51montreal: The Flyagonal Options Strategy

Very good content and explanation Steve. The objective is to take advantage of volatility dropping when the market goes up (profit from the CBWB) and to benefit from volatility rising when the market goes down (profit from the Diagonal).

I’d just like to add an observation: in the video you mention that the Flyagonal has a component with negative Vega thanks to the CBWB, but this is not always the case. For example, with the short strikes placed around +2% or +3% above spot, the CBWB actually shifts to positive Vega and negative Theta. Only when the short strikes are very close to spot (±1%) do you get the profile of Vega – with Theta +. In other words, the moneyness configuration is key and can completely change the logic of the combination. A current example would be the following CBWBs: Spot: 6631,96. +2%: 6715/–2×6765/6840 → Vega = +0.10, Theta = –0.24 +3%: 6780/–2×6830/6900 → Vega = +0.44, Theta = –0.29

2025-12-22 10：54am 开这个FLYAGONAL。当时SPY是683.5

就是比SPY高一点的684 buy call, 5点后689卖2个call，然后6点后买695买call，不对称的call蝴蝶。

684 买 3.62， 689 卖1.25，如果SPY在684以下这些CALL全作废。在684以上就相当于687.62买SPY，在689以上就是690.25卖，这一对就会赚690.25-687.62=2.63，还有一手会按690.25卖。如果在695以上会695.2买，这一对就会亏4.95. 总的亏损是4.95-2.63=2.32.

比SPY现价低一点的683卖PUT 2.87，在第二天更低682买PUT 3.11，如果在683以上PUT作废，即浪费了1.24。在683以下相当于680.13买SPY，第二天678.89卖SPY，总的亏损1.24.

2025-12-23 spy 686.4

这个组合赚了33元。

2025-12-24 spy 690.38, 这个组合赚3块

2025-12-26 1：29pm, spy=689.66, 这个组合赚63块

2025-12-28 7：11PM，

ES 6980, 开了10天后的FLYAGONAL，花了 14.5. 当时 BID ASK是9.75-13.75，一直买不上，直到写了MARKET ， 14.5成交。

2025-12-29 11:44am spy 686 跌了3点，

SPY 组合赚了102. 离到期日还有一天。

昨天开的ES， ES 6946，比昨天6980 跌了34点。

组合亏282

2025-12-30 11:30am SPY 688, 今天到期。今天的683 PUT和明天的682 PUT作废， 684 call-689 call, 赚今天收盘价-684，比如现在688，那就赚4，另一个689 call and 695call 作废。花了1.56权利金，共赚2.44. 现在UNRLZD PL显示赚234，跟我算的差不多，还有半天时间价值。如果收盘没过689，需要手动卖100股SPY。如果过了689，需要手动买100股SPY。