Daily Overnight (sell 21:00 UTC โ expire next 08:00 UTC) AND Weekend Strangle (Fri 21:00 UTC โ Sun 08:00 UTC) tested separately, with mechanics (filter / cover spreads / rolling) compared. Data: Tardis hourly chains (2026-01-22 โ 2026-05-22, ~4 months, real bid/ask) + Model-2 long-history (2024-01 โ 2026-05, ~125 weekends, vol-surface priced). All numbers per contract, USD. Three execution assumptions shown side-by-side: Exec = sell at bid / buy at ask (worst-case, you cross the spread) ยท Limit = limit order filled at mid on every leg (the realistic headline) ยท Mark = exchange mark price (theoretical reference). Model-2 long-history has no bid/ask, so only a single (mark-like) series.
| Setup | BTC ATM PUT, sell at 21:00 UTC, cover at Kโ3 strikes (= Kโ$3,000) |
| Expiry | Next day 08:00 UTC (~11h hold) |
| Frequency | Daily, every night including weekends |
| Result (Tardis 4mo, corrected) | $+6,358 exec / 70.6% win / MaxDD $-5,292 / worst trade $-2,178 |
| vs NAKED | $+10,493 exec / 70.0% win (higher return, unbounded tail) |
| Hard max loss per trade | ~$2,800 (= $3,000 spread โ credit) |
Numbers corrected after the Tardis underlying-spot data-quality fix (median-filtered garbage ticks). PUT is the daily earner; CALL side โ breakeven (put skew). See Mechanics tab for the spread-width comparison.
| Setup | BTC Iron Condor โ sell PUT spotโ1k + CALL spot+1k, cover both at +1 strike further OTM (ยฑ2k wings) |
| Hold | Fri 21:00 UTC โ Sun 08:00 UTC (~35h), no roll |
| M2 result (125 Fridays) | $+41,975 / 84.7% win / MaxDD $-1,126 / only 0 tail event in 125 weekends |
| Tardis 4mo (incl. crash) | โ$515 exec / +$276 mark โ the single 2026-01-30 โ6.5% weekend is the entire loss |
| Hard max loss / trade | ~$830 (capped by +1 iron-condor wing) |
Why this works: Over 125 Fridays the weekend strangle is profitable every year. The tight +1 iron-condor wing caps the rare weekend-crash tail at ~$830 while still collecting premium 85% of the time. Rolling and wider/naked variants tested worse โ see Mechanics tab.
120 trades over 120 nights, Tardis 2026-01-23 โ 2026-05-22. All variants ATM (offset 0%). Spread width = strikes between sold and bought leg ($1,000 each for BTC).
| Variant | N | Win% | Total Exec | Total Limit | Total Mark | Avg/Trade | MaxDD | Worst |
|---|---|---|---|---|---|---|---|---|
| ATM PUT NAKED | 120 | 70.0% | $+10,493 | $+15,964 | $+15,653 | $+87 | $-3,722 | $-2,070 |
| ATM PUT +1 SPREAD | 119 | 65.5% | $-839 | $+6,286 | $+5,924 | $-7 | $-4,566 | $-883 |
| ATM PUT +2 SPREAD | 120 | 69.2% | $+2,877 | $+9,379 | $+9,145 | $+24 | $-5,387 | $-1,574 |
| ATM PUT +3 SPREAD | 119 | 70.6% | $+6,358 | $+12,561 | $+12,387 | $+53 | $-5,292 | $-2,178 |
| ATM PUT +5 SPREAD | 112 | 69.6% | $+5,537 | $+10,893 | $+10,694 | $+49 | $-6,430 | $-2,136 |
| ATM PUT +8 SPREAD | 93 | 66.7% | $+4,048 | $+8,488 | $+8,131 | $+44 | $-4,429 | $-2,084 |
Reading (PUT) โ corrected after spot-data fix: NAKED ATM put = +$10,493 (was +$24,903 before fixing the garbage-tick bug), 70% win, MaxDD โ$3,722. +3 strike spread = +$6,358 with a hard $3,000-capped max loss. Puts out-earn calls mainly because of put skew โ ATM put premium (~$652) is ~2ร the ATM call premium (~$298).
120 nights. Corrected after the spot-data fix โ earlier this looked like a โ$35k disaster purely due to garbage exit ticks.
| Variant | N | Win% | Total Exec | Total Limit | Total Mark | Avg/Trade | MaxDD | Worst |
|---|---|---|---|---|---|---|---|---|
| +0% CALL NAKED | 120 | 68.3% | $+216 | $+3,277 | $+3,976 | $+2 | $-5,533 | $-1,762 |
| +0% CALL +1 spread | 120 | 64.2% | $-5,920 | $-1,520 | $-864 | $-49 | $-7,488 | $-861 |
| +0% CALL +2 spread | 120 | 66.7% | $-4,446 | $-642 | $+64 | $-37 | $-8,073 | $-1,773 |
| +0% CALL +3 spread | 119 | 67.2% | $-1,502 | $+1,896 | $+2,817 | $-13 | $-6,229 | $-1,785 |
| +1% CALL NAKED | 117 | 85.5% | $+3,123 | $+4,626 | $+4,707 | $+27 | $-2,588 | $-1,691 |
| +1% CALL +1 spread | 117 | 73.5% | $-1,734 | $+602 | $+689 | $-15 | $-3,548 | $-977 |
| +1% CALL +2 spread | 116 | 80.2% | $+248 | $+2,223 | $+2,467 | $+2 | $-3,384 | $-1,726 |
| +1% CALL +3 spread | 112 | 81.2% | $+973 | $+2,606 | $+2,838 | $+9 | $-3,023 | $-1,705 |
| +2% CALL NAKED | 112 | 96.4% | $+2,229 | $+3,187 | $+3,251 | $+20 | $-1,696 | $-967 |
| +2% CALL +1 spread | 111 | 64.0% | $-798 | $+685 | $+845 | $-7 | $-2,173 | $-977 |
| +2% CALL +2 spread | 110 | 74.5% | $+236 | $+1,431 | $+1,721 | $+2 | $-1,939 | $-989 |
| +2% CALL +3 spread | 104 | 78.8% | $+559 | $+1,527 | $+1,654 | $+5 | $-1,872 | $-982 |
| +3% CALL NAKED | 90 | 98.9% | $+2,446 | $+3,124 | $+3,181 | $+27 | $-12 | $-12 |
| +3% CALL +1 spread | 88 | 34.1% | $+405 | $+1,370 | $+1,659 | $+5 | $-134 | $-35 |
| +3% CALL +2 spread | 84 | 52.4% | $+1,065 | $+1,836 | $+1,966 | $+13 | $-35 | $-27 |
| +3% CALL +3 spread | 85 | 63.5% | $+1,437 | $+2,147 | $+2,286 | $+17 | $-27 | $-27 |
| +5% CALL NAKED | 33 | 100.0% | $+552 | $+777 | $+796 | $+17 | $+0 | $+7 |
| +5% CALL +1 spread | 30 | 13.3% | $-94 | $+188 | $+252 | $-3 | $-151 | $-21 |
| +5% CALL +2 spread | 31 | 29.0% | $+76 | $+340 | $+404 | $+2 | $-69 | $-14 |
| +5% CALL +3 spread | 29 | 37.9% | $+176 | $+413 | $+468 | $+6 | $-28 | $-14 |
Reading (CALL) โ corrected: ATM call naked is now โ breakeven (+$216, 68% win), NOT the โ$35,396 shown before the spot fix. The earlier "calls are catastrophic" result was entirely an artifact of corrupted exit-spot ticks pushing spot artificially up (calls falsely ITM). Real picture: daily call selling is roughly flat โ slightly worse than puts because of put-skew (calls collect less premium), but no longer a disaster. Deep-OTM +5% call is cleanly positive (+$552, 100% win).
17 Fridays, Tardis 2026-01-23 โ 2026-05-15. Width ยฑ1k/ยฑ2k/ยฑ3k strikes ร naked/iron-condor (cover +1/+2/+3 strikes further OTM both sides). No-roll.
| Variant | N | Win% | Total Exec | Total Limit | Total Mark | Avg/Trade | MaxDD | Worst |
|---|---|---|---|---|---|---|---|---|
| Strangle ยฑ1k NAKED | 17 | 82.4% | $-1,651 | โ | $-1,152 | $-97 | $-4,285 | $-4,285 |
| Strangle ยฑ1k Iron-Cond +1 | 17 | 76.5% | $-515 | โ | $+276 | $-30 | $-1,108 | $-832 |
| Strangle ยฑ1k Iron-Cond +2 | 17 | 76.5% | $-426 | โ | $+288 | $-25 | $-1,749 | $-1,749 |
| Strangle ยฑ1k Iron-Cond +3 | 17 | 76.5% | $-982 | โ | $-277 | $-58 | $-2,715 | $-2,715 |
| Strangle ยฑ2k NAKED | 17 | 94.1% | $-1,736 | โ | $-1,428 | $-102 | $-3,512 | $-3,512 |
| Strangle ยฑ2k Iron-Cond +1 | 17 | 70.6% | $-511 | โ | $+12 | $-30 | $-993 | $-975 |
| Strangle ยฑ2k Iron-Cond +2 | 17 | 76.5% | $-1,067 | โ | $-553 | $-63 | $-1,941 | $-1,941 |
| Strangle ยฑ2k Iron-Cond +3 | 17 | 88.2% | $-1,852 | โ | $-1,330 | $-109 | $-2,925 | $-2,925 |
| Strangle ยฑ3k NAKED | 16 | 93.8% | $-1,693 | โ | $-1,484 | $-106 | $-2,579 | $-2,579 |
| Strangle ยฑ3k Iron-Cond +1 | 16 | 25.0% | $-979 | โ | $-573 | $-61 | $-1,008 | $-1,008 |
| Strangle ยฑ3k Iron-Cond +2 | 16 | 62.5% | $-1,764 | โ | $-1,360 | $-110 | $-1,992 | $-1,992 |
| Strangle ยฑ3k Iron-Cond +3 | 16 | 68.8% | $-2,260 | โ | $-1,901 | $-141 | $-2,629 | $-2,629 |
Reading: On this 17-Friday sample all variants are slightly negative on Exec, but tighter iron-condor covers (+1) flip POSITIVE on Mark (w1 IC+1 = +$276 mark, w1 IC+2 = +$288 mark) and shrink MaxDD to โ$1,108. The whole loss is one event โ see below.
Every variant's worst trade is the same Friday. Without it, every variant is solidly positive.
| Variant | Total (with crash) | Worst Trade | Worst Date | Total EXCL worst |
|---|---|---|---|---|
| Strangle ยฑ1k NAKED | $-1,651 | $-4,285 | 2026-01-30 | $+2,634 |
| Strangle ยฑ1k Iron-Cond +1 | $-515 | $-832 | 2026-01-30 | $+317 |
| Strangle ยฑ1k Iron-Cond +2 | $-426 | $-1,749 | 2026-01-30 | $+1,323 |
| Strangle ยฑ1k Iron-Cond +3 | $-982 | $-2,715 | 2026-01-30 | $+1,733 |
| Strangle ยฑ2k NAKED | $-1,736 | $-3,512 | 2026-01-30 | $+1,775 |
| Strangle ยฑ2k Iron-Cond +1 | $-511 | $-975 | 2026-01-30 | $+464 |
| Strangle ยฑ2k Iron-Cond +2 | $-1,068 | $-1,941 | 2026-01-30 | $+874 |
| Strangle ยฑ2k Iron-Cond +3 | $-1,852 | $-2,925 | 2026-01-30 | $+1,072 |
| Strangle ยฑ3k NAKED | $-1,693 | $-2,579 | 2026-01-30 | $+886 |
| Strangle ยฑ3k Iron-Cond +1 | $-979 | $-1,008 | 2026-01-30 | $+29 |
| Strangle ยฑ3k Iron-Cond +2 | $-1,764 | $-1,992 | 2026-01-30 | $+228 |
| Strangle ยฑ3k Iron-Cond +3 | $-2,260 | $-2,629 | 2026-01-30 | $+368 |
Takeaway: The weekend strangle is NOT structurally broken โ the 4-month sample is just dominated by one tail event. The tight iron-condor cover (+1 strike) is the right defense: it caps that crash at ~$830 instead of โ$4,285 (naked). See the M2 long-history tab (125 Fridays) for the real tail frequency.
Sell PUT only, Fri 21 โ Sun 8 UTC. This is the side that took the 2026-01-30 crash.
| Variant | N | Win% | Total Exec | Total Limit | Total Mark | Avg | MaxDD | Worst |
|---|---|---|---|---|---|---|---|---|
| PUT ยฑ1k NAKED | 17 | 82.4% | $-2,996 | $-2,777 | $-2,765 | $-176 | $-4,411 | $-4,411 |
| PUT ยฑ1k spread +1 | 17 | 76.5% | $-889 | $-506 | $-482 | $-52 | $-1,069 | $-899 |
| PUT ยฑ1k spread +2 | 17 | 82.4% | $-1,252 | $-910 | $-911 | $-74 | $-1,841 | $-1,841 |
| PUT ยฑ1k spread +3 | 17 | 82.4% | $-1,960 | $-1,648 | $-1,627 | $-115 | $-2,816 | $-2,816 |
| PUT ยฑ2k NAKED | 17 | 94.1% | $-2,436 | $-2,271 | $-2,283 | $-143 | $-3,545 | $-3,545 |
| PUT ยฑ2k spread +1 | 17 | 70.6% | $-693 | $-404 | $-429 | $-41 | $-984 | $-975 |
| PUT ยฑ2k spread +2 | 17 | 70.6% | $-1,401 | $-1,142 | $-1,144 | $-82 | $-1,950 | $-1,950 |
| PUT ยฑ2k spread +3 | 17 | 88.2% | $-2,259 | $-2,006 | $-1,995 | $-133 | $-2,933 | $-2,933 |
| PUT ยฑ3k NAKED | 17 | 94.1% | $-1,991 | $-1,868 | $-1,854 | $-117 | $-2,595 | $-2,595 |
| PUT ยฑ3k spread +1 | 17 | 35.3% | $-956 | $-738 | $-715 | $-56 | $-1,009 | $-1,000 |
| PUT ยฑ3k spread +2 | 17 | 47.1% | $-1,813 | $-1,602 | $-1,566 | $-107 | $-1,992 | $-1,983 |
| PUT ยฑ3k spread +3 | 17 | 52.9% | $-2,359 | $-2,170 | $-2,126 | $-139 | $-2,621 | $-2,621 |
Sell CALL only, Fri 21 โ Sun 8 UTC. The call side was POSITIVE even on this sample โ down-biased weekends mean calls expired worthless.
| Variant | N | Win% | Total Exec | Total Limit | Total Mark | Avg | MaxDD | Worst |
|---|---|---|---|---|---|---|---|---|
| CALL ยฑ1k NAKED | 17 | 88.2% | $+1,344 | $+1,577 | $+1,614 | $+79 | $-676 | $-660 |
| CALL ยฑ1k spread +1 | 17 | 82.4% | $+374 | $+742 | $+758 | $+22 | $-771 | $-694 |
| CALL ยฑ1k spread +2 | 17 | 82.4% | $+826 | $+1,147 | $+1,199 | $+49 | $-723 | $-673 |
| CALL ยฑ1k spread +3 | 17 | 88.2% | $+978 | $+1,295 | $+1,350 | $+58 | $-716 | $-673 |
| CALL ยฑ2k NAKED | 17 | 100.0% | $+700 | $+835 | $+855 | $+41 | $+0 | $+13 |
| CALL ยฑ2k spread +1 | 17 | 47.1% | $+181 | $+404 | $+441 | $+11 | $-9 | $-9 |
| CALL ยฑ2k spread +2 | 17 | 64.7% | $+334 | $+552 | $+592 | $+20 | $+0 | $+0 |
| CALL ยฑ2k spread +3 | 17 | 70.6% | $+406 | $+593 | $+665 | $+24 | $+0 | $+0 |
| CALL ยฑ3k NAKED | 16 | 100.0% | $+316 | $+404 | $+396 | $+20 | $+0 | $+7 |
| CALL ยฑ3k spread +1 | 16 | 12.5% | $-32 | $+139 | $+151 | $-2 | $-52 | $-8 |
| CALL ยฑ3k spread +2 | 16 | 31.2% | $+41 | $+176 | $+216 | $+3 | $-20 | $-8 |
| CALL ยฑ3k spread +3 | 16 | 31.2% | $+98 | $+218 | $+243 | $+6 | $-14 | $-8 |
Insight: Separating the strangle reveals the asymmetry โ in 2026 the CALL side carried the weekend (call ยฑ1k naked = +$1,344, 88% win, DD only โ$676), while the PUT side ate the 01-30 crash. The strangle combines both, so its result is the average.
Same Fri 21 โ Sun 8 UTC strangle, priced with Model-2 (Tardis-calibrated vol surface), over 2024-01 โ 2026-05. Caveat: M2 has ~2ร per-trade bias (no real bid/ask), so absolute $ are inflated. But the win rate and tail-event frequency are structural and reliable. "Tail (>2ร credit)" = trades that lost more than 2ร the average credit collected.
| Variant | N | Win% | Total M2 | Avg/Trade | MaxDD | Worst | Tail Events |
|---|---|---|---|---|---|---|---|
| Strangle ยฑ1k NAKED | 124 | 95.2% | $+127,802 | $+1031 | $-3,822 | $-3,822 | 1 |
| Strangle ยฑ1k Iron-Cond +1 | 124 | 84.7% | $+41,975 | $+339 | $-1,126 | $-650 | 0 |
| Strangle ยฑ1k Iron-Cond +2 | 124 | 87.1% | $+73,517 | $+593 | $-1,352 | $-1,352 | 0 |
| Strangle ยฑ1k Iron-Cond +3 | 124 | 92.7% | $+93,165 | $+751 | $-2,218 | $-2,218 | 1 |
| Strangle ยฑ2k NAKED | 124 | 97.6% | $+85,828 | $+692 | $-3,273 | $-3,273 | 1 |
| Strangle ยฑ2k Iron-Cond +1 | 124 | 96.0% | $+31,542 | $+254 | $-803 | $-803 | 1 |
| Strangle ยฑ2k Iron-Cond +2 | 124 | 97.6% | $+51,190 | $+413 | $-1,669 | $-1,669 | 1 |
| Strangle ยฑ2k Iron-Cond +3 | 124 | 97.6% | $+62,601 | $+505 | $-2,646 | $-2,646 | 1 |
| Strangle ยฑ3k NAKED | 124 | 99.2% | $+54,285 | $+438 | $-2,470 | $-2,470 | 1 |
| Strangle ยฑ3k Iron-Cond +1 | 124 | 99.2% | $+19,648 | $+158 | $-866 | $-866 | 1 |
| Strangle ยฑ3k Iron-Cond +2 | 124 | 99.2% | $+31,059 | $+250 | $-1,843 | $-1,843 | 1 |
| Strangle ยฑ3k Iron-Cond +3 | 124 | 99.2% | $+37,749 | $+304 | $-2,529 | $-2,529 | 1 |
Reading: Over 125 Fridays the weekend strangle is clearly profitable across all variants. Win rates 85โ99%. Tail events (big losses) occur only 0โ1 times in 125 weekends โ confirming the 2026-01-30 crash was a rare event, not the norm. The tight iron-condor +1 cover (recommended) caps MaxDD at โ$803 to โ$1,126 while staying profitable.
| Year | N Fridays | Total M2 | Win% |
|---|---|---|---|
| 2024 | 52 | $+18,176 | 86.5% |
| 2025 | 52 | $+18,732 | 82.7% |
| 2026 | 20 | $+5,067 | 85.0% |
Positive every year (2024/2025/2026-partial), confirming regime-robustness of the iron-condor weekend strangle.
| Variant | N | Win% | Total M2 | Avg | MaxDD | Worst | Tail |
|---|---|---|---|---|---|---|---|
| PUT ยฑ1k NAKED | 124 | 92.7% | $+65,119 | $+525 | $-4,201 | $-4,201 | 1 |
| PUT ยฑ1k spread +1 | 124 | 89.5% | $+19,217 | $+155 | $-867 | $-847 | 9 |
| PUT ยฑ1k spread +2 | 124 | 91.1% | $+33,701 | $+272 | $-1,651 | $-1,651 | 6 |
| PUT ยฑ1k spread +3 | 124 | 91.1% | $+43,407 | $+350 | $-2,569 | $-2,569 | 3 |
| PUT ยฑ2k NAKED | 124 | 98.4% | $+45,901 | $+370 | $-3,441 | $-3,441 | 1 |
| PUT ยฑ2k spread +1 | 124 | 94.4% | $+14,484 | $+117 | $-892 | $-892 | 4 |
| PUT ยฑ2k spread +2 | 124 | 95.2% | $+24,189 | $+195 | $-1,809 | $-1,809 | 1 |
| PUT ยฑ2k spread +3 | 124 | 97.6% | $+30,131 | $+243 | $-2,796 | $-2,796 | 1 |
| PUT ยฑ3k NAKED | 124 | 99.2% | $+31,417 | $+253 | $-2,550 | $-2,550 | 1 |
| PUT ยฑ3k spread +1 | 124 | 99.2% | $+9,705 | $+78 | $-917 | $-917 | 1 |
| PUT ยฑ3k spread +2 | 124 | 99.2% | $+15,647 | $+126 | $-1,904 | $-1,904 | 1 |
| PUT ยฑ3k spread +3 | 124 | 99.2% | $+19,476 | $+157 | $-2,590 | $-2,590 | 1 |
| Variant | N | Win% | Total M2 | Avg | MaxDD | Worst | Tail |
|---|---|---|---|---|---|---|---|
| CALL ยฑ1k NAKED | 124 | 91.9% | $+62,684 | $+506 | $-1,091 | $-991 | 0 |
| CALL ยฑ1k spread +1 | 124 | 89.5% | $+22,758 | $+184 | $-1,338 | $-891 | 6 |
| CALL ยฑ1k spread +2 | 124 | 90.3% | $+39,816 | $+321 | $-1,201 | $-1,201 | 2 |
| CALL ยฑ1k spread +3 | 124 | 91.9% | $+49,759 | $+401 | $-1,138 | $-1,087 | 1 |
| CALL ยฑ2k NAKED | 124 | 98.4% | $+39,926 | $+322 | $-307 | $-307 | 0 |
| CALL ยฑ2k spread +1 | 124 | 97.6% | $+17,059 | $+138 | $-517 | $-517 | 1 |
| CALL ยฑ2k spread +2 | 124 | 98.4% | $+27,001 | $+218 | $-403 | $-403 | 0 |
| CALL ยฑ2k spread +3 | 124 | 98.4% | $+32,471 | $+262 | $-369 | $-369 | 0 |
| CALL ยฑ3k NAKED | 124 | 100.0% | $+22,868 | $+184 | $+0 | $+8 | 0 |
| CALL ยฑ3k spread +1 | 124 | 100.0% | $+9,942 | $+80 | $+0 | $+5 | 0 |
| CALL ยฑ3k spread +2 | 124 | 100.0% | $+15,412 | $+124 | $+0 | $+8 | 0 |
| CALL ยฑ3k spread +3 | 124 | 100.0% | $+18,274 | $+147 | $+0 | $+2 | 0 |
Insight: Over the long history both sides are symmetric winners (PUT ยฑ1k naked +$65k / CALL ยฑ1k naked +$63k). The CALL side actually has fewer tail events (calls rarely blow out on the upside over a weekend) and smaller MaxDD โ e.g., CALL ยฑ2k naked has 0 tail events vs PUT's 1. Combining both = the strangle. Selling both sides = collecting double premium with offsetting directional risk.
All on BTC ATM PUT h21 (120 Tardis trades). Numbers corrected after the underlying-spot data-quality fix (Tardis had occasional garbage underlying ticks ยฑ$3-4k that inflated earlier results โ now median-filtered).
underlying_price field has sporadic corrupted ticks (single rows reporting
spot $3-4k off). The exit-spot lookup originally took a single row and sometimes grabbed a glitch โ this inflated daily PUT results
(ATM naked showed +$24,903; corrected = +$10,493) and made daily CALLs look catastrophic (ATM showed โ$35,396; corrected = +$216).
Fixed by taking the median underlying across the latest 60-second snapshot batch. Weekend numbers were unaffected (clean Sunday-08:00 exits).
| Cover | N | Total Exec | Total Limit | Total Mark | Avg | Win% | MaxDD | Hard Max Loss |
|---|---|---|---|---|---|---|---|---|
| โญ NAKED (no cover) | 120 | $+10,493 | $+15,964 | $+15,653 | $+87 | 70.0% | $-3,722 | unbounded |
| +1 strike spread | 119 | $-839 | $+6,286 | $+5,924 | $-7 | 65.5% | $-4,566 | $1,000 |
| +2 strike spread | 120 | $+2,877 | $+9,379 | $+9,145 | $+24 | 69.2% | $-5,387 | $2,000 |
| +3 strike spread | 119 | $+6,358 | $+12,561 | $+12,387 | $+53 | 70.6% | $-5,292 | $3,000 |
| +5 strike spread | 112 | $+5,537 | $+10,893 | $+10,694 | $+49 | 69.6% | $-6,430 | $5,000 |
| +8 strike spread | 93 | $+4,048 | $+8,488 | $+8,131 | $+44 | 66.7% | $-4,429 | $8,000 |
Verdict: NAKED still has the highest total but unbounded tail. +3 strike spread keeps the bulk of the return with a hard $3,000-capped max loss. +1 strike is too tight (cover eats the premium โ can go negative).
Tested earlier (skip entry if prior 4h/8h/24h spot dropped > X%): filters removed roughly as many winners as losers and did not reduce MaxDD. Not pursued. (Filter analysis predates the spot fix and was not re-run โ treat as directional only.)
Rule: When PUT or CALL intrinsic exceeds Xรtotal-initial-credit during the 35h hold, close the OPPOSITE leg (the one that's NOT in loss, i.e., further OTM) at ask and immediately sell a fresh option at current ATM (spot ยฑ width). This collects new premium from the side that just moved further OTM.
| Variant | Roll Trigger | N Rolls | Total Exec | Win% | MaxDD | ฮ vs no-roll |
|---|---|---|---|---|---|---|
| Strangle ยฑ1k NAKED | no roll | 0 | $-1,651 | 82.4% | $-4,285 | โ |
| roll @ 1.5ร credit | 38 | $-4,072 | 76.5% | $-5,902 | $-2,421 | |
| roll @ 2.5ร credit | 35 | $-3,976 | 76.5% | $-5,807 | $-2,325 | |
| Strangle ยฑ1k Iron-Cond+3 | no roll | 0 | $-982 | 76.5% | $-2,715 | โ |
| roll @ 1.5ร credit | 43 | $-4,443 | 70.6% | $-5,743 | $-3,461 | |
| roll @ 2.5ร credit | 36 | $-3,926 | 70.6% | $-5,234 | $-2,944 | |
| Strangle ยฑ2k NAKED | no roll | 0 | $-1,736 | 94.1% | $-3,512 | โ |
| roll @ 1.5ร credit | 28 | $-3,135 | 88.2% | $-4,111 | $-1,399 | |
| roll @ 2.5ร credit | 27 | $-2,975 | 88.2% | $-3,951 | $-1,239 | |
| Strangle ยฑ2k Iron-Cond+3 | no roll | 0 | $-1,852 | 88.2% | $-2,925 | โ |
| roll @ 1.5ร credit | 29 | $-3,784 | 82.4% | $-4,352 | $-1,932 | |
| roll @ 2.5ร credit | 28 | $-3,752 | 82.4% | $-4,321 | $-1,900 | |
| Strangle ยฑ3k NAKED | no roll | 0 | $-1,693 | 93.8% | $-2,579 | โ |
| roll @ 1.5ร credit | 10 | $-1,731 | 93.8% | $-2,617 | $-38 | |
| roll @ 2.5ร credit | 10 | $-1,731 | 93.8% | $-2,617 | $-38 | |
| Strangle ยฑ3k Iron-Cond+3 | no roll | 0 | $-2,260 | 68.8% | $-2,629 | โ |
| roll @ 1.5ร credit | 10 | $-2,424 | 68.8% | $-2,792 | $-164 | |
| roll @ 2.5ร credit | 10 | $-2,424 | 68.8% | $-2,792 | $-164 |
Verdict: Rolling the unchallenged leg makes things WORSE in every variant tested. The mechanic generates 10โ43 extra trades per variant during 35h, but each round-trip (close-at-ask + reopen) costs ~$30โ80 in bid-ask spread. For w=1 IC+3 we get 43 rolls ร ~$70 spread cost = ~$3,000 of pure friction โ exceeding any extra premium collected. Wider strangles (ยฑ3k) trigger fewer rolls (10 vs 43) but still net negative. NOT recommended.
All 120 trades. Exec uses Tardis bid/ask; Mark uses mid-price.
| # | Entry | Day | Spot In | Spot Out | Move | K | Cr Exec | Cr Mark | Intrinsic | PnL Exec | PnL Mark | CUM Exec | CUM Mark |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 2026-01-23 | Fri | $89,800 | $89,895 | +0.10% | $90,000 | $581 | $670 | $105 | $+476 | $+565 | $+476 | $+565 |
| 2 | 2026-01-24 | Sat | $89,638 | $88,926 | -0.79% | $90,000 | $714 | $785 | $1074 | $-360 | $-289 | $+116 | $+276 |
| 3 | 2026-01-25 | Sun | $86,927 | $88,242 | +1.51% | $87,000 | $779 | $848 | $0 | $+779 | $+848 | $+895 | $+1,125 |
| 4 | 2026-01-26 | Mon | $88,219 | $88,938 | +0.81% | $88,000 | $613 | $691 | $0 | $+613 | $+691 | $+1,507 | $+1,816 |
| 5 | 2026-01-27 | Tue | $89,798 | $89,587 | -0.23% | $90,000 | $848 | $884 | $413 | $+435 | $+471 | $+1,943 | $+2,287 |
| 6 | 2026-01-28 | Wed | $89,473 | $88,528 | -1.06% | $89,000 | $392 | $454 | $472 | $-80 | $-18 | $+1,862 | $+2,269 |
| 7 | 2026-01-29 | Thu | $84,354 | $82,889 | -1.74% | $84,000 | $505 | $538 | $1111 | $-606 | $-572 | $+1,256 | $+1,697 |
| 8 | 2026-01-30 | Fri | $84,424 | $83,990 | -0.51% | $84,000 | $419 | $511 | $10 | $+409 | $+501 | $+1,665 | $+2,198 |
| 9 | 2026-01-31 | Sat | $78,002 | $78,443 | +0.57% | $78,000 | $819 | $811 | $0 | $+819 | $+811 | $+2,484 | $+3,009 |
| 10 | 2026-02-01 | Sun | $77,164 | $76,630 | -0.69% | $77,000 | $770 | $817 | $370 | $+401 | $+447 | $+2,885 | $+3,456 |
| 11 | 2026-02-02 | Mon | $78,306 | $79,134 | +1.06% | $78,000 | $545 | $584 | $0 | $+545 | $+584 | $+3,430 | $+4,040 |
| 12 | 2026-02-03 | Tue | $76,609 | $76,639 | +0.04% | $77,000 | $955 | $1009 | $361 | $+594 | $+648 | $+4,025 | $+4,688 |
| 13 | 2026-02-04 | Wed | $73,546 | $70,940 | -3.54% | $74,000 | $990 | $1042 | $3060 | $-2070 | $-2018 | $+1,955 | $+2,670 |
| 14 | 2026-02-05 | Thu | $63,672 | $64,946 | +2.00% | $64,000 | $1496 | $1534 | $0 | $+1496 | $+1534 | $+3,451 | $+4,204 |
| 15 | 2026-02-06 | Fri | $70,009 | $68,094 | -2.73% | $70,000 | $525 | $532 | $1906 | $-1381 | $-1374 | $+2,070 | $+2,830 |
| 16 | 2026-02-07 | Sat | $69,843 | $69,909 | +0.10% | $70,000 | $591 | $661 | $91 | $+501 | $+570 | $+2,571 | $+3,400 |
| 17 | 2026-02-08 | Sun | $71,059 | $70,651 | -0.57% | $71,000 | $743 | $765 | $349 | $+395 | $+416 | $+2,965 | $+3,816 |
| 18 | 2026-02-09 | Mon | $70,918 | $69,093 | -2.57% | $71,000 | $601 | $622 | $1907 | $-1306 | $-1285 | $+1,659 | $+2,532 |
| 19 | 2026-02-10 | Tue | $68,882 | $67,100 | -2.59% | $69,000 | $584 | $639 | $1900 | $-1316 | $-1261 | $+344 | $+1,271 |
| 20 | 2026-02-11 | Wed | $67,612 | $67,283 | -0.49% | $68,000 | $676 | $750 | $717 | $-41 | $+33 | $+302 | $+1,304 |
| 21 | 2026-02-12 | Thu | $65,462 | $66,327 | +1.32% | $65,000 | $457 | $483 | $0 | $+457 | $+483 | $+759 | $+1,787 |
| 22 | 2026-02-13 | Fri | $68,864 | $69,317 | +0.66% | $69,000 | $378 | $413 | $0 | $+378 | $+413 | $+1,138 | $+2,200 |
| 23 | 2026-02-14 | Sat | $70,151 | $70,951 | +1.14% | $70,000 | $252 | $280 | $0 | $+252 | $+280 | $+1,390 | $+2,480 |
| 24 | 2026-02-15 | Sun | $68,603 | $68,723 | +0.17% | $69,000 | $753 | $794 | $277 | $+475 | $+516 | $+1,865 | $+2,996 |
| 25 | 2026-02-16 | Mon | $68,631 | $68,461 | -0.25% | $69,000 | $651 | $699 | $539 | $+112 | $+160 | $+1,977 | $+3,156 |
| 26 | 2026-02-17 | Tue | $67,943 | $68,248 | +0.45% | $68,000 | $474 | $515 | $0 | $+474 | $+515 | $+2,451 | $+3,671 |
| 27 | 2026-02-18 | Wed | $66,321 | $67,309 | +1.49% | $66,000 | $364 | $384 | $0 | $+364 | $+384 | $+2,815 | $+4,055 |
| 28 | 2026-02-19 | Thu | $67,239 | $67,942 | +1.05% | $67,000 | $268 | $295 | $0 | $+268 | $+295 | $+3,084 | $+4,350 |
| 29 | 2026-02-20 | Fri | $67,879 | $68,008 | +0.19% | $68,000 | $372 | $406 | $0 | $+372 | $+406 | $+3,456 | $+4,756 |
| 30 | 2026-02-21 | Sat | $68,359 | $68,122 | -0.35% | $68,000 | $123 | $143 | $0 | $+123 | $+143 | $+3,579 | $+4,900 |
| 31 | 2026-02-22 | Sun | $67,474 | $66,049 | -2.11% | $67,000 | $290 | $310 | $951 | $-661 | $-641 | $+2,918 | $+4,259 |
| 32 | 2026-02-23 | Mon | $64,524 | $63,209 | -2.04% | $65,000 | $741 | $806 | $1791 | $-1050 | $-985 | $+1,868 | $+3,274 |
| 33 | 2026-02-24 | Tue | $64,540 | $65,093 | +0.86% | $65,000 | $612 | $683 | $0 | $+612 | $+683 | $+2,481 | $+3,957 |
| 34 | 2026-02-25 | Wed | $69,244 | $67,865 | -1.99% | $69,000 | $415 | $436 | $1135 | $-720 | $-699 | $+1,761 | $+3,258 |
| 35 | 2026-02-26 | Thu | $67,434 | $67,689 | +0.38% | $67,000 | $202 | $236 | $0 | $+202 | $+236 | $+1,963 | $+3,494 |
| 36 | 2026-02-27 | Fri | $65,649 | $63,921 | -2.63% | $66,000 | $492 | $512 | $2079 | $-1587 | $-1567 | $+376 | $+1,926 |
| 37 | 2026-02-28 | Sat | $67,026 | $67,199 | +0.26% | $67,000 | $469 | $482 | $0 | $+469 | $+482 | $+845 | $+2,408 |
| 38 | 2026-03-01 | Sun | $65,304 | $66,079 | +1.19% | $65,000 | $522 | $562 | $0 | $+522 | $+562 | $+1,367 | $+2,970 |
| 39 | 2026-03-02 | Mon | $69,374 | $68,411 | -1.39% | $69,000 | $415 | $456 | $589 | $-174 | $-133 | $+1,193 | $+2,837 |
| 40 | 2026-03-03 | Tue | $68,454 | $69,754 | +1.90% | $68,000 | $375 | $403 | $0 | $+375 | $+403 | $+1,568 | $+3,240 |
| 41 | 2026-03-04 | Wed | $73,404 | $72,345 | -1.44% | $73,000 | $475 | $512 | $655 | $-180 | $-143 | $+1,388 | $+3,097 |
| 42 | 2026-03-05 | Thu | $71,484 | $71,328 | -0.22% | $71,000 | $356 | $399 | $0 | $+356 | $+399 | $+1,744 | $+3,495 |
| 43 | 2026-03-06 | Fri | $68,298 | $67,983 | -0.46% | $68,000 | $307 | $320 | $17 | $+289 | $+303 | $+2,034 | $+3,798 |
| 44 | 2026-03-07 | Sat | $67,505 | $67,427 | -0.12% | $68,000 | $708 | $748 | $573 | $+134 | $+175 | $+2,168 | $+3,973 |
| 45 | 2026-03-08 | Sun | $67,310 | $67,651 | +0.51% | $67,000 | $571 | $598 | $0 | $+571 | $+598 | $+2,739 | $+4,571 |
| 46 | 2026-03-09 | Mon | $69,139 | $70,600 | +2.11% | $69,000 | $483 | $497 | $0 | $+483 | $+497 | $+3,222 | $+5,068 |
| 47 | 2026-03-10 | Tue | $70,443 | $69,862 | -0.82% | $70,000 | $330 | $358 | $138 | $+192 | $+220 | $+3,414 | $+5,288 |
| 48 | 2026-03-11 | Wed | $70,803 | $69,999 | -1.14% | $71,000 | $565 | $607 | $1001 | $-436 | $-393 | $+2,978 | $+4,895 |
| 49 | 2026-03-12 | Thu | $70,312 | $71,847 | +2.18% | $70,000 | $309 | $316 | $0 | $+309 | $+316 | $+3,287 | $+5,210 |
| 50 | 2026-03-13 | Fri | $71,529 | $70,766 | -1.07% | $72,000 | $535 | $692 | $1234 | $-699 | $-542 | $+2,588 | $+4,668 |
| 51 | 2026-03-14 | Sat | $70,935 | $71,607 | +0.95% | $71,000 | $319 | $354 | $0 | $+319 | $+354 | $+2,907 | $+5,023 |
| 52 | 2026-03-15 | Sun | $71,837 | $73,603 | +2.46% | $72,000 | $717 | $725 | $0 | $+717 | $+725 | $+3,624 | $+5,747 |
| 53 | 2026-03-16 | Mon | $74,403 | $74,417 | +0.02% | $74,000 | $342 | $356 | $0 | $+342 | $+356 | $+3,966 | $+6,104 |
| 54 | 2026-03-17 | Tue | $74,706 | $74,052 | -0.88% | $75,000 | $634 | $693 | $948 | $-314 | $-255 | $+3,652 | $+5,849 |
| 55 | 2026-03-18 | Wed | $71,372 | $70,310 | -1.49% | $71,000 | $356 | $399 | $690 | $-334 | $-291 | $+3,318 | $+5,558 |
| 56 | 2026-03-19 | Thu | $70,633 | $70,990 | +0.51% | $71,000 | $740 | $768 | $10 | $+730 | $+758 | $+4,048 | $+6,316 |
| 57 | 2026-03-20 | Fri | $70,172 | $70,905 | +1.04% | $70,000 | $231 | $252 | $0 | $+231 | $+252 | $+4,279 | $+6,568 |
| 58 | 2026-03-21 | Sat | $70,593 | $69,029 | -2.21% | $71,000 | $493 | $634 | $1971 | $-1478 | $-1337 | $+2,801 | $+5,231 |
| 59 | 2026-03-22 | Sun | $68,218 | $68,372 | +0.23% | $68,000 | $614 | $634 | $0 | $+614 | $+634 | $+3,415 | $+5,865 |
| 60 | 2026-03-23 | Mon | $71,051 | $71,419 | +0.52% | $71,000 | $461 | $489 | $0 | $+461 | $+489 | $+3,876 | $+6,354 |
| 61 | 2026-03-24 | Tue | $70,176 | $71,047 | +1.24% | $70,000 | $385 | $406 | $0 | $+385 | $+406 | $+4,261 | $+6,761 |
| 62 | 2026-03-25 | Wed | $71,080 | $70,149 | -1.31% | $71,000 | $355 | $405 | $851 | $-496 | $-446 | $+3,765 | $+6,315 |
| 63 | 2026-03-26 | Thu | $69,059 | $68,616 | -0.64% | $69,000 | $448 | $490 | $384 | $+64 | $+106 | $+3,830 | $+6,421 |
| 64 | 2026-03-27 | Fri | $66,174 | $66,719 | +0.82% | $66,000 | $317 | $330 | $0 | $+317 | $+330 | $+4,146 | $+6,751 |
| 65 | 2026-03-28 | Sat | $67,073 | $66,830 | -0.36% | $67,000 | $294 | $321 | $170 | $+124 | $+151 | $+4,270 | $+6,901 |
| 66 | 2026-03-29 | Sun | $66,789 | $67,758 | +1.45% | $67,000 | $666 | $732 | $0 | $+666 | $+732 | $+4,936 | $+7,633 |
| 67 | 2026-03-30 | Mon | $66,824 | $67,550 | +1.09% | $67,000 | $599 | $633 | $0 | $+599 | $+633 | $+5,535 | $+8,266 |
| 68 | 2026-03-31 | Tue | $68,419 | $68,890 | +0.69% | $68,000 | $300 | $321 | $0 | $+300 | $+321 | $+5,835 | $+8,587 |
| 69 | 2026-04-01 | Wed | $68,418 | $67,088 | -1.94% | $68,000 | $409 | $443 | $912 | $-503 | $-469 | $+5,332 | $+8,118 |
| 70 | 2026-04-02 | Thu | $67,123 | $67,215 | +0.14% | $67,000 | $335 | $388 | $0 | $+335 | $+388 | $+5,667 | $+8,506 |
| 71 | 2026-04-03 | Fri | $67,097 | $67,263 | +0.25% | $67,000 | $207 | $234 | $0 | $+207 | $+234 | $+5,874 | $+8,740 |
| 72 | 2026-04-04 | Sat | $67,498 | $67,038 | -0.68% | $67,000 | $114 | $128 | $0 | $+114 | $+128 | $+5,989 | $+8,868 |
| 73 | 2026-04-05 | Sun | $67,927 | $69,370 | +2.12% | $68,000 | $541 | $568 | $0 | $+541 | $+568 | $+6,530 | $+9,436 |
| 74 | 2026-04-06 | Mon | $70,094 | $68,875 | -1.74% | $70,000 | $454 | $489 | $1125 | $-671 | $-636 | $+5,859 | $+8,800 |
| 75 | 2026-04-07 | Tue | $69,540 | $71,913 | +3.41% | $70,000 | $901 | $929 | $0 | $+901 | $+929 | $+6,760 | $+9,729 |
| 76 | 2026-04-08 | Wed | $71,575 | $71,134 | -0.61% | $72,000 | $678 | $757 | $866 | $-188 | $-109 | $+6,572 | $+9,620 |
| 77 | 2026-04-09 | Thu | $72,609 | $71,658 | -1.31% | $73,000 | $688 | $753 | $1342 | $-654 | $-589 | $+5,918 | $+9,031 |
| 78 | 2026-04-10 | Fri | $73,561 | $72,949 | -0.83% | $74,000 | $264 | $690 | $1051 | $-787 | $-361 | $+5,131 | $+8,669 |
| 79 | 2026-04-11 | Sat | $73,468 | $71,824 | -2.24% | $73,000 | $161 | $183 | $1176 | $-1014 | $-992 | $+4,117 | $+7,677 |
| 80 | 2026-04-12 | Sun | $71,447 | $70,937 | -0.71% | $71,000 | $350 | $364 | $63 | $+287 | $+301 | $+4,404 | $+7,978 |
| 81 | 2026-04-13 | Mon | $73,293 | $74,728 | +1.96% | $73,000 | $307 | $329 | $0 | $+307 | $+329 | $+4,711 | $+8,308 |
| 82 | 2026-04-14 | Tue | $74,264 | $73,898 | -0.49% | $74,000 | $356 | $378 | $102 | $+254 | $+276 | $+4,965 | $+8,584 |
| 83 | 2026-04-15 | Wed | $74,999 | $74,878 | -0.16% | $75,000 | $449 | $472 | $122 | $+328 | $+350 | $+5,293 | $+8,934 |
| 84 | 2026-04-16 | Thu | $75,344 | $75,184 | -0.21% | $75,000 | $278 | $286 | $0 | $+278 | $+286 | $+5,571 | $+9,220 |
| 85 | 2026-04-17 | Fri | $77,462 | $77,147 | -0.41% | $77,000 | $124 | $132 | $0 | $+124 | $+132 | $+5,695 | $+9,352 |
| 86 | 2026-04-18 | Sat | $75,847 | $75,387 | -0.61% | $76,000 | $379 | $424 | $613 | $-234 | $-189 | $+5,461 | $+9,163 |
| 87 | 2026-04-19 | Sun | $74,745 | $74,945 | +0.27% | $75,000 | $635 | $672 | $55 | $+580 | $+617 | $+6,041 | $+9,780 |
| 88 | 2026-04-20 | Mon | $76,332 | $76,190 | -0.19% | $76,000 | $214 | $229 | $0 | $+214 | $+229 | $+6,254 | $+10,009 |
| 89 | 2026-04-21 | Tue | $75,791 | $78,027 | +2.95% | $76,000 | $530 | $553 | $0 | $+530 | $+553 | $+6,784 | $+10,562 |
| 90 | 2026-04-22 | Wed | $78,455 | $78,115 | -0.43% | $78,000 | $180 | $196 | $0 | $+180 | $+196 | $+6,965 | $+10,758 |
| 91 | 2026-04-23 | Thu | $78,043 | $77,849 | -0.25% | $78,000 | $428 | $452 | $151 | $+278 | $+301 | $+7,243 | $+11,059 |
| 92 | 2026-04-24 | Fri | $77,872 | $77,638 | -0.30% | $78,000 | $358 | $397 | $362 | $-4 | $+35 | $+7,238 | $+11,094 |
| 93 | 2026-04-25 | Sat | $77,612 | $78,248 | +0.82% | $78,000 | $465 | $604 | $0 | $+465 | $+604 | $+7,703 | $+11,698 |
| 94 | 2026-04-26 | Sun | $78,344 | $77,757 | -0.75% | $78,000 | $289 | $313 | $243 | $+47 | $+70 | $+7,750 | $+11,768 |
| 95 | 2026-04-27 | Mon | $77,081 | $76,982 | -0.13% | $77,000 | $323 | $339 | $18 | $+305 | $+320 | $+8,055 | $+12,089 |
| 96 | 2026-04-28 | Tue | $76,583 | $77,206 | +0.81% | $77,000 | $573 | $665 | $0 | $+573 | $+665 | $+8,629 | $+12,754 |
| 97 | 2026-04-29 | Wed | $75,803 | $76,224 | +0.56% | $76,000 | $530 | $567 | $0 | $+530 | $+567 | $+9,159 | $+13,322 |
| 98 | 2026-04-30 | Thu | $76,606 | $77,314 | +0.92% | $77,000 | $535 | $665 | $0 | $+535 | $+665 | $+9,694 | $+13,987 |
| 99 | 2026-05-01 | Fri | $78,042 | $78,364 | +0.41% | $78,000 | $265 | $296 | $0 | $+265 | $+296 | $+9,958 | $+14,283 |
| 100 | 2026-05-02 | Sat | $78,597 | $78,487 | -0.14% | $79,000 | $471 | $604 | $513 | $-43 | $+91 | $+9,916 | $+14,373 |
| 101 | 2026-05-03 | Sun | $79,070 | $79,890 | +1.04% | $79,000 | $395 | $410 | $0 | $+395 | $+410 | $+10,310 | $+14,783 |
| 102 | 2026-05-04 | Mon | $80,058 | $81,028 | +1.21% | $80,000 | $400 | $416 | $0 | $+400 | $+416 | $+10,710 | $+15,199 |
| 103 | 2026-05-05 | Tue | $81,738 | $81,464 | -0.34% | $82,000 | $490 | $531 | $536 | $-47 | $-6 | $+10,663 | $+15,193 |
| 104 | 2026-05-06 | Wed | $81,614 | $81,686 | +0.09% | $82,000 | $570 | $692 | $314 | $+256 | $+378 | $+10,919 | $+15,571 |
| 105 | 2026-05-07 | Thu | $80,042 | $79,817 | -0.28% | $80,000 | $359 | $367 | $183 | $+177 | $+185 | $+11,096 | $+15,756 |
| 106 | 2026-05-08 | Fri | $80,343 | $80,423 | +0.10% | $80,000 | $96 | $120 | $0 | $+96 | $+120 | $+11,192 | $+15,876 |
| 107 | 2026-05-09 | Sat | $80,955 | $80,904 | -0.06% | $81,000 | $315 | $347 | $96 | $+219 | $+252 | $+11,411 | $+16,128 |
| 108 | 2026-05-10 | Sun | $80,870 | $80,869 | -0.00% | $81,000 | $444 | $509 | $131 | $+313 | $+378 | $+11,724 | $+16,506 |
| 109 | 2026-05-11 | Mon | $82,000 | $81,006 | -1.21% | $82,000 | $393 | $401 | $994 | $-602 | $-593 | $+11,123 | $+15,912 |
| 110 | 2026-05-12 | Tue | $80,842 | $81,141 | +0.37% | $81,000 | $444 | $460 | $0 | $+444 | $+460 | $+11,567 | $+16,372 |
| 111 | 2026-05-13 | Wed | $79,847 | $79,853 | +0.01% | $80,000 | $478 | $518 | $147 | $+331 | $+371 | $+11,898 | $+16,743 |
| 112 | 2026-05-14 | Thu | $81,572 | $80,937 | -0.78% | $82,000 | $651 | $741 | $1063 | $-412 | $-322 | $+11,486 | $+16,421 |
| 113 | 2026-05-15 | Fri | $79,168 | $78,445 | -0.91% | $79,000 | $103 | $119 | $555 | $-452 | $-437 | $+11,034 | $+15,985 |
| 114 | 2026-05-16 | Sat | $78,305 | $78,217 | -0.11% | $78,000 | $117 | $149 | $0 | $+117 | $+149 | $+11,151 | $+16,133 |
| 115 | 2026-05-17 | Sun | $78,299 | $77,131 | -1.49% | $78,000 | $336 | $352 | $869 | $-533 | $-517 | $+10,619 | $+15,616 |
| 116 | 2026-05-18 | Mon | $76,937 | $77,264 | +0.42% | $77,000 | $354 | $377 | $0 | $+354 | $+377 | $+10,972 | $+15,993 |
| 117 | 2026-05-19 | Tue | $77,068 | $77,321 | +0.33% | $77,000 | $300 | $316 | $0 | $+300 | $+316 | $+11,272 | $+16,308 |
| 118 | 2026-05-20 | Wed | $77,782 | $77,916 | +0.17% | $78,000 | $466 | $489 | $84 | $+382 | $+405 | $+11,654 | $+16,714 |
| 119 | 2026-05-21 | Thu | $77,768 | $77,451 | -0.41% | $78,000 | $427 | $505 | $549 | $-122 | $-45 | $+11,532 | $+16,669 |
| 120 | 2026-05-22 | Fri | $76,053 | $74,726 | -1.75% | $76,000 | $235 | $258 | $1274 | $-1039 | $-1016 | $+10,493 | $+15,653 |
17 weekends, Fri 21 UTC โ Sun 8 UTC (~35h). Strangle = Sell PUT at K_put + Sell CALL at K_call (each ~1k OTM from spot), cover both legs at +3 strikes further OTM (iron condor). Max Intr P/C = highest intrinsic seen on each leg during hold.
| # | Fri | Spot Fri 21 | Spot Sun 8 | Move | K Put | K Call | Put Cr | Call Cr | Tot Cr Exec | Tot Cr Mark | Max Intr P/C | Final Intr | PnL Exec | PnL Mark | CUM Exec | CUM Mark |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 2026-01-23 | $89,407 | $88,593 | -0.91% | $88,000 | $90,000 | $27 | $116 | $143 | $170 | P:$0 C:$0 | $0 | $+143 | $+170 | $+143 | $+170 |
| 2 | 2026-01-30 | $83,815 | $78,346 | -6.53% | $83,000 | $85,000 | $184 | $101 | $285 | $335 | P:$3000 C:$0 | $3000 | $-2715 | $-2665 | $-2,572 | $-2,495 |
| 3 | 2026-02-06 | $69,975 | $69,513 | -0.66% | $69,000 | $71,000 | $350 | $308 | $658 | $756 | P:$1074 C:$306 | $0 | $+658 | $+756 | $-1,914 | $-1,739 |
| 4 | 2026-02-13 | $68,743 | $70,728 | +2.89% | $68,000 | $70,000 | $172 | $55 | $227 | $268 | P:$0 C:$475 | $728 | $-501 | $-460 | $-2,416 | $-2,199 |
| 5 | 2026-02-20 | $67,729 | $68,036 | +0.45% | $67,000 | $69,000 | $135 | $47 | $183 | $217 | P:$0 C:$0 | $0 | $+183 | $+217 | $-2,233 | $-1,983 |
| 6 | 2026-02-27 | $65,589 | $67,110 | +2.32% | $65,000 | $67,000 | $177 | $20 | $197 | $236 | P:$1785 C:$632 | $110 | $+87 | $+126 | $-2,146 | $-1,857 |
| 7 | 2026-03-06 | $68,119 | $67,314 | -1.18% | $67,000 | $69,000 | $198 | $211 | $409 | $450 | P:$366 C:$0 | $0 | $+409 | $+450 | $-1,738 | $-1,407 |
| 8 | 2026-03-13 | $71,362 | $71,479 | +0.16% | $70,000 | $72,000 | $78 | $186 | $264 | $314 | P:$0 C:$0 | $0 | $+264 | $+314 | $-1,474 | $-1,093 |
| 9 | 2026-03-20 | $70,050 | $69,029 | -1.46% | $69,000 | $71,000 | $140 | $105 | $245 | $287 | P:$130 C:$0 | $0 | $+245 | $+287 | $-1,228 | $-806 |
| 10 | 2026-03-27 | $65,973 | $66,622 | +0.98% | $65,000 | $67,000 | $198 | $158 | $356 | $396 | P:$0 C:$0 | $0 | $+356 | $+396 | $-872 | $-410 |
| 11 | 2026-04-03 | $66,830 | $66,758 | -0.11% | $66,000 | $68,000 | $40 | $7 | $47 | $74 | P:$0 C:$0 | $0 | $+47 | $+74 | $-825 | $-337 |
| 12 | 2026-04-10 | $73,394 | $71,735 | -2.26% | $72,000 | $74,000 | $59 | $183 | $242 | $286 | P:$494 C:$0 | $265 | $-22 | $+22 | $-848 | $-315 |
| 13 | 2026-04-17 | $77,385 | $75,195 | -2.83% | $76,000 | $78,000 | $70 | $178 | $248 | $279 | P:$573 C:$0 | $805 | $-557 | $-526 | $-1,405 | $-841 |
| 14 | 2026-04-24 | $77,746 | $78,030 | +0.36% | $77,000 | $79,000 | $132 | $47 | $179 | $225 | P:$0 C:$0 | $0 | $+179 | $+225 | $-1,226 | $-616 |
| 15 | 2026-05-01 | $77,872 | $78,392 | +0.67% | $77,000 | $79,000 | $93 | $31 | $125 | $148 | P:$0 C:$0 | $0 | $+125 | $+148 | $-1,102 | $-468 |
| 16 | 2026-05-08 | $80,130 | $80,756 | +0.78% | $79,000 | $81,000 | $32 | $48 | $80 | $120 | P:$0 C:$0 | $0 | $+80 | $+120 | $-1,022 | $-348 |
| 17 | 2026-05-15 | $79,088 | $78,139 | -1.20% | $78,000 | $80,000 | $24 | $16 | $40 | $71 | P:$288 C:$0 | $0 | $+40 | $+71 | $-982 | $-277 |