Time Fly
Calibrated Time Flies: put diagonal + broken-wing call butterfly (no tail put), re-centred on the live RUT proportions (body ~1.94% OTM, lower wing ~0.34 EM, upper wing ~0.52 EM) with a min-wing-width guard so the fly never degenerates to an adjacent-strike wing on coarse/low-EM underlyings like IWM.
Volatility OSP playbook — what to look for & live signal measured
Profit mechanism. 5-leg defined-risk (short put diagonal + short 2× call broken-wing fly), net credit, revalued at the near expiry. Harvests fast front-week theta + IV crush into the near expiry.
Look for:
- Regime BOOST when near/far ATM IV > 1.05 (front-week rich)
- |net delta| ≈ 0 (wt 0.30) + net theta ≥ 1 pt/day (wt 0.25)
- Profit zone ≥ 1 EM both sides (wt 0.20); PoP ≥ 0.55 (wt 0.15)
- Rejects: middle-sag, over-budget loss, negative theta
Edge / reality: Front-week IV-rich mean-reversion + theta. MEASURED (strongest of the set): when VIX1D > VIX9D (~20% of days) the very-front IV crushes ~+5vp over 2 days, 73% reaching ≥2vp — fast, reliable front decay. Caveat: no SPX weeklies → defaults to IWM (tiny EM, guarded); wider on RUT/SPX.
Live-signal caveat: The code's ACTUAL gate — near/far ATM chain-IV ratio — is now MEASURED on real option bars (term_ratio>1 → front crush +1.5vp/2d across SPY/QQQ/IWM), not just the VIX1D/VIX9D index proxy.
reading live VIX term structure…
Scanning Time Fly — querying live Alpaca option chain…
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