Strategy Description: buy SPY 0 day expiry straddle (a call and a put with the same strike at-the-money) at market open and sell at market close

Parameter Configuration

Period Bet size Buy Time (Since Open) Sell Time (Since Open) Option Day To Expiry Initial Capital Compound Daily?
2024-01-02 - 2025-05-07 10.0% 0m 390m 0 $100,000 True

Performance History

2025-05-09T19:35:45.438116 image/svg+xml Matplotlib v3.10.1, https://matplotlib.org/

Summary Metrics

Total P&L
$-81,814
Total Return
-81.81%
Sharpe Ratio
-0.62
Maximum Drawdown
90.94%
Annualized Volatility
111.23%
Winning Days
39.9%

Sample Trades

Date Timestamp Price Qty Gross Qty Symbol
2024-01-02 60 $2.06 48 96 +1 SPY240102C472 | +1 SPY240102P472
2024-01-02 23340 $0.68 -48 96 +1 SPY240102C472 | +1 SPY240102P472
2024-01-03 60 $2.17 43 86 +1 SPY240103C470 | +1 SPY240103P470
2024-01-03 23340 $1.38 -43 86 +1 SPY240103C470 | +1 SPY240103P470