Strategy Source
- Creator/Channel: Simon Black on Theta Profits (hosted by John)
- Published Date: May 24, 2026
- YouTube URL: https://www.youtube.com/watch?v=319lHEiewRY&t=2731s
Trade Setup
The “Time Flies” strategy is a delta neutral, short-term income strategy constructed by combining two distinct multi-leg setups around the current market price.
| Action (Sell (-)/Buy (+)) | Leg | DTE | Strike Price / Delta Target | Width |
| – | Put Diagonal (Short Leg) | 7-14 days | ~2.2% – 2.3% below market | — |
| + | Put Diagonal (Long Leg) | 14-21 days | Placed lower than short leg | 10 points (as an example) |
| + | Call Broken Wing Butterfly | 7-14 days | Placed above the market | 15 points (inner wing example) |
| – (x2) | Call Broken Wing Butterfly | 7-14 days | Placed higher than long leg | — |
| + | Call Broken Wing Butterfly | 7-14 days | Placed further away (unequal distance) | 30 points (outer wing example) |
- Total Capital Required: $3,000 allocated per contract (Note: While the structural margin/buying power requirement in the software shows roughly $1,300, a conservative $3,000 cash allocation per contract is strictly maintained to withstand potential max loss scenarios without wiping out the account).
Execution Context: The video demonstrates real capital trading based on live portfolio deployment, tracking an active position managed directly inside analysis software.
Strategy Application
The mechanics of the Time Flies strategy rely entirely on capturing options premium through decay while remaining directional agnostic. By blending a put diagonal spread below the market with a call broken wing butterfly above the market, the trade builds a structured “profit tent.”
Strike Selection & The Artistic Curve
Instead of using fixed Delta metrics (a Greek metric that option traders use to measure directional bias or “probability of success”), strike selection is dictated visually by the shape of the profit curve in the software.
- The Baseline: The short strikes are positioned first, roughly 2.2% to 2.3% away from the current underlying price when the VIX (Volatility Index) is near 17. If volatility increases, the strikes can be pushed further out (e.g., 3% or more).
- The Perfect Curve: The ultimate goal is a smooth, balanced, rounded profit tent centered directly over the current market price. If the wings are pulled too far out, a large sag or “janky” dip forms in the center of the graph, indicating a poorly structured trade.
Volatility Dynamics
- The Downside Buffer Zone: The put diagonal below the market naturally exploits volatility expansions. When the market drops, implied volatility usually spikes. This volatility expansion expands the pricing of the longer-dated long put, raising the performance curve and widening the downside Buffer Zone (safety cushion) dynamically.
- The Upside Drift: The call broken wing butterfly above the market handles volatility contractions. When the market rallies, volatility typically drifts downward. The broken wing butterfly is structurally tuned to benefit from this drop in value as it enters the upper tent.
Time Differential
The trade utilizes a rigid Time Differential (DTE gap). The short legs are consistently entered with a minimum timeline of 7 to 14 days to expiration (regularly opened on Thursdays to expire the following Friday). The long put leg of the diagonal is bought exactly one week further out than the short legs to capture favorable Theta (“time decay” mechanics) differentials.
Market Environment
This strategy is optimally deployed on broad cash-settled indexes—specifically the Russell 2000 (RUT), though it is fully functional on the S&P 500 (SPX) or liquid exchange-traded funds like the QQQ. It is tailored for environments where the market is expected to remain relatively range-bound, yet it contains structural features to insulate the portfolio against abrupt macro volatility shocks.
Risk Profile
- Wing Widths & Max Loss: The strategy is entirely defined risk. While the exact Wing Widths (structural risk parameters) are dynamically shifted each week to balance the visual curve, the maximum mathematical loss is fully capped at entry. For a standard single-contract setup, the max structural risk is limited to roughly $1,300.
- Asymmetrical Skew: The trade is deliberately structured with an asymmetrical risk profile. It is skewed to carry significantly less financial risk to the upside than the downside, protecting the trader against sudden, explosive market recoveries.
- Assignment & Settlement Risk: Because the strategy is preferentially executed on cash-settled index underlyings, it carries zero individual stock assignment risk.
- Capital Preservation Rules: To protect trading capital against catastrophic black swan events, a strict allocation buffer is maintained. Never over-trade or allocate the full account to active positions; only utilize a fraction of total buying power, leaving a wide cash cushion ($3,000 allocated vs $1,300 risked) to seamlessly absorb losing weeks.
Expected Outcome
The strategy targets high-probability, short-duration wins, historically achieving an approximate 80% to 84% win rate over multiple years of active trading. Profitability outcomes are divided into specific zones:
1. The “Center Tent” (Your Base Win)
If the market remains relatively flat and stays near the center of the configuration, the options premium decays predictably. This zone yields steady gains as time passes, targeting a clean return on your capital within less than a week.
2. The Volatility Spike Expansion
If the market drops moderately, a sharp spike in volatility lifts the downside curve of the put diagonal. This expands the break-even boundaries outward, turning what looks like a losing directional move into a profitable extraction zone due to volatility expansion.
Management & Exit Triggers
To preserve capital and achieve consistent compounding, execution mechanics follow a strict, unemotional conditional hierarchy:
- Primary Profit Target (10% – 20%): Take the money and run. When the active position generates a profit equal to 10% to 20% of the required buying power (approximately $130 on a $1,300 margin requirement), close the entire trade immediately. Do not hold out for home runs.
- The Hard Time Stop (24 Hours Remaining): Never hold a trade into the final Friday of expiration. Exit the position completely by Wednesday night or Thursday morning at the latest. During the final 24 hours, Gamma(“accelerated risk near expiration”) can violently whip the profit curve around, instantly erasing gains or turning small profits into heavy losses.
- Downside Defense (Calendar Adjustments): If the market suffers an early, aggressive downside shock threating the break-even point, enter a matching calendar spread (selling a put and buying a put matching the structural dates) directly inside the toolkit. This injects an immediate defensive profit bump to the downside to minimize the damage and enter defense mode.
- Upside Defense (Call Calendars / Small Loss): If the market aggressively breaks upward, a call calendar can be placed above the market to provide a small target to hit. However, because rapid upward moves often trigger a severe volatility crush, the preferred professional action is to simply accept a minor 5% loss and exit cleanly.
- Defensive Stop Loss (30% – 40%): If a massive macro market shift occurs and the overall trade drops down 30% to 40% of buying power, abandon the position and buy it back. Do not attempt complex adjustments on a trade that is structurally broken; accept the loss as a standard cost of doing business.