market-analysis
S-C C1 iron butterfly, exploration
Single-name variance premium, earnings-free
What it is
The exploration book of S-C's iron butterfly: one contract a week on every stock or fund S-C can price at the money (81 in its first week), whatever its other filters and its ten-name selection say, with the first filter it failed on each position. It shows how the names S-C's filters turn away would have fared beside the ones it selects; in its first week most were turned away for a market cap above $20B. S-C has two variants, C1 (every sector) and C2 (Technology excluded). These positions carry C1 because each verdict is read against C1's filters and C1's ten, so a stock C1 selected is marked PASS and repeats C1's champion position at one contract. It never counts toward the champion's record, its caps or its go or no-go, and no read is fixed for it.
The rule
- Entry: every week, on the last session: one contract on every stock or fund in the options data's end-of-day stock screener that has S-C's expiry and at-the-money pair and a known close and 30-day implied volatility, whatever its other filters say.
- Expiry: of the expiries that traded that day, the one 20 to 40 calendar days out nearest 28.
- At the money: the strike nearest the close, within 2.5% of it, whose call and put each printed at least 5 contracts from 15:00 to 16:00 ET; both sold at their average traded price in that window.
- Wings: a call bought at S + 2σ and a put at S − 2σ, each at the nearest strike on the expiry's grid, which need not have traded, with S the close and σ = S × the 30-day implied volatility × √(days to expiry/365). A wing is priced at its average traded price from 15:00 to 16:00 ET if at least 5 contracts traded then, at the quote's midpoint at its last print in that window if fewer did, and otherwise by Black-Scholes from the close and the 30-day implied volatility, adjusted for the contract's own implied volatility when it traded in the five sessions before. A stock whose wings would not fall on either side of the sold strike gets no iron butterfly that week.
- Verdict: the first of C1's filters the stock failed, in the order they are checked; whether it also fails a later one is not recorded. F1 common stock or ADR (so ETFs and other funds fail it), F2 a close of $10 or more, F3 a market cap of $1B to $20B, F4 a 20-session average dollar volume of at least $50M, F5 a known earnings date after the expiry, F6 a 30-day implied volatility of 30% to 80%, F9 quoted spreads of at most 8% on both at-the-money legs. F10 if it passed them all but missed C1's ten lowest spreads, which includes a stock only C2 selected; PASS if C1 selected it. F7 and F8, S-C's expiry and at-the-money rules, are met by every position here.
- Size: one contract, with no caps; the return is measured on its max loss, the wider wing's width less the credit.
- Exit: held to expiry and settled at intrinsic value against the official close (or the stock's price at that day's last option print if the close is missing); a split during the hold is adjusted for, and a stock that stops trading settles at its last close. Early assignment and dividends are not modelled.
| Name | Value | Unit | Where it lives | Pinned by |
|---|---|---|---|---|
| price_min | 10 | USD, the entry session's close (F2) | engine/config.py:243 | tests/test_sc_frozen_params.py:25 |
| mcap_min | 1000000000 | USD of market cap (F3) | engine/config.py:244 | tests/test_sc_frozen_params.py:25 |
| mcap_max | 20000000000 | USD of market cap (F3) | engine/config.py:245 | tests/test_sc_frozen_params.py:25 |
| adv_min | 50000000 | USD a day, 20-session average dollar volume (F4) | engine/config.py:246 | tests/test_sc_frozen_params.py:25 |
| ADV_WINDOW_SESSIONS | 20 | sessions in the average dollar volume (F4) | engine/strategies/sc_data.py:17 | — |
| iv30d_min | 0.3 | 30-day implied volatility, annualized, as a fraction (F6) | engine/config.py:247 | tests/test_sc_frozen_params.py:25 |
| iv30d_max | 0.8 | 30-day implied volatility, annualized, as a fraction (F6) | engine/config.py:248 | tests/test_sc_frozen_params.py:25 |
| dte_cal_min | 20 | calendar days | engine/config.py:249 | tests/test_sc_frozen_params.py:25 |
| dte_cal_max | 40 | calendar days | engine/config.py:250 | tests/test_sc_frozen_params.py:25 |
| target_dte_cal | 28 | calendar days | engine/config.py:251 | tests/test_sc_frozen_params.py:25 |
| atm_band | 0.025 | of the close | engine/config.py:252 | tests/test_sc_frozen_params.py:25 |
| leg_size_min | 5 | contracts printed from 15:00, each leg | engine/config.py:253 | tests/test_sc_frozen_params.py:25 |
| spread_max | 0.08 | of the quote's midpoint, each leg (F9) | engine/config.py:254 | tests/test_sc_frozen_params.py:25 |
| select_n | 10 | names a week (F10) | engine/config.py:255 | tests/test_sc_frozen_params.py:25 |
| wing_sigma | 2 | σ, the wings' distance from S | engine/config.py:257 | tests/test_sc_frozen_params.py:25 |
| LATE_START | 15:00:00 | ET, the late window's start; it runs to the close | engine/config.py:42 | tests/test_frozen_params.py:39 |
| COMMISSION_PER_CONTRACT | 0.65 | USD a contract, each leg | engine/config.py:55 | tests/test_frozen_params.py:39 |
| TIER1_MIN_SIZE | 5 | contracts printed from 15:00 for a wing to be priced at its average traded price | engine/config.py:50 | tests/test_frozen_params.py:39 |
| MODEL_IV_LOOKBACK | 5 | sessions back for a model-priced wing's own implied volatility | engine/config.py:52 | tests/test_frozen_params.py:39 |
| MODEL_SPREAD_LOOKBACK | 20 | sessions of the stock's option spreads behind a model-priced wing's spread | engine/config.py:53 | tests/test_frozen_params.py:39 |
| MODEL_SPREAD_FLOOR | 0.05 | a model-priced wing's least spread | engine/config.py:51 | tests/test_frozen_params.py:39 |
| SPLIT_TOL | 0.05 | gap between the screener's and the daily bars' entry close read as a split | engine/strategies/sc.py:38 | tests/test_sc_frozen_params.py:39 |
Its read
Record so far
Record GitHub ledger
Cost model
half of each leg's spread plus $0.65 a contract at entry, the spread quoted from 15:00 to 16:00 ET or, for a wing priced by model, the stock's median option spread over the 20 sessions before, at least 5%; nothing at expiry
Trades
The newest 100 of 143 trades.
| Opened | Closed | Account | Symbol | Side | Size | Entry | Exit | P&L | Net P&L | Return | Held | Exit by | Status | Record |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Oct 9, 2026 | — | MA | AAL | short | 1 | 1.265299 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | AAPL | short | 1 | 19.704844 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | ABNB | short | 1 | 15.801345 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | ACHR | short | 1 | 0.680652 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | AEHR | short | 1 | 18.937885 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | AMD | short | 1 | 69.946523 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | AMZN | short | 1 | 22.132478 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | ASO | short | 1 | 4.320967 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | ASTS | short | 1 | 8.19657 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | CELH | short | 1 | 3.916282 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | CRWV | short | 1 | 11.67804 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | DAL | short | 1 | 6.670476 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | DELL | short | 1 | 70.17125 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | DRAM | short | 1 | 5.879912 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | EWZ | short | 1 | 3.830162 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | F | short | 1 | 1.021606 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | FRMI | short | 1 | 0.745349 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | GLD | short | 1 | 18.528187 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | GME | short | 1 | 3.592579 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | GOOG | short | 1 | 26.838764 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | HIMS | short | 1 | 5.144037 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | HOOD | short | 1 | 14.715221 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | IBIT | short | 1 | 3.527106 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | INTC | short | 1 | 14.082364 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | IREN | short | 1 | 5.455134 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | IWM | short | 1 | 11.070465 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | JPM | short | 1 | 18.610927 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MARA | short | 1 | 1.471432 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MP | short | 1 | 5.885574 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MRNA | short | 1 | 53.916274 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MSFT | short | 1 | 36.521333 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MU | short | 1 | 96.860711 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NBIS | short | 1 | 31.823548 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NFLX | short | 1 | 6.880603 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NIO | short | 1 | 0.32782 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NKE | short | 1 | 2.438955 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NVDA | short | 1 | 14.501853 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | OKLO | short | 1 | 4.652923 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | PLTR | short | 1 | 25.414963 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | QCOM | short | 1 | 19.115688 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | QQQ | short | 1 | 29.584113 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | RDDT | short | 1 | 25.297018 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | RIVN | short | 1 | 1.869092 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | RKT | short | 1 | 1.675053 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SHOP | short | 1 | 24.317216 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SMCI | short | 1 | 6.882492 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SNDK | short | 1 | 218.099427 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SNXX | short | 1 | 3.604544 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SOFI | short | 1 | 1.838897 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SOXL | short | 1 | 31.288536 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SPCX | short | 1 | 16.528171 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SPY | short | 1 | 19.612594 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | T | short | 1 | 1.615131 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TLT | short | 1 | 2.253269 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TMUS | short | 1 | 13.678941 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TQQQ | short | 1 | 9.356096 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TSLA | short | 1 | 34.77617 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TSM | short | 1 | 31.413031 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | U | short | 1 | 6.296367 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | VIX | short | 1 | 2.095989 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | VST | short | 1 | 18.026186 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | VZ | short | 1 | 2.892126 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AAOI | short | 1 | 21.681508 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AAPL | short | 1 | 17.941937 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AMD | short | 1 | 63.251593 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AMZN | short | 1 | 20.838689 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | APLD | short | 1 | 4.736159 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | APP | short | 1 | 31.132543 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AVGO | short | 1 | 26.492188 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AXTI | short | 1 | 22.603038 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | BA | short | 1 | 15.908595 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | BABA | short | 1 | 7.757175 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | BAC | short | 1 | 3.218369 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | CBRS | short | 1 | 23.943655 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | COIN | short | 1 | 23.656695 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | CRCL | short | 1 | 10.671829 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | CRWV | short | 1 | 13.051628 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | CSCO | short | 1 | 6.757308 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | DIA | short | 1 | 15.192373 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | ECHO | short | 1 | 7.861057 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | F | short | 1 | 1.028212 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | GME | short | 1 | 2.590655 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | GOOG | short | 1 | 25.267019 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | GOOGL | short | 1 | 25.664523 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | HOOD | short | 1 | 14.923662 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | HPE | short | 1 | 9.518835 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IBIT | short | 1 | 3.51616 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IEF | short | 1 | 1.50803 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | INTC | short | 1 | 17.750694 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IONQ | short | 1 | 5.928103 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IREN | short | 1 | 5.960628 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IWM | short | 1 | 11.072212 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | JNJ | short | 1 | 14.202681 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | KO | short | 1 | 3.882753 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | KWEB | short | 1 | 1.243756 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | MARA | short | 1 | 1.826553 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | META | short | 1 | 65.618062 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | MO | short | 1 | 3.629115 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | MRVL | short | 1 | 35.770906 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | MSFT | short | 1 | 35.885337 | — | — | — | — | — | — | open | GitHub ledger (1) |
- (1) Record GitHub ledger
Cost model
half of each leg's spread plus $0.65 a contract at entry, the spread quoted from 15:00 to 16:00 ET or, for a wing priced by model, the stock's median option spread over the 20 sessions before, at least 5%; nothing at expiry
Where the research is
- market-analysis
- S-C's specification (findings market-analysis/DESIGN/90)
- Why the exploration book exists (findings market-analysis/DESIGN/100)