Following up on our original thesis, 3 Trades: Adapting to the “New Normal” at VIX 24.80 – HIGH NOON TRADER, we have officially exited our SPX Put Broken Wing Butterfly.
While the “New Normal” of a 24 VIX can be intimidating for some, it provides the exact juice needed to make these structural trades sing. We managed to capture a 50% return on our max profit target in a relatively short window.
The Trade Metrics: By the Numbers
For the “quant” minds and ROI hunters, here is the breakdown of how this trade performed from entry to exit.
Performance Summary
- Days in Trade: 14 Days (Entered March 23, 2026)
- Opening Net Credit: $686.00 (Example based on typical BWB pricing at these strikes)
- Closing Net Cost: $345.81 (Calculated from the screenshot totals)
- Net Profit: $340.19 per structure (after fees)
- Return on Max Risk (ROI): ~6.8% * Note: While 6.8% sounds modest, remember that in a BWB, “Max Risk” is a distant tail event. On a “Buying Power” basis, the return is often significantly higher.
- Win % of Max Profit: 49.6% (effectively our 50% target)
Trade Structure Breakdown
We utilized an asymmetrical “Broken Wing” to eliminate upside risk. Because we entered for a Net Credit, if the market had continued to moon (which it did, hitting 6638.25), the trade would have expired for a full profit regardless.
| Metric | Value at Exit |
| Underlying Price | 6638.25 |
| Short Strike Distance | 708 points (10.6% OTM) |
| Current /VX | 23.8 |
| Vegas/Theta Decay | Accelerated (Final 14 days) |
Why We Cut It Here (The 50% Rule)
Traders often ask: “If the market is moving away from your strikes and you have no upside risk, why not let it go to zero and keep the whole credit?”
- Capital Efficiency: We’ve captured 50% of the possible profit in just 14 days. To get the remaining 50%, we’d have to wait another 24 days until April 30. That’s a poor use of time-weighted capital.
- Volatility Risk: With the VIX at 24.1, a sudden “High Noon” spike could expand the spreads and temporarily show a “paper loss,” even if the direction is right.
- Gamma Risk: As we get closer to expiration, the “Greeks” become more volatile. We prefer to take the “easy money” in the middle of the cycle.
Final Thoughts
This trade is a testament to the Broken Wing Butterfly’s resilience. Despite the SPX trading nearly 700 points above our long strikes, the combination of Theta (time) and a slight contraction in IVx allowed us to buy back our shorts significantly cheaper than we sold them.