SPX Butterfly Trap
A butterfly approach to a market that keeps coming back.
Explore a systematic SPX butterfly strategy built around repeated price revisits, with complete rules, historical analysis, and real strategy examples.
Butterfly
Trap
Build around a price zone
A butterfly combines options around a central strike. Its expiration payoff resembles a small tent: the best outcome is near the center, with risk defined by the debit paid for the structure.
Let price revisit the center
Repeated swings can bring SPX back toward an existing butterfly. Near the center, time decay can work in the position’s favor. The strategy uses predefined entry and exit rules rather than a discretionary forecast.
Best suited to markets with recurring pullbacks and price revisits. A sustained move away from the center, a gap, or poor liquidity can work against the position. Time passing alone does not ensure a profit.
Performance summary
Historical simulation with two butterfly units per effective trade, using the configured fees and slippage. One unit is one complete butterfly structure. These dollar results reflect that backtest size, not a required position size for every account.
Cumulative closed P&L
Realized net P&L from effective closed trades. This curve excludes unrealized gains and losses and is not a full account-equity or risk curve.
Look inside before you decide.
This is page 2 of the actual Backtest & Analysis PDF: annual results with interpretation. It is a page from the delivered materials.
Includes 3 PDFs, 1 Excel workbook, and supporting CSV, JSON, and reading notes. Exact parameters and execution rules are in the paid guide.
Annual closed P&L
A strong year is useful context, not proof that the same edge will persist. Dollar P&L also depends on position cost and exposure.
2022 begins May 16; 2026 ends October 16. Partial years are not directly comparable to full years.
Monthly closed P&L
Net results grouped by closing month, including the configured transaction costs. Green is positive; red is negative. A dash means outside the study window; $0 means no net realized P&L in that month.
* Partial years. October 2026 ends on October 16. Values rounded to the nearest dollar.
Trade examples
Fourteen consecutive effective entries from July 17 through August 31, 2026, shown in entry-date order. Profits and losses are both retained; amounts are net P&L for the two-unit backtest size.
Inside the strategy guide
The public overview shows the idea and evidence. The complete strategy guide documents the precise rules and the data needed to study them.
Complete strategy manual
Structure, entry conditions, exits, position sizing, costs, and risk explained in plain language.
Backtest & analysis
Historical metrics, yearly and monthly results, and documented backtest assumptions.
Trade case studies
Real strategy examples that follow trades from entry to exit, including losing outcomes.
Parameters & research data
A spreadsheet plus CSV data covering the exact parameters, trade records, leg details, and historical statistics.
Before you purchase
How do I receive the materials?
After payment is confirmed, download links are provided automatically and a download email is sent to the address entered at checkout. Keep your order and download email. For download issues, use the Contact page and describe the order.
What file formats are included?
PDFs are for reading; the Excel workbook and CSV files contain parameters and research data, with additional JSON data. This is a one-time digital purchase with no physical shipment.
Are these live trading results?
No. These are historical simulations, not Daniel’s personal live trading results. Actual fills, spreads, and open-position fluctuations can differ. A long butterfly can lose its entry debit plus costs; multiple positions can accumulate losses.
Who is this guide for?
Readers who understand basic options concepts, want to study multi-leg positions, and can assess the risks independently. The guide explains the strategy and its rules; it does not include personalized investment advice or trade execution.
How can I contact Daniel?
Email support@danieloptionshub.com, or add Daniel on WeChat (WeChat ID: danieloptionshub) or Discord (Discord ID: danielwang3340). For questions about purchased materials, include your order information so it can be located.
Hi, I’m Daniel.
I’m a quantitative algorithm developer and options enthusiast working in North America’s technology industry. My background is in computer science and machine learning, with more than 10 years of professional experience in technology.
Here I bring together strategy explanations, historical backtests and trade case studies so you can examine both the idea and its limitations.
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