Buy a longer-dated put, sell a shorter-dated OTM put. Profits from time decay + a moderate drop.
๐ฏ Target
67d from today
โ๏ธ Legs
LONG PUT ยท $435 ยท Jul '26
Qty 1 ยท Premium $26.33 ยท ฮ -0.43
SHORT PUT ยท $415 ยท Jun '26
Qty 1 ยท Premium $13.8 ยท ฮ -0.32
P&L at Expiry
Stock (100 sh)Diagonal Put SpreadNowTarget
๐ก Stock vs Options at Target
If VRTX hits $415 by Jun 19:
the diagonal put spread returns
+$1,407
(112.3%)
on $1,253 risked, vs
$-2,127
(-4.9%)
for 100 shares on $43,627.
Options give 22.9ร capital efficiency.
๐ Expiry
Options expire Jun 19, 2026
(67 days out).
P&L shown is the value at expiry if VRTX is at $415.
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
May 5
May 27
Jun 19 (exp)
$349
(-20%)
+$599
+$639
+$653
+$609
$371
(-15%)
+$545
+$626
+$709
+$667
$393
(-10%)
+$426
+$532
+$697
+$874
$415
(-5%)โ target
+$233
+$329
+$503
+$1,407
$428
(-2%)
+$100
+$174
+$306
+$650
$436
(0%)โ spot
+$0
+$54
+$142
+$216
$445
(+2%)
-$102
-$72
-$32
-$144
$458
(+5%)
-$257
-$262
-$293
-$554
$480
(+10%)
-$503
-$558
-$672
-$964
$502
(+15%)
-$716
-$799
-$937
-$1,148
$524
(+20%)
-$885
-$974
-$1,095
-$1,219
Uses VRTX's current IV for repricing. P&L includes all legs (stock + options). Qty: 1x.