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Jade Lizard Strategy

NeutralIncomeThetaRules built-in

Sell a 0.30 Δ put and a call spread above at IV Rank 30+, only when the total credit is at least the call spread's width: no risk to the upside. Take half, stop at 2× the credit, out at 21 days.
Default settings, 2020 to Nov 4, 2026.

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By stock and year

Select a row to chart it below. Shade is the gap to buying and holding that stock.

Unhedged: nothing protects against a crash beyond what the strategy itself holds.

Stock2020202120222023202420252026 YTDCAGRB&H CAGRMax drawdown
−1.0%−16.2+5.2%−21.7+2.8%+22.3+7.4%−16.9+8.3%−15.0+4.4%−12.0+6.5%−6.0 +4.8%+13.4%−10.5%
+0.1%−45.1+7.1%−19.7−1.6%+31.4+9.5%−44.3+6.5%−18.3+5.2%−15.0+6.9%−5.7 +4.9%+18.5%−9.3%
−4.6%−23.1+21.2%+8.0+1.5%+23.2+14.0%−1.1+10.3%+0.2+5.6%−5.8+7.8%−7.5 +7.9%+8.2%−24.4%
+0.4%−117.4+1.6%−123.6+1.9%+52.2+10.6%−228.3+6.2%−165.0+10.3%−28.6+1.7%+1.7 +4.7%+65.2%−7.0%
+0.6%−76.1+5.4%−28.5+1.6%+28.4+11.6%−36.6+7.1%−22.9+2.0%−6.5+7.9%−20.6 +5.2%+25.2%−7.0%
Gap to buy and hold: behind ahead · option prices before Feb 2024 are modelled, real quotes after

Growth of $10,000

Weekly closes on a log scale; the red shade is the strategy's drawdown from its last high. Returns are on the capital the strategy needed at its peak, with interest on idle cash. Hypothetical: how the backtests are made.

Rules · the when / do flow, read-only until you make a copy
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The strategy runs as 2 tracks side by side. Each day, the first rule whose conditions hold in each track acts.

1. Jade lizard

  1. INCredit at least the call spread's width: open When: book.open == 0 and iv_rank >= ivr_minDo: sell put (as sput) delta put_delta (0.3) dte dte (45) dte_min dte_min (30) dte_max dte_max (60) avoid_earnings 1 strict 1; sell call (as scall) delta call_delta (0.2) strike_min spot + 0.001 expiry leg.sput.expiry strict 1; buy call (as lcall) strike_min leg.scall.strike + 0.001 strike_max leg.scall.strike + spot * wing_pct expiry leg.sput.expiry scan strike_asc require leg.sput.cost + leg.scall.cost - new.cost >= new.strike - leg.scall.strike
  2. TPHalf the credit kept: close When: book.pnl_pct >= take_pctDo: close sput; close scall; close lcall
  3. SLLost 2× the credit: close When: book.pnl_pct <= -stop_pctDo: close sput; close scall; close lcall
  4. EXexit_dte left: close When: leg.sput.dte <= exit_dteDo: close sput; close scall; close lcall
  5. Closed or expired When: book.open == 0Do: nothing (hold)

2. Crash put

A cheap far put under whatever is held; hedge_delta 0 turns it off

  1. CP1Something is held and no crash put: buy one When: hedge_delta > 0 and leg.hedge.open == 0 and shares >= 100 or book.open > 0Do: buy put (as hedge) qty max(1, round(shares / 100)) delta hedge_delta (0) dte hedge_dte (90) dte_min hedge_replace_dte + 7 strike_max spot - 0.001 strict 1
  2. CP2Nothing left to protect: sell it When: leg.hedge.open == 1 and shares < 100 and book.open <= 1Do: close hedge
  3. CP3Down to its last month, or worth hedge_take_x its cost: sell it and buy a fresh one When: leg.hedge.open == 1 and leg.hedge.dte <= hedge_replace_dte or (hedge_take_x > 0 and leg.hedge.mark >= leg.hedge.cost * hedge_take_x)Do: close hedge; buy put (as hedge) qty max(1, round(shares / 100)) delta hedge_delta (0) dte hedge_dte (90) dte_min hedge_replace_dte + 7 strike_max spot - 0.001 strict 1

Parameters and defaults

Every named number in the rules can be changed in the Rule Builder. These are the defaults the backtest used.

ParameterDefault
ivr_min30
put_delta0.3
call_delta0.2
wing_pct0.03
dte45
dte_min30
dte_max60
take_pct50
stop_pct200
exit_dte21
hedge_delta0
hedge_dte90
hedge_replace_dte30
hedge_take_x3

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Trade log · every open, roll, assignment and close for SPY
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neutralincome

Sell a 0.30 Δ put and a call spread above at IV Rank 30+, only when the total credit is at least the call spread's width: no risk to the upside. Take half, stop at 2× the credit, out at 21 days.

What it is

Sell a 0.30 delta put and a 0.20 delta call spread above the price, about 45 days out, when IV Rank is 30 or more, and only when the total credit is at least the width of the call spread. Take half the credit, stop at twice the credit, and close at 21 days left.

When to use it

Use it for a neutral-to-bullish view when IV is rich and you want short-put income with no risk if the stock rallies.

Maximum risk

No risk to the upside, because the credit covers the call spread's width. The downside is the short put's, less the credit, as with a cash-secured put.

Questions

What makes it a jade lizard?

The rule that the credit is at least the call spread's width. That removes the risk above, which is the whole point.

What if the credit is too small?

The backtest scans narrower call spreads, nearest first, and only opens when one meets the rule; otherwise it waits.

What does the hedged version add?

A cheap far put under the position, swapped monthly.

Related strategies

Cash-secured putsSell a weekly 0.30 Δ put. If assigned, sell calls at or above the adjusted cost basis until the shares are called. A cheap 90-day put sits under every short as crash insurance.Short strangleSell a 0.16 Δ put and call at IV Rank 30+. Take half, stop at 2× the credit, out at 21 days. When a side is tested, roll the other toward it; after max_rolls, go to a straddle.Vertical spread by IVIV Rank sets the kind, the 50-day trend the side: at IV Rank ivr_high+ sell a credit spread (bull put above the average, bear call below); at ivr_low or less buy a debit spread (bull call or bear put). Take take_pct, stop credit spreads at 2× the credit and debit spreads at half the debit, out at 21 days.