SPX iron fly research results

Awesome post, thank you!

This is awesome, both in the comprehensible and detailed output, but also in the fact that you’re doing this for folks.

I’d like to learn how to do this for myself in the future. What ai are you using and how experience me at coding are you already?

solid perspective. a lot of people overthink this but you laid it out simply.

this is the way. simple and it actually works.

The first thing I’d want to see is how sensitive the result is to fill assumptions. Iron flies can look very different at mid, one tick worse, or with realistic close/settlement friction. I’d also separate days by realized move regime and event days. A strategy that works on average may be getting paid most of the time and giving it back on a small number of expansion days.

What is meant by "price of crossing a spread"?

I've been trying one and I can't figure out what regime is ideal as they all seem somewhat discrete events though all affected by the macro drivers. It's simply this:

Open a call calendar spread (sell front week, buy about 30dte, both atm at time you open) in the last half hour of the session directly preceding an earnings call. Close shortly after market opens and vol crush has occurred to at least some degree. Profit?

Seemed to work last fall. Not so great since new years.

Thanks man! Legend.

That 2026 YTD PNL is ridiculous, what an environment we're in right now. We'll see if it holds up now that we supposedly have a deal with Iran.