| Filter | Status |
|---|---|
| Credit ratio ≥ 0.15 (1.50/wing) | ✔ Active |
| Net credit ≥ $1.00 | ✔ Active |
| Straddle ≥ 0.8% of XSP | ✔ Active |
| Straddle ≤ 3.0% of XSP | ✔ Active |
| Overnight gap ≤ 0.5% of prior close | ✔ Active |
| Prior-day move ≤ 30% of wing (≤$3.00) | ✔ Active |
| Avg credit ratio (traded days) | 0.625 (6.25/10) |
| Avg straddle % of XSP (traded days) | 1.211% |
| 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 XSP = ATM) |
| XSP moves > $10 from ATM | Max loss = ($10 − credit) × 100 × 40 |
| Avg net credit collected | $6.2503 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 | +$4,422 |
| Average loser | $-3,899 |
| Best trade | +$12,200 (2026-04-21) |
| Worst trade | $-10,760 (2026-04-30) |
| Total gross wins | +$168,040 |
| Total gross losses | $-97,480 |
Total P&L of +$70,560 over 63 trades across Jan–2026-09-15. The iron butterfly's ATM structure collects short-term premium on XSP, a large-cap Dow Jones Industrial Average ETF with implied vol similar in character to 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.
XSP (Dow Jones Industrial Average ETF — 30 large-cap blue chips) trades a profile very close to SPY — $1 strike increments and an ATM weekly straddle (~0.8% of price) squarely within SPY's own ~0.75–1.2% range. Concentration in 30 names means single-stock earnings surprises can move XSP more than a broader 500-name index, so a ±$10 wing still carries real gap/whipsaw risk. Treat this as a close 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 63 trades.
| Date | Day | Expiry | XSP 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 | $687.13 | 687 | 677/687/687/697 | $5.6300 | 0.563 | 1.121% | $6.4800 | $-3,400 | $-3,400 | SCHED |
| 2026-01-06 | Tuesday | 2026-01-09 | $690.84 | 691 | 681/691/691/701 | $5.3200 | 0.532 | 0.890% | $6.3600 | $-4,160 | $-7,560 | SCHED |
| 2026-01-09 | Friday | 2026-01-16 | $694.64 | 695 | 685/695/695/705 | $6.8200 | 0.682 | 1.349% | $6.6900 | +$520 | $-7,040 | SCHED |
| 2026-01-12 | Monday | 2026-01-16 | $695.47 | 695 | 685/695/695/705 | $6.3800 | 0.638 | 1.288% | $6.7000 | $-1,280 | $-8,320 | SCHED |
| 2026-01-13 | Tuesday | 2026-01-16 | $698.48 | 698 | 688/698/698/708 | $5.8100 | 0.581 | 1.004% | $4.9100 | +$3,600 | $-4,720 | SCHED |
| 2026-01-14 | Wednesday | 2026-01-16 | $693.26 | 693 | 683/693/693/703 | $5.7700 | 0.577 | 0.988% | $4.3800 | +$5,560 | +$840 | SCHED |
| 2026-01-16 | Friday | 2026-01-23 | $696.47 | 696 | 686/696/696/706 | $6.5800 | 0.658 | 1.169% | $5.1400 | +$5,760 | +$6,600 | SCHED |
| 2026-01-23 | Friday | 2026-01-30 | $690.07 | 690 | 680/690/690/700 | $6.7100 | 0.671 | 1.564% | $6.2900 | +$1,680 | +$8,280 | SCHED |
| 2026-01-26 | Monday | 2026-01-30 | $694.38 | 694 | 684/694/694/704 | $5.2200 | 0.522 | 1.256% | $6.3000 | $-4,320 | +$3,960 | SCHED |
| 2026-01-27 | Tuesday | 2026-01-30 | $696.28 | 696 | 686/696/696/706 | $6.4900 | 0.649 | 1.155% | $6.9500 | $-1,840 | +$2,120 | SCHED |
| 2026-01-28 | Wednesday | 2026-01-30 | $699.86 | 700 | 690/700/700/710 | $5.4200 | 0.542 | 0.946% | $4.3200 | +$4,400 | +$6,520 | SCHED |
| 2026-01-30 | Friday | 2026-02-06 | $696.18 | 696 | 686/696/696/706 | $7.7100 | 0.771 | 1.913% | $6.2500 | +$5,840 | +$12,360 | SCHED |
| 2026-02-02 | Monday | 2026-02-06 | $694.65 | 695 | 685/695/695/705 | $6.8800 | 0.688 | 1.392% | $6.4100 | +$1,880 | +$14,240 | SCHED |
| 2026-02-10 | Tuesday | 2026-02-13 | $696.99 | 697 | 687/697/697/707 | $6.5700 | 0.657 | 1.181% | $5.5100 | +$4,240 | +$18,480 | SCHED |
| 2026-02-17 | Tuesday | 2026-02-20 | $685.13 | 685 | 675/685/685/695 | $9.0900 | 0.909 | 1.848% | $6.4100 | +$10,720 | +$29,200 | SCHED |
| 2026-02-18 | Wednesday | 2026-02-20 | $686.90 | 687 | 677/687/687/697 | $6.8100 | 0.681 | 1.344% | $6.4100 | +$1,600 | +$30,800 | SCHED |
| 2026-02-19 | Thursday | 2026-02-20 | $686.32 | 686 | 676/686/686/696 | $5.7300 | 0.573 | 1.100% | $4.3400 | +$5,560 | +$36,360 | SCHED |
| 2026-02-20 | Friday | 2026-02-27 | $686.53 | 687 | 677/687/687/697 | $6.2400 | 0.624 | 1.853% | $8.1800 | $-7,760 | +$28,600 | SCHED |
| 2026-03-11 | Wednesday | 2026-03-13 | $681.00 | 681 | 671/681/681/691 | $7.6100 | 0.761 | 1.740% | $6.9700 | +$2,560 | +$31,160 | SCHED |
| 2026-04-09 | Thursday | 2026-04-10 | $677.73 | 678 | 668/678/678/688 | $4.7400 | 0.474 | 0.822% | $5.5400 | $-3,200 | +$27,960 | SCHED |
| 2026-04-13 | Monday | 2026-04-17 | $679.76 | 680 | 670/680/680/690 | $8.9300 | 0.893 | 1.824% | $8.0900 | +$3,360 | +$31,320 | SCHED |
| 2026-04-21 | Tuesday | 2026-04-24 | $711.78 | 712 | 702/712/712/722 | $7.4200 | 0.742 | 1.415% | $4.3700 | +$12,200 | +$43,520 | SCHED |
| 2026-04-24 | Friday | 2026-05-01 | $713.07 | 713 | 703/713/713/723 | $6.5500 | 0.655 | 1.872% | $8.1700 | $-6,480 | +$37,040 | SCHED |
| 2026-04-28 | Tuesday | 2026-05-01 | $714.77 | 715 | 705/715/715/725 | $8.4700 | 0.847 | 1.693% | $6.2800 | +$8,760 | +$45,800 | SCHED |
| 2026-04-29 | Wednesday | 2026-05-01 | $713.25 | 713 | 703/713/713/723 | $5.3300 | 0.533 | 1.144% | $6.2200 | $-3,560 | +$42,240 | SCHED |
| 2026-04-30 | Thursday | 2026-05-01 | $714.59 | 715 | 705/715/715/725 | $5.4600 | 0.546 | 0.917% | $8.1500 | $-10,760 | +$31,480 | SCHED |
| 2026-05-04 | Monday | 2026-05-08 | $722.55 | 723 | 713/723/723/733 | $4.8800 | 0.488 | 1.045% | $6.4500 | $-6,280 | +$25,200 | SCHED |
| 2026-05-08 | Friday | 2026-05-15 | $737.79 | 738 | 728/738/738/748 | $7.9500 | 0.795 | 1.570% | $6.9400 | +$4,040 | +$29,240 | SCHED |
| 2026-05-11 | Monday | 2026-05-15 | $740.43 | 740 | 730/740/740/750 | $6.6300 | 0.663 | 1.264% | $6.5900 | +$160 | +$29,400 | SCHED |
| 2026-05-12 | Tuesday | 2026-05-15 | $738.90 | 739 | 729/739/739/749 | $7.2200 | 0.722 | 1.337% | $5.5000 | +$6,880 | +$36,280 | SCHED |
| 2026-05-13 | Wednesday | 2026-05-15 | $739.62 | 740 | 730/740/740/750 | $5.7600 | 0.576 | 1.009% | $6.7000 | $-3,760 | +$32,520 | SCHED |
| 2026-05-18 | Monday | 2026-05-22 | $741.56 | 742 | 732/742/742/752 | $8.4200 | 0.842 | 1.671% | $7.9100 | +$2,040 | +$34,560 | SCHED |
| 2026-05-19 | Tuesday | 2026-05-22 | $738.27 | 738 | 728/738/738/748 | $7.1000 | 0.710 | 1.456% | $5.1300 | +$7,880 | +$42,440 | SCHED |
| 2026-05-20 | Wednesday | 2026-05-22 | $737.73 | 738 | 728/738/738/748 | $4.4400 | 0.444 | 1.011% | $6.5800 | $-8,560 | +$33,880 | SCHED |
| 2026-05-27 | Wednesday | 2026-05-29 | $753.41 | 753 | 743/753/753/763 | $5.4100 | 0.541 | 0.827% | $4.3300 | +$4,320 | +$38,200 | SCHED |
| 2026-05-28 | Thursday | 2026-05-29 | $752.17 | 752 | 742/752/752/762 | $5.2600 | 0.526 | 0.860% | $5.3600 | $-400 | +$37,800 | SCHED |
| 2026-06-01 | Monday | 2026-06-05 | $759.15 | 759 | 749/759/759/769 | $6.5200 | 0.652 | 1.155% | $6.8000 | $-1,120 | +$36,680 | SCHED |
| 2026-06-02 | Tuesday | 2026-06-05 | $759.91 | 760 | 750/760/760/770 | $5.4500 | 0.545 | 0.941% | $5.6700 | $-880 | +$35,800 | SCHED |
| 2026-06-03 | Wednesday | 2026-06-05 | $760.78 | 761 | 751/761/761/771 | $6.0900 | 0.609 | 0.937% | $5.7700 | +$1,280 | +$37,080 | SCHED |
| 2026-06-16 | Tuesday | 2026-06-26 | $757.64 | 758 | 748/758/758/768 | $7.7500 | 0.775 | 1.683% | $4.7000 | +$12,200 | +$49,280 | SCHED |
| 2026-06-22 | Monday | 2026-06-26 | $752.74 | 753 | 743/753/753/763 | $6.4300 | 0.643 | 1.230% | $3.6100 | +$11,280 | +$60,560 | SCHED |
| 2026-06-24 | Wednesday | 2026-06-26 | $739.20 | 739 | 729/739/739/749 | $6.7900 | 0.679 | 1.296% | $6.1300 | +$2,640 | +$63,200 | SCHED |
| 2026-06-30 | Tuesday | 2026-07-10 | $744.32 | 744 | 734/744/744/754 | $7.2000 | 0.720 | 1.827% | $8.1700 | $-3,880 | +$59,320 | SCHED |
| 2026-07-02 | Thursday | 2026-07-10 | $751.68 | 752 | 742/752/752/762 | $5.9100 | 0.591 | 1.144% | $4.1900 | +$6,880 | +$66,200 | SCHED |
| 2026-07-13 | Monday | 2026-07-17 | $756.11 | 756 | 746/756/756/766 | $6.0300 | 0.603 | 1.079% | $7.3600 | $-5,320 | +$60,880 | SCHED |
| 2026-07-22 | Wednesday | 2026-07-24 | $750.17 | 750 | 740/750/750/760 | $5.5200 | 0.552 | 0.889% | $4.9500 | +$2,280 | +$63,160 | SCHED |
| 2026-07-29 | Wednesday | 2026-07-31 | $742.82 | 743 | 733/743/743/753 | $6.6800 | 0.668 | 1.451% | $6.0800 | +$2,400 | +$65,560 | SCHED |
| 2026-08-07 | Friday | 2026-08-14 | $774.11 | 774 | 764/774/774/784 | $5.1700 | 0.517 | 1.083% | $6.7600 | $-6,360 | +$59,200 | SCHED |
| 2026-08-10 | Monday | 2026-08-14 | $775.77 | 776 | 766/776/776/786 | $6.5800 | 0.658 | 1.102% | $6.3000 | +$1,120 | +$60,320 | SCHED |
| 2026-08-11 | Tuesday | 2026-08-14 | $776.13 | 776 | 766/776/776/786 | $5.4800 | 0.548 | 0.892% | $5.6000 | $-480 | +$59,840 | SCHED |
| 2026-08-12 | Wednesday | 2026-08-14 | $775.85 | 776 | 766/776/776/786 | $6.3300 | 0.633 | 0.940% | $4.4200 | +$7,640 | +$67,480 | SCHED |
| 2026-08-14 | Friday | 2026-08-21 | $781.06 | 781 | 771/781/781/791 | $6.2800 | 0.628 | 1.106% | $5.6600 | +$2,480 | +$69,960 | SCHED |
| 2026-08-17 | Monday | 2026-08-21 | $778.40 | 778 | 768/778/778/788 | $5.3700 | 0.537 | 0.861% | $4.4900 | +$3,520 | +$73,480 | SCHED |
| 2026-08-18 | Tuesday | 2026-08-21 | $772.12 | 772 | 762/772/772/782 | $6.0300 | 0.603 | 0.934% | $4.9100 | +$4,480 | +$77,960 | SCHED |
| 2026-08-24 | Monday | 2026-08-28 | $766.32 | 766 | 756/766/766/776 | $5.8100 | 0.581 | 1.114% | $6.4900 | $-2,720 | +$75,240 | SCHED |
| 2026-08-25 | Tuesday | 2026-08-28 | $769.12 | 769 | 759/769/769/779 | $5.2100 | 0.521 | 0.956% | $6.1500 | $-3,760 | +$71,480 | SCHED |
| 2026-08-26 | Wednesday | 2026-08-28 | $768.51 | 769 | 759/769/769/779 | $5.5100 | 0.551 | 0.933% | $5.5700 | $-240 | +$71,240 | SCHED |
| 2026-08-28 | Friday | 2026-09-04 | $775.25 | 775 | 765/775/775/785 | $6.6000 | 0.660 | 1.187% | $5.8800 | +$2,880 | +$74,120 | SCHED |
| 2026-08-31 | Monday | 2026-09-04 | $769.22 | 769 | 759/769/769/779 | $5.9700 | 0.597 | 1.005% | $5.4600 | +$2,040 | +$76,160 | SCHED |
| 2026-09-02 | Wednesday | 2026-09-04 | $765.23 | 765 | 755/765/765/775 | $5.1800 | 0.518 | 0.812% | $4.8700 | +$1,240 | +$77,400 | SCHED |
| 2026-09-08 | Tuesday | 2026-09-11 | $771.06 | 771 | 761/771/771/781 | $4.6000 | 0.460 | 0.860% | $5.5800 | $-3,920 | +$73,480 | SCHED |
| 2026-09-09 | Wednesday | 2026-09-11 | $766.70 | 767 | 757/767/767/777 | $4.4400 | 0.444 | 0.762% | $5.2000 | $-3,040 | +$70,440 | SCHED |
| 2026-09-15 | Tuesday | 2026-09-18 | $762.73 | 763 | 753/763/763/773 | $6.0800 | 0.608 | 1.251% | $6.0500 | +$120 | +$70,560 | SCHED |