Multiple Entry Iron Butterfly
Six tranches per session. Each tranche sells an ATM body (call + put at the strike nearest spot) with protective wings $25 out, and manages each wing to a stop on the spread mark at 2× the entry credit. Settled same day; no overnight risk. Figures below use the realistic central case of $0.50/contract stop slippage across 11,652 side-trades — read the slippage table before anything else.
| Stop slippage / contract | Total P/L | Max drawdown | Scenario |
|---|---|---|---|
| $0.25 | +$379,410 | −$18,955 | best case · excellent fills |
| $0.50 | +$269,885 | −$20,805 | realistic central case |
| $1.00 | +$50,835 | −$45,652 | stress · poor fills on fast tape |
A butterfly is stopped on an at-the-money short, and stops fire exactly when the tape is moving — the worst moment for fills. The entire edge therefore lives in the gap between your fill quality and a dollar of slip: the four-year total falls from +$379k at $0.25 to +$51k at $1.00, where the max drawdown (−$46k) nearly equals the whole profit. The featured page uses $0.50. Before sizing up, measure your own buy-back fills against the mid at trigger time — that number, not this page, decides the strategy.
| Year | P/L | Win rate | Sides |
|---|---|---|---|
| 2022 (Jun–Dec) | +$35,548 | 55.8% | 1,737 |
| 2023 | +$56,726 | 57.0% | 2,947 |
| 2024 | +$81,013 | 57.1% | 3,008 |
| 2025 | +$83,603 | 56.9% | 2,980 |
| 2026 (Jan–Apr) | +$12,993 | 56.4% | 980 |
| Total | +$269,885 | 56.8% | 11,652 |
Managing each wing with its own stop turns a structurally neutral butterfly into a directional bet. In a rising market the call wing is the one that keeps getting tested and stopped, while the put wing rides to expiry collecting full credit — so 83% of the profit came from the short-put side. The 2022–2026 sample was a strong bull market; this is partly a bull-market tailwind, not a market-neutral premium harvest. In a sustained downtrend that engine runs in reverse. Size and risk accordingly.
The strategy posts more losing days than winning days yet finishes well positive — the green days are simply larger. That fits the butterfly's shape: a quiet pin day lets several tranches survive near the body, while a trend day stops the tested wing across every tranche and stacks a big red day. The worst stretch was a nine-day skid in the September 2022 selloff (−$10,222); the best a nine-day run in late 2024 (+$13,649). Expect a choppy equity curve, not a smooth one.
| Date | P/L (all sides) |
|---|---|
| Oct 24 Thu | +$130 |
| Oct 25 Fri | +$868 |
| Oct 28 Mon | +$4,975 |
| Oct 29 Tue | +$21 |
| Oct 30 Wed | +$148 |
| Oct 31 Thu | +$973 |
| Nov 1 Fri | +$1,248 |
| Nov 4 Mon | +$1,819 |
| Nov 5 Tue | +$3,468 |
| Date | P/L (all sides) |
|---|---|
| Sep 13 Tue | −$289 |
| Sep 14 Wed | −$445 |
| Sep 15 Thu | −$1,632 |
| Sep 16 Fri | −$359 |
| Sep 19 Mon | −$1,847 |
| Sep 20 Tue | −$1,119 |
| Sep 21 Wed | −$812 |
| Sep 22 Thu | −$1,054 |
| Sep 23 Fri | −$2,664 |
- Structure
- Iron Butterfly (ATM body)
- Spread width
- $25
- Stop multiple
- 1× (on spread mark)
- Min wing credit
- $2.00
- Slippage per contract
- $0.50
- Vol filter
- none
- Tranche entry times (ET)
- 12:30 · 13:00 · 13:30 · 14:00 · 14:30 · 15:00
- Win rate is stable (55.8% – 57.1%) and every full year is positive at $0.50 slippage. The structure works across the regimes in the sample.
- The result is highly slippage-sensitive: +$379k at $0.25 → +$270k at $0.50 → +$51k at $1.00. Because stops fire on ATM shorts during fast tape, profitability hinges on your real buy-back fills.
- The profit is directionally skewed — 83% comes from the short-put side in a four-year bull market. A sustained downtrend reverses that engine.
- The ride is choppy: more losing days (528) than winning days (448), a 77-trading-day drawdown in early 2024, and a −$20.8k worst peak-to-trough. Profit comes from green days being larger, not more frequent.
- Verify your own stop fills before going live, and keep the monitor loop healthy — the butterfly rests no broker stop, so its protection is the bot's synthetic spread-mark stop. Not financial advice.
- Data: SPX 0 DTE option chains snapshot at each tranche entry time, with 1-minute resolution for the spread-mark stop checks.
- Structure: iron butterfly — both shorts pinned to the ATM body, wings $25 out. Each wing managed independently; stop on the spread mark (short − long) at 2× the entry credit (stop_multiple 1.0).
- Stop fills modeled at ask on the short and mid on the long, plus a flat slippage charge per stop. The featured page uses $0.50/contract; defined-risk close cost is capped at the spread width so blown-out quotes on violent days can't book an impossible loss.
- End-of-day positions settled at intrinsic value. For trade-by-trade detail, run
meib_backtest.pyon the VPS — it writes a full CSV with entry, exit, and P/L per wing.