 | +$16,560 | SCHED |
| 2026-06-04 | Thursday | 2026-06-05 | $58.49 | 58.5 | 56.5/58.5/58.5/60.5 | $1.0800 | 0.540 | 2.103% | $0.8000 | +$1,120 | +$17,680 | SCHED |
| 2026-06-05 | Friday | 2026-06-12 | $58.34 | 58.5 | 56.5/58.5/58.5/60.5 | $1.3500 | 0.675 | 3.068% | $1.4000 | $-200 | +$17,480 | SCHED |
| 2026-06-09 | Tuesday | 2026-06-12 | $57.85 | 58.0 | 56.0/58.0/58.0/60.0 | $1.3700 | 0.685 | 2.731% | $1.2600 | +$440 | +$17,920 | SCHED |
| 2026-06-11 | Thursday | 2026-06-12 | $58.81 | 59.0 | 57.0/59.0/59.0/61.0 | $0.9100 | 0.455 | 1.955% | $1.3900 | $-1,920 | +$16,000 | SCHED |
| 2026-06-16 | Tuesday | 2026-06-26 | $55.29 | 55.5 | 53.5/55.5/55.5/57.5 | $1.5700 | 0.785 | 3.834% | $1.4700 | +$400 | +$16,400 | SCHED |
| 2026-06-22 | Monday | 2026-06-26 | $53.69 | 53.5 | 51.5/53.5/53.5/55.5 | $1.2600 | 0.630 | 2.943% | $1.1200 | +$560 | +$16,960 | SCHED |
| 2026-06-23 | Tuesday | 2026-06-26 | $54.11 | 54.0 | 52.0/54.0/54.0/56.0 | $1.0700 | 0.535 | 2.329% | $1.0600 | +$40 | +$17,000 | SCHED |
| 2026-06-25 | Thursday | 2026-06-26 | $53.40 | 53.5 | 51.5/53.5/53.5/55.5 | $0.8100 | 0.405 | 1.648% | $0.8000 | +$40 | +$17,040 | SCHED |
| 2026-06-26 | Friday | 2026-07-10 | $54.00 | 54.0 | 52.0/54.0/54.0/56.0 | $1.4400 | 0.720 | 3.778% | $1.3100 | +$520 | +$17,560 | SCHED |
| 2026-06-29 | Monday | 2026-07-10 | $54.12 | 54.0 | 52.0/54.0/54.0/56.0 | $1.3200 | 0.660 | 3.418% | $1.1300 | +$760 | +$18,320 | SCHED |
| 2026-06-30 | Tuesday | 2026-07-10 | $53.70 | 53.5 | 51.5/53.5/53.5/55.5 | $1.2300 | 0.615 | 3.166% | $1.2100 | +$80 | +$18,400 | SCHED |
| 2026-07-01 | Wednesday | 2026-07-10 | $53.42 | 53.5 | 51.5/53.5/53.5/55.5 | $1.3600 | 0.680 | 3.182% | $1.0800 | +$1,120 | +$19,520 | SCHED |
| 2026-07-02 | Thursday | 2026-07-10 | $53.27 | 53.5 | 51.5/53.5/53.5/55.5 | $1.3400 | 0.670 | 3.004% | $1.2100 | +$520 | +$20,040 | SCHED |
| 2026-07-06 | Monday | 2026-07-10 | $53.37 | 53.5 | 51.5/53.5/53.5/55.5 | $0.9800 | 0.490 | 2.174% | $1.0000 | $-80 | +$19,960 | SCHED |
| 2026-07-09 | Thursday | 2026-07-10 | $55.19 | 55.0 | 53.0/55.0/55.0/57.0 | $0.7600 | 0.380 | 1.540% | $0.6600 | +$400 | +$20,360 | SCHED |
| 2026-07-10 | Friday | 2026-07-17 | $55.20 | 55.0 | 53.0/55.0/55.0/57.0 | $1.1900 | 0.595 | 2.663% | $0.9600 | +$920 | +$21,280 | SCHED |
| 2026-07-14 | Tuesday | 2026-07-17 | $56.98 | 57.0 | 55.0/57.0/57.0/59.0 | $1.0400 | 0.520 | 2.316% | $0.9200 | +$480 | +$21,760 | SCHED |
| 2026-07-15 | Wednesday | 2026-07-17 | $56.85 | 57.0 | 55.0/57.0/57.0/59.0 | $0.9000 | 0.450 | 1.847% | $0.8200 | +$320 | +$22,080 | SCHED |
| 2026-07-20 | Monday | 2026-07-24 | $57.69 | 57.5 | 55.5/57.5/57.5/59.5 | $1.4100 | 0.705 | 2.981% | $1.2100 | +$800 | +$22,880 | SCHED |
| 2026-07-21 | Tuesday | 2026-07-24 | $57.91 | 58.0 | 56.0/58.0/58.0/60.0 | $1.0000 | 0.500 | 2.210% | $1.1800 | $-720 | +$22,160 | SCHED |
| 2026-07-24 | Friday | 2026-07-31 | $59.87 | 60.0 | 58.0/60.0/60.0/62.0 | $1.4600 | 0.730 | 3.307% | $1.3200 | +$560 | +$22,720 | SCHED |
| 2026-07-27 | Monday | 2026-07-31 | $59.05 | 59.0 | 57.0/59.0/59.0/61.0 | $1.0100 | 0.505 | 2.591% | $1.0600 | $-200 | +$22,520 | SCHED |
| 2026-07-28 | Tuesday | 2026-07-31 | $58.47 | 58.5 | 56.5/58.5/58.5/60.5 | $1.3200 | 0.660 | 2.805% | $1.2900 | +$120 | +$22,640 | SCHED |
| 2026-07-30 | Thursday | 2026-07-31 | $58.45 | 58.5 | 56.5/58.5/58.5/60.5 | $1.1400 | 0.570 | 2.087% | $0.8600 | +$1,120 | +$23,760 | SCHED |
| 2026-07-31 | Friday | 2026-08-07 | $58.84 | 59.0 | 57.0/59.0/59.0/61.0 | $1.4600 | 0.730 | 3.280% | $1.1900 | +$1,080 | +$24,840 | SCHED |
| 2026-08-12 | Wednesday | 2026-08-14 | $60.41 | 60.5 | 58.5/60.5/60.5/62.5 | $0.9600 | 0.480 | 1.771% | $0.9200 | +$160 | +$25,000 | SCHED |
| 2026-08-13 | Thursday | 2026-08-14 | $60.69 | 60.5 | 58.5/60.5/60.5/62.5 | $0.8000 | 0.400 | 1.368% | $0.7100 | +$360 | +$25,360 | SCHED |
| 2026-08-14 | Friday | 2026-08-21 | $61.57 | 61.5 | 59.5/61.5/61.5/63.5 | $1.2500 | 0.625 | 2.680% | $1.1700 | +$320 | +$25,680 | SCHED |
| 2026-08-17 | Monday | 2026-08-21 | $62.11 | 62.0 | 60.0/62.0/62.0/64.0 | $1.1200 | 0.560 | 2.174% | $1.2200 | $-400 | +$25,280 | SCHED |
| 2026-08-19 | Wednesday | 2026-08-21 | $63.92 | 64.0 | 62.0/64.0/64.0/66.0 | $0.9500 | 0.475 | 1.846% | $1.0000 | $-200 | +$25,080 | SCHED |
| 2026-08-21 | Friday | 2026-08-28 | $64.00 | 64.0 | 62.0/64.0/64.0/66.0 | $1.2500 | 0.625 | 2.781% | $1.2600 | $-40 | +$25,040 | SCHED |
| 2026-08-26 | Wednesday | 2026-08-28 | $61.97 | 62.0 | 60.0/62.0/62.0/64.0 | $1.2700 | 0.635 | 2.340% | $1.0300 | +$960 | +$26,000 | SCHED |
| 2026-08-27 | Thursday | 2026-08-28 | $62.18 | 62.0 | 60.0/62.0/62.0/64.0 | $0.8200 | 0.410 | 1.399% | $0.6400 | +$720 | +$26,720 | SCHED |
| 2026-08-28 | Friday | 2026-09-04 | $62.54 | 62.5 | 60.5/62.5/62.5/64.5 | $1.3000 | 0.650 | 2.590% | $1.2200 | +$320 | +$27,040 | SCHED |
| 2026-09-03 | Thursday | 2026-09-04 | $65.15 | 65.0 | 63.0/65.0/65.0/67.0 | $0.8700 | 0.435 | 1.443% | $0.7100 | +$640 | +$27,680 | SCHED |
| 2026-09-11 | Friday | 2026-09-18 | $65.02 | 65.0 | 63.0/65.0/65.0/67.0 | $1.2400 | 0.620 | 3.076% | $1.2600 | $-80 | +$27,600 | SCHED |