Butterfly spread · TradersWeek

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Output: Market-regime classification
Input: Cross-market prices, volatility, carry and portfolio weights
Horizon: Weeks to months
Best use: Put a single trade into a diversified or regime-aware context.

Input: Cross-market prices, volatility, carry and portfolio weights.
Output: market-regime.
Use boundary: Put a single trade into a diversified or regime-aware context.

The archive

Where the method has been read

Read in the archive24 of 29 readings

2001Constructing butterfly-spreads from a weekly impulse to daily DWaves and ratios 2003Specify a butterfly as one range procedureOptions and volatility 2006Index volatility alignment, skews, and butterfly constructionOptions and volatility 2006Oil proxies, volatility regimes, and bounded overlaysOptions and volatility 2007Pairing a double-diagonal overlay with an income butterflyOptions and volatility 2008Range-bound butterfly debit versus iron creditOptions and volatility 2008Iron butterfly payoff construction in volatile crudeOptions and volatility 2008Preplanned butterfly exits with stops and scale-outsOptions and volatility 2010Constructing directional out-of-the-money butterfly spreadsOptions and volatility 2010Modified butterfly and calendar spreads in high-priced namesOptions and volatility 2011Broken-wing put butterfly: credit, vega, and assignmentOptions and volatility 2011Mid-life butterfly and collar adjustments across range and correctionOptions and volatility 2011Iron butterfly as packaged straddle and strangleOptions and volatility 2012Sizing a long butterfly for early assignment and a long option for gammaOptions and volatility 2013A live-cattle call butterfly is a different risk object than an outright callOptions and volatility 2013Iron condors, butterflies, and stops as one risk budgetOptions and volatility 2014Friday expiry as a weekly butterfly and iron-condor laboratoryOptions and volatility 2014Weekly option income adjustments with iron condors and butterfliesOptions and volatility 2017One-day earnings volatility, ratio spreads and butterfliesOptions and volatility 2017Put butterfly payoff construction from an implied move and premiumOptions and volatility 2017Building a staggered broken-wing butterfly bookOptions and volatility 2017Patient short-volatility income as a written procedureOptions and volatility 2017Below-the-money butterfly spreads sized by volatility regimeOptions and volatility 2018Why day-one option risk curves misread theta, calendars, and butterfliesOptions and volatility

This registry entry describes a research method. It is not investment advice and does not make a performance claim.