Buy a longer-dated put, sell a shorter-dated OTM put. Profits from time decay + a moderate drop.
๐ฏ Target
64d from today
โ๏ธ Legs
LONG PUT ยท $450 ยท Sep '26
Qty 1 ยท Premium $25.01 ยท ฮ -0.44
SHORT PUT ยท $430 ยท Aug '26
Qty 1 ยท Premium $13.99 ยท ฮ -0.32
P&L at Expiry
Stock (100 sh)Diagonal Put SpreadNowTarget
๐ก Stock vs Options at Target
If VRTX hits $430 by Aug 21:
the diagonal put spread returns
+$1,534
(139.2%)
on $1,102 risked, vs
$-2,163
(-4.8%)
for 100 shares on $45,163.
Options give 29.0ร capital efficiency.
๐ Expiry
Options expire Aug 21, 2026
(64 days out).
P&L shown is the value at expiry if VRTX is at $430.
Use the 30d / 60d / 90d / 180d pills to compare different expiries.
Forward Projection
Reprices legs at (target_price, target_date) via Black-Scholes. Works on existing BS service. Simplest mode โ ship first.
Historical Backtest
Uses our historical options chains to replay this exact strategy over past expirations. Needs: date picker, "rolling every N days", cumulative P&L chart.
Signal Backtest
"Run this strategy on every BUY-rated stock with score โฅ 80 for last 90d." Reuses score_backtest pipeline + strategy overlay.
Solve for Return
Inverse: user says "+50% in 90d", system solves for required price move, shows IV-implied probability. Pure math.
๐ P&L Scenarios โ what happens at different prices and dates
VRTX Price
Today
Jul 9
Jul 30
Aug 21 (exp)
$361
(-20%)
+$759
+$795
+$802
+$755
$384
(-15%)
+$713
+$792
+$869
+$817
$406
(-10%)
+$600
+$708
+$873
+$1,035
$430
(-5%)โ target
+$405
+$505
+$683
+$1,606
$443
(-2%)
+$274
+$352
+$490
+$851
$452
(0%)โ spot
+$173
+$229
+$323
+$405
$461
(+2%)
+$68
+$101
+$144
+$35
$474
(+5%)
-$92
-$95
-$126
-$387
$497
(+10%)
-$345
-$400
-$516
-$806
$519
(+15%)
-$564
-$648
-$787
-$995
$542
(+20%)
-$737
-$827
-$947
-$1,068
Uses VRTX's current IV for repricing. P&L includes all legs (stock + options). Qty: 1x.