M200 (BFlycDS)

Balanced put fly + far-OTM call debit spread, ~200 DTE. Multi-DTE sweep, auto-hedge picker, hold-horizon scoring.

Structural OSP playbook — what to look for & live signal measured

Profit mechanism. 5-leg ~200-225 DTE (doubled put fly +2/−4/+2 + call debit spread), net debit ~$10k. Positive theta, short gamma, SHORT VEGA; profit zone ~7% below spot — a structural left-tail/drift carry.

Look for:

EV-per-terminal-risk (scorer wt 0.25) + flat T+0/15/30 payoff (wt 0.20)
risk-efficiency = max-loss/EM ≤ ~5% (wt 0.20)
PoP ≥ 55% (hard floor) + |delta| ≤ 0.10 (wt 0.10)
~200 DTE on an index; IV NOT spiking (short vega)

Edge / reality: Short-vega structural carry + left-tail convexity. MEASURED: in calm/contango the short-vol carry (VRP) is +3.0vp and pays on 83% of days — but 7% of entries hit a vol SPIKE within 10d (the short-vega tail that bites). Real edge only shown 2024+ (~40% CAGR, 25% TP exits).

Live-signal caveat: Measured on real bars — but the leave-out test splits the edge: the IV-RANK TIMING is robust (IV mean-reverts down −1.5/−2.2vp/wk EVERY year 2024-26), while the raw VRP carry is EVENT-CONCENTRATED (negative in some years). Lean on the timing, not the carry.

reading live VIX term structure…

Symbol (cash-settled index) DTE min (sweep) DTE max (sweep) SP delta center (x100) SP delta sweep half-width (x100) SP delta sweep steps Wing mode: balanced (symmetric fly, cleaner risk) or bwb (broken-wing, more theta) Balanced: wing width in points (SP ± this on both sides) BWB: ULP delta = SP + offset (x100) BWB: LLP delta = SP - offset (x100) Long call delta (x100) Short call delta (x100) Fly multipliers (CSV) Risk budget $/structure Hold horizon (% of DTE) OptionStrat / risk-graph: show book of N M200 units (1 = per-unit focus) Include hedge in risk graph (steady-state ~45 DTE remaining) Hedge steady-state DTE remaining (rolling avg) Graph view: terminal (classic OptionStrat shape) or hold (BS-marked at exit) Include the optimal-combo hedge (1Δ ~-15% OTM 30dte, PT $50k) Hedge picker Hedge DTE (optimal 30, creator spec 60) Auto hedge DTE min Auto hedge DTE max Hedge |delta| x100 (optimal 3-5 / -15% OTM, creator spec 1) Auto hedge |delta| min x100 Auto hedge |delta| max x100 Hedge puts (per book, NOT per M200) Hedge covers N active positions Entry cadence (52 = weekly) Max concurrent active positions Account tranche $ (capital cap) Sweep hedge deltas 1/5/10/15Δ, keep best net CAGR after DD Best candidate per DTE Keep N candidates per DTE (overrides best_per_dte if >0) Require left-tail-only (strict) Top N Min EV/risk % (drop junk; 0=off) VIX gate min (mark trades below as ⚠ gated; 0=off) VIX gate max (mark trades above as ⚠ gated; 0=off) Strict (accepted only) Sort by

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