Bank Nifty Iron Fly Option Strategy Backtesting
Short Iron Butterfly Parameters
Sell ATM Call & Put, Buy OTM wings for protectionCall Wing
ATM + offset (Buy protection)Put Wing
ATM - offset (Buy protection)Quick Presets
Understand Iron fly Metrics
Why Focus on Break-Even Zones and Risk/Reward?
Misleading Metrics (Wrong for Iron Butterfly):
• Looking only at max profit ignores risk• Ignoring break-even points hides exposure
• Price multiples don’t reflect credit received
Correct Metrics (Right for Iron Butterfly):
• Define upper and lower break-even points• Show max profit zone at short strikes
• Highlight risk vs. reward clearly
📋 Calculation Example:
Short Call Strike: 18000
Short Put Strike: 18000
Credit Received: 250
Upper BE = 18000 + 250 = 18250
Lower BE = 18000 - 250 = 17750
Max Profit Zone = At 18000 (ATM)
Risk = Spread Width - Credit Received
🎯 How to Use These Metrics:
- Break-Even Awareness: Know where losses begin
- Profit Zone: Identify the ATM strike as max gain
- Risk Management: Compare credit vs. spread width
- Trade Evaluation: Use return % to judge efficiency
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Yearly Monthly PnL
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total PnL | Total Trades | MDD |
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Yearly Weekday PnL
This table shows how profits and losses vary by weekday across different years. Use it to spot recurring patterns (e.g., stronger Mondays, weaker Fridays) and evaluate trade timing discipline.
| Year | Mon | Tue | Wed | Thu | Fri | Sat | PnL | Trades |
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Trades
| Symbol | Spot Entry | Spot Exit | Spot Δ | Entry Date | Entry Day | Exit Date | Exit Day | Expiry | Strategy |
Strikes
SC/LC/SP/LP
|
SC Entry
(Sell)
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LC Entry
(Buy)
|
SP Entry
(Sell)
|
LP Entry
(Buy)
|
Net Credit
Entry
|
SC Exit
(Buy)
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LC Exit
(Sell)
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SP Exit
(Buy)
|
LP Exit
(Sell)
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Net Debit
Exit
|
Strategy High
Max Value
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Strategy Low
Min Value
|
DTE |
PnL
Credit − Debit
|
Max Profit
= Credit
|
Max Loss
Width − Credit
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Profit Zone
Lower → Upper
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Spread Width
Call / Put
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Risk
Capital
|
Equity
Cumulative
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DD
Drawdown
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"The premium you pay is the price of potential. Make sure the payoff is worth the probability."
Disclaimer: Option Backtesting tools are provided strictly for informational and educational purposes. They do not constitute investment advice, nor do we offer tips or recommendations. Investments in the stock market involve financial risk. Please consult a qualified financial advisor before making any investment decisions.
