🪜 Diagonal v2 — Long-Hedge + Daily 0DTE Shorts

BUY one weekly option FURTHER OTM (the "hedge", caps the tail), then SELL a daily 0DTE option each day placed BETWEEN spot and the long strike (inside the hedge). CALL side = up-move/growth tilt; PUT side = down-move tilt. Per-week, non-overlapping, 1 contract, $ per BTC notional.

Read it like this: Tardis = real bid/ask, 4-month window (the truth, but one regime). M2 = model-priced 2024+ (~123 weeks, multi-regime — but M2 underprices far wings, so absolute $ run optimistic). corr = corr(spot move, weekly pnl): near 0 = delta-neutral income, negative = short-delta, positive = long-delta. ⭐ = the regime-robust neutral CALL picks (positive every year on M2, smallest DD). All variants shown — nothing filtered. Numbers are Limit @ mid (buy long @ mid, sell shorts @ mid). Exec/slippage series not yet wired.

Tardis — 17 weeks (2026-01-22 → 05-23), real bid/ask (the truth)

Short modes: static = short kept one strike inside the long. ATM-roll / ITM1-roll = once spot is through the hedge, sell ATM / 1-strike-ITM (fatter premium; the long caps it point-to-point at expiry).

Variant	Short mode	Wk	Total$	avg$/wk	Win	MaxDD$	Worst$	corr
CALL diagonal — up-move play (long-delta hedge ABOVE spot)
C-L2-S0	static	17	$-4,749	$-279	53%	$-10,412	$-5,123	-0.54
C-L2-S0-atm	ATM-roll	17	$-737	$-43	47%	$-6,793	$-3,921	-0.65
C-L2-S0-itm1	ITM1-roll	17	$+2,102	$+124	53%	$-4,821	$-3,416	-0.64
C-L2-S1	static	17	$-5,795	$-341	47%	$-8,662	$-4,610	-0.36
C-L2-S1-atm	ATM-roll	17	$-1,782	$-105	47%	$-4,987	$-3,284	-0.44
C-L2-S1-itm1	ITM1-roll	17	$+1,057	$+62	53%	$-4,084	$-2,779	-0.37
C-L3-S0	static	17	$+4,609	$+271	65%	$-4,340	$-3,322	-0.66
C-L3-S0-atm	ATM-roll	17	$+1,399	$+82	59%	$-6,788	$-4,171	-0.65
C-L3-S0-itm1	ITM1-roll	17	$+3,876	$+228	65%	$-5,159	$-3,666	-0.65
C-L3-S1	static	17	$+3,189	$+188	71%	$-3,462	$-2,508	-0.41
C-L3-S1-atm	ATM-roll	17	$-21	$-1	59%	$-5,549	$-3,356	-0.45
C-L3-S1-itm1	ITM1-roll	17	$+2,456	$+144	65%	$-4,000	$-2,852	-0.41
C-L3-S2 ⭐	static	17	$+4,567	$+269	47%	$-1,405	$-1,096	-0.08
C-L3-S2-atm	ATM-roll	17	$+1,358	$+80	35%	$-2,288	$-1,944	-0.22
C-L3-S2-itm1	ITM1-roll	17	$+3,834	$+226	47%	$-1,749	$-1,439	-0.10
C-L4-S2 ⭐	static	17	$+5,544	$+326	76%	$-430	$-430	-0.07
C-L4-S2-atm	ATM-roll	17	$+4,738	$+279	76%	$-1,374	$-1,260	-0.13
C-L4-S2-itm1	ITM1-roll	17	$+5,502	$+324	76%	$-870	$-756	-0.09
C-L4-S3	static	17	$+5,716	$+336	59%	$-405	$-290	+0.42
C-L4-S3-atm	ATM-roll	17	$+4,910	$+289	53%	$-672	$-356	+0.30
C-L4-S3-itm1	ITM1-roll	17	$+5,674	$+334	59%	$-405	$-290	+0.35
PUT diagonal — down-move play (long-delta hedge BELOW spot)
P-L2-S0	static	17	$-2,176	$-128	82%	$-8,921	$-8,921	+0.87
P-L2-S0-atm	ATM-roll	17	$+6,501	$+382	71%	$-2,519	$-1,331	-0.12
P-L2-S0-itm1	ITM1-roll	17	$+4,403	$+259	71%	$-1,926	$-1,926	+0.38
P-L2-S1	static	17	$+2,776	$+163	76%	$-8,298	$-8,298	+0.78
P-L2-S1-atm	ATM-roll	17	$+11,453	$+674	82%	$-397	$-397	-0.44
P-L2-S1-itm1	ITM1-roll	17	$+9,355	$+550	82%	$-1,300	$-1,104	+0.09
P-L3-S0	static	15	$+3,458	$+231	67%	$-2,741	$-1,856	+0.49
P-L3-S0-atm	ATM-roll	15	$+2,473	$+165	60%	$-2,641	$-1,677	+0.47
P-L3-S0-itm1	ITM1-roll	15	$+3,508	$+234	67%	$-1,744	$-1,677	+0.54
P-L3-S1	static	15	$+5,268	$+351	80%	$-1,863	$-1,200	+0.18
P-L3-S1-atm	ATM-roll	15	$+4,282	$+285	80%	$-855	$-855	+0.16
P-L3-S1-itm1	ITM1-roll	15	$+5,317	$+354	87%	$-855	$-855	+0.22
P-L3-S2	static	15	$+3,606	$+240	53%	$-911	$-502	-0.05
P-L3-S2-atm	ATM-roll	15	$+2,620	$+175	53%	$-586	$-502	-0.15
P-L3-S2-itm1	ITM1-roll	15	$+3,655	$+244	60%	$-586	$-502	-0.10
P-L4-S2	static	17	$+2,343	$+138	76%	$-4,259	$-3,709	+0.68
P-L4-S2-atm	ATM-roll	17	$+5,900	$+347	76%	$-702	$-550	+0.11
P-L4-S2-itm1	ITM1-roll	17	$+5,349	$+315	76%	$-1,253	$-704	+0.28
P-L4-S3	static	17	$+1,928	$+113	41%	$-3,703	$-3,011	+0.59
P-L4-S3-atm	ATM-roll	17	$+5,485	$+323	47%	$-825	$-692	-0.13
P-L4-S3-itm1	ITM1-roll	17	$+4,933	$+290	41%	$-825	$-692	+0.03

M2 — 123 weeks (2024-01 → 2026-05), model-priced (regime test)

Same geometry over the long history. Per-year $ split shows regime stability — CALL static stays positive every year; the ATM/ITM rolls and the PUT side concentrate their profit in 2024 and decay/turn negative in 2025-2026.

Variant	Mode	Wk	Total$	avg$/wk	Win	MaxDD$	Worst$	2024	2025	2026	corr
CALL diagonal — up-move play (long-delta hedge ABOVE spot)
C-L2-S0	static	123	$+96,865	$+788	69%	$-5,205	$-3,763	$+54,264	$+39,321	$+3,280	-0.37
C-L2-S0-atm	ATM-roll	123	$+86,163	$+701	69%	$-8,499	$-8,034	$+64,413	$+21,276	$+475	-0.14
C-L2-S0-itm1	ITM1-roll	123	$+92,175	$+749	69%	$-8,916	$-8,916	$+66,124	$+22,984	$+3,067	-0.21
C-L2-S1	static	123	$+74,524	$+606	72%	$-4,651	$-3,996	$+46,692	$+27,244	$+588	-0.13
C-L2-S1-atm	ATM-roll	123	$+63,823	$+519	70%	$-9,344	$-7,340	$+56,840	$+9,199	$-2,217	+0.08
C-L2-S1-itm1	ITM1-roll	123	$+69,834	$+568	75%	$-9,034	$-8,221	$+58,552	$+10,907	$+375	+0.01
C-L3-S0	static	123	$+106,589	$+867	72%	$-4,832	$-3,772	$+58,422	$+42,446	$+5,720	-0.41
C-L3-S0-atm	ATM-roll	123	$+83,259	$+677	66%	$-8,753	$-8,753	$+60,848	$+20,861	$+1,550	-0.28
C-L3-S0-itm1	ITM1-roll	123	$+91,857	$+747	70%	$-9,634	$-9,634	$+62,607	$+24,985	$+4,265	-0.32
C-L3-S1	static	123	$+83,026	$+675	74%	$-4,424	$-3,729	$+50,020	$+29,873	$+3,134	-0.14
C-L3-S1-atm	ATM-roll	123	$+59,696	$+485	72%	$-8,436	$-8,058	$+52,445	$+8,287	$-1,036	-0.04
C-L3-S1-itm1	ITM1-roll	123	$+68,294	$+555	76%	$-8,939	$-8,939	$+54,204	$+12,411	$+1,678	-0.08
C-L3-S2 ⭐	static	123	$+63,467	$+516	56%	$-2,970	$-2,970	$+42,050	$+18,039	$+3,378	+0.09
C-L3-S2-atm	ATM-roll	123	$+40,136	$+326	53%	$-9,761	$-7,227	$+44,475	$-3,547	$-792	+0.16
C-L3-S2-itm1	ITM1-roll	123	$+48,734	$+396	56%	$-8,742	$-8,108	$+46,234	$+577	$+1,923	+0.12
C-L4-S2 ⭐	static	123	$+63,794	$+519	69%	$-2,911	$-2,911	$+42,279	$+16,997	$+4,519	+0.10
C-L4-S2-atm	ATM-roll	123	$+48,011	$+390	68%	$-8,479	$-8,479	$+44,951	$-122	$+3,182	+0.12
C-L4-S2-itm1	ITM1-roll	123	$+52,446	$+426	69%	$-8,849	$-8,849	$+44,141	$+4,196	$+4,108	+0.09
C-L4-S3	static	123	$+53,757	$+437	47%	$-3,650	$-2,407	$+38,959	$+10,233	$+4,565	+0.20
C-L4-S3-atm	ATM-roll	123	$+37,973	$+309	46%	$-11,333	$-7,561	$+41,631	$-6,886	$+3,229	+0.21
C-L4-S3-itm1	ITM1-roll	123	$+42,409	$+345	47%	$-9,106	$-7,931	$+40,821	$-2,567	$+4,155	+0.18
PUT diagonal — down-move play (long-delta hedge BELOW spot)
P-L2-S0	static	123	$+113,163	$+920	71%	$-9,657	$-6,920	$+77,540	$+25,914	$+9,709	+0.51
P-L2-S0-atm	ATM-roll	123	$+114,496	$+931	69%	$-10,273	$-6,920	$+75,968	$+27,741	$+10,787	+0.33
P-L2-S0-itm1	ITM1-roll	123	$+112,665	$+916	71%	$-8,660	$-6,920	$+77,099	$+26,156	$+9,410	+0.41
P-L2-S1	static	123	$+76,216	$+620	72%	$-8,730	$-7,280	$+55,233	$+12,132	$+8,851	+0.31
P-L2-S1-atm	ATM-roll	123	$+77,549	$+630	75%	$-9,101	$-7,280	$+53,661	$+13,959	$+9,929	+0.11
P-L2-S1-itm1	ITM1-roll	123	$+75,718	$+616	76%	$-8,590	$-7,280	$+54,792	$+12,374	$+8,552	+0.19
P-L3-S0	static	123	$+119,869	$+975	68%	$-8,709	$-6,631	$+82,580	$+28,726	$+8,562	+0.55
P-L3-S0-atm	ATM-roll	123	$+116,436	$+947	71%	$-10,168	$-7,410	$+78,245	$+28,669	$+9,522	+0.44
P-L3-S0-itm1	ITM1-roll	123	$+116,735	$+949	72%	$-8,831	$-6,631	$+80,238	$+27,772	$+8,725	+0.48
P-L3-S1	static	123	$+75,400	$+613	73%	$-8,693	$-6,990	$+57,235	$+11,833	$+6,332	+0.35
P-L3-S1-atm	ATM-roll	123	$+71,967	$+585	75%	$-8,005	$-6,990	$+52,901	$+11,775	$+7,291	+0.22
P-L3-S1-itm1	ITM1-roll	123	$+72,266	$+588	77%	$-7,216	$-6,990	$+54,894	$+10,878	$+6,495	+0.28
P-L3-S2	static	123	$+45,738	$+372	65%	$-9,979	$-6,462	$+43,099	$+820	$+1,819	+0.16
P-L3-S2-atm	ATM-roll	123	$+42,306	$+344	66%	$-8,610	$-6,462	$+38,764	$+763	$+2,778	+0.02
P-L3-S2-itm1	ITM1-roll	123	$+42,604	$+346	68%	$-9,099	$-6,462	$+40,757	$-135	$+1,981	+0.08
P-L4-S2	static	123	$+49,638	$+404	73%	$-9,512	$-6,271	$+47,657	$+1,846	$+134	+0.17
P-L4-S2-atm	ATM-roll	123	$+40,643	$+330	73%	$-7,826	$-6,271	$+37,837	$+1,725	$+1,081	+0.13
P-L4-S2-itm1	ITM1-roll	123	$+42,225	$+343	75%	$-8,447	$-6,271	$+41,700	$-159	$+684	+0.16
P-L4-S3	static	123	$+25,282	$+206	46%	$-12,808	$-5,504	$+33,483	$-6,792	$-1,408	+0.01
P-L4-S3-atm	ATM-roll	123	$+16,288	$+132	46%	$-14,047	$-5,504	$+23,662	$-6,913	$-461	-0.01
P-L4-S3-itm1	ITM1-roll	123	$+17,870	$+145	48%	$-14,668	$-5,504	$+27,525	$-8,797	$-859	+0.01

Takeaways (data, not a story): on M2 the lowest-DD combos are CALL L4-S2 / L3-S2 static (corr ≈ 0, DD ≈ −$3k, positive 2024/25/26). ATM/ITM-roll roughly triples the CALL DD and goes negative in 2025-26 (selling ATM into trend continuation = daily-vs-weekly gamma trap). PUT side makes more in 2024 but its DD stays $8-14k across all modes — not regime-robust standalone. The Tardis put-ATM looking great (DD →$0.4k) is a 2026-window artifact M2 does not confirm.

Combination with the 0DTE put-selling book

Both books run on the same weekly timeline, 1 contract each. We bucket the nightly 0DTE PnL into the diagonal's Fri→Fri weeks and sum. The question: does adding the neutral CALL diagonal to the (long-delta) 0DTE put-seller improve Return / Drawdown — or does the (long-delta) PUT diagonal just stack the same risk?

M2 — 123 weeks

Diag leg	+ 0DTE	Wk	Diag$	Diag DD	0DTE$	0DTE DD	COMB$	avg$/wk	Win	COMB DD	corr
C-L4-S2	0DTE put ATM h21	123	$+63,794	$-2,911	$+136,643	$-7,999	$+200,437	$+1,630	77%	$-7,756	+0.34
C-L4-S2	0DTE put +2% h20	123	$+63,794	$-2,911	$+89,384	$-6,455	$+153,178	$+1,245	83%	$-6,590	+0.25
C-L3-S2	0DTE put ATM h21	123	$+63,467	$-2,970	$+136,643	$-7,999	$+200,110	$+1,627	77%	$-7,700	+0.34
C-L3-S2	0DTE put +2% h20	123	$+63,467	$-2,970	$+89,384	$-6,455	$+152,851	$+1,243	80%	$-6,031	+0.25
C-L3-S0	0DTE put ATM h21	123	$+106,589	$-4,832	$+136,643	$-7,999	$+243,232	$+1,978	80%	$-10,212	+0.05
C-L3-S0	0DTE put +2% h20	123	$+106,589	$-4,832	$+89,384	$-6,455	$+195,973	$+1,593	76%	$-7,247	-0.08
P-L3-S1	0DTE put ATM h21	123	$+75,400	$-8,693	$+136,643	$-7,999	$+212,043	$+1,724	78%	$-13,806	+0.45	⚠️ stacks delta
P-L3-S1	0DTE put +2% h20	123	$+75,400	$-8,693	$+89,384	$-6,455	$+164,784	$+1,340	82%	$-12,339	+0.39	⚠️ stacks delta

Tardis — 15-17 weeks (the truth)

Diag leg	+ 0DTE	Wk	Diag$	Diag DD	0DTE$	0DTE DD	COMB$	avg$/wk	Win	COMB DD	corr
C-L4-S2	0DTE put ATM h21	17	$+5,544	$-430	$+16,984	$-2,398	$+22,528	$+1,325	76%	$-1,429	-0.31
C-L4-S2	0DTE put +2% h20	17	$+5,544	$-430	$+9,394	$-1,275	$+14,939	$+879	94%	$-307	-0.48	✓ DD↓
C-L3-S2	0DTE put ATM h21	17	$+4,567	$-1,405	$+16,984	$-2,398	$+21,551	$+1,268	76%	$-1,917	-0.29
C-L3-S2	0DTE put +2% h20	17	$+4,567	$-1,405	$+9,394	$-1,275	$+13,962	$+821	88%	$-369	-0.41	✓ DD↓
C-L3-S0	0DTE put ATM h21	17	$+4,609	$-4,340	$+16,984	$-2,398	$+21,592	$+1,270	71%	$-4,040	-0.61
C-L3-S0	0DTE put +2% h20	17	$+4,609	$-4,340	$+9,394	$-1,275	$+14,003	$+824	76%	$-3,300	-0.78
P-L3-S1	0DTE put ATM h21	15	$+5,268	$-1,863	$+16,867	$-846	$+22,135	$+1,476	93%	$-576	+0.04	⚠️ stacks delta
P-L3-S1	0DTE put +2% h20	15	$+5,268	$-1,863	$+8,879	$+0	$+14,147	$+943	87%	$-601	+0.14	⚠️ stacks delta

Pattern: adding the neutral CALL diagonal (corr≈0) to the long-delta 0DTE put-seller raises total return while keeping combined DD ≈ the 0DTE leg's own DD — on M2 it nearly doubles the return for roughly the same drawdown (e.g. C-L4-S2 + 0DTE-ATM: +$200k COMB / −$7.8k DD vs 0DTE alone +$137k / −$8.0k). On Tardis the combined DD is smaller than either leg (C-L4-S2 + 0DTE +2%: COMB −$307 DD vs diag −$430 / 0DTE −$1,275, 94% win) because the short-delta diagonal and long-delta seller offset. The PUT diagonal + put-seller (red rows) STACKS long-delta — combined DD −$13.8k, worse than both legs. C-L3-S0 (most short-delta) + 0DTE nets corr ≈ +0.05 = the cleanest neutralization.

Week-by-week — C-L4-S2 + 0DTE put +2% h20 (Tardis, lowest-DD combo)

CUM = combined cumulative equity curve.

Date	Δ% (wk)	Diag$	0DTE$	COMB$	CUM$
2026-01-23	-7.5%	$+71	$+623	$+694	$+694
2026-01-30	-21.7%	$+764	$+1,791	$+2,555	$+3,249
2026-02-06	+2.1%	$+969	$-1,275	$-307	$+2,942
2026-02-13	+2.4%	$+554	$+892	$+1,445	$+4,387
2026-02-20	-0.2%	$+228	$+676	$+905	$+5,292
2026-02-27	+5.0%	$-205	$+726	$+521	$+5,813
2026-03-06	+0.8%	$-114	$+1,027	$+913	$+6,727
2026-03-13	-1.1%	$+960	$+809	$+1,768	$+8,495
2026-03-20	-3.3%	$+14	$+793	$+808	$+9,303
2026-03-27	-2.2%	$+55	$+835	$+890	$+10,193
2026-04-03	+6.6%	$+584	$+476	$+1,061	$+11,254
2026-04-10	+5.0%	$-430	$+437	$+7	$+11,260
2026-04-17	+3.4%	$+693	$+516	$+1,209	$+12,469
2026-04-24	-0.7%	$+33	$+361	$+394	$+12,863
2026-05-01	+3.3%	$+1,334	$+260	$+1,595	$+14,458
2026-05-08	+1.4%	$+87	$+194	$+281	$+14,739
2026-05-15	-4.5%	$-54	$+254	$+200	$+14,939

Caveats

Limit @ mid only — no Exec/slippage series yet on the diagonal engine. The daily short roll crosses a spread; real fills will shave the totals.
Tardis = one regime (4 months, mostly a grind-up). M2 gives the multi-regime read but underprices far-OTM wings → absolute $ optimistic; trust the pattern (which geometry is neutral / regime-stable), not the headline $.
Settlement on clean OHLC bars (not the Tardis underlying tick that hit the 0DTE study).
Combination is a simple weekly sum of two 1-contract books — no margin/sizing optimization. It shows the diversification direction, not a tuned portfolio.