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Options Strategy Library

Combined library from Larry McMillan's Options as a Strategic Investment and Brian Overby's The Options Playbook. The options_analyzer.py script selects from this set based on outlook × risk_profile × IV environment.

Table of Contents

How to read this doc

Each strategy entry has:

Field Meaning
Name (EN / CN) English / Chinese name.
Direction bullish / bearish / neutral / volatile market view.
Construction Legs (BUY/SELL, Call/Put, strike offset relative to ATM).
When to use The setup this strategy is built for.
IV preference low (buy premium) · high (sell premium) · neutral (spreads).
Max profit / loss Per 1 contract; multiply by 100 for $ on US equity options.
Risk profile conservative / moderate / aggressive — who should consider it.

Strike offsets are measured in strike steps (the gap between adjacent listed strikes). 0 = ATM, +2 = two strikes OTM call side, -2 = two strikes OTM put side, etc.

IV environment guidance

options_analyzer.py --iv-context compares the current average IV across the chain to 20-day realized volatility and returns one of three regimes:

Regime Trigger Bias
IV high IV / HV > 1.3 Sell premium — credit spreads, CSPs, covered calls, iron condors.
IV neutral 0.8 ≤ IV / HV ≤ 1.3 Spread-driven — directional debit/credit spreads.
IV low IV / HV < 0.8 Buy premium — long options, straddles/strangles, ratio backspreads.

The analyzer re-ranks candidates inside a given outlook × risk_profile cell so that IV-matched strategies come first.

Selection matrix (outlook × risk_profile)

This is the literal mapping inside options_analyzer.py — the first strategy in each cell is the default suggestion.

Outlook Conservative Moderate Aggressive
Bullish Covered Call · Cash-Secured Put · Collar Bull Call Spread · Bull Put Spread Long Call · Call Ratio Backspread · Risk Reversal
Bearish Protective Put · Bear Call Spread Bear Put Spread Long Put · Put Ratio Backspread
Neutral Covered Call · Iron Condor Iron Condor · Iron Butterfly · Jade Lizard Short Straddle · Short Strangle
Volatile Long Strangle Long Straddle · Long Strangle Long Straddle · Call Ratio Backspread

Note on "Aggressive Bearish": selling unhedged calls (Short Call) is intentionally excluded because of unlimited upside risk. Use a defined-risk bear call spread instead.

Tier 1 — Rookie (single-leg)

Long Call · 买入看涨

  • Direction: bullish · aggressive.
  • Construction: BUY 1 Call ATM.
  • When to use: strong directional conviction, expecting a sharp move up before expiry.
  • IV preference: low (you're long vega).
  • Max profit: unlimited.
  • Max loss: premium paid.
  • Breakeven: strike + premium.

Long Put · 买入看跌

  • Direction: bearish · aggressive.
  • Construction: BUY 1 Put ATM.
  • When to use: strong downside conviction.
  • IV preference: low.
  • Max profit: strike − premium (down to zero).
  • Max loss: premium paid.
  • Breakeven: strike − premium.

Cash-Secured Put (CSP) · 现金担保卖出看跌

  • Direction: bullish (or neutral-to-bullish) · conservative / moderate.
  • Construction: SELL 1 Put, typically 2 strikes OTM; reserve cash to buy 100 shares at the strike.
  • When to use: willing to own the stock at a discount; collect premium otherwise. Stage 1 of the wheel.
  • IV preference: high.
  • Max profit: premium collected.
  • Max loss: (strike − premium) × 100 if the stock goes to zero.
  • Breakeven: strike − premium.

Covered Call · 备兑看涨

  • Direction: bullish (mildly) · conservative.
  • Construction: OWN 100 shares + SELL 1 OTM Call.
  • When to use: generate yield on existing stock; OK with capping upside. Stage 3 of the wheel.
  • IV preference: high.
  • Max profit: (call_strike − cost_basis + premium) × 100.
  • Max loss: stock fall − premium (downside is the same as owning the stock, minus what you collected).
  • Breakeven: cost_basis − premium.

Protective Put · 保护性看跌

  • Direction: neutral (insurance) · conservative.
  • Construction: OWN 100 shares + BUY 1 OTM Put.
  • When to use: worried about a near-term drawdown but don't want to sell.
  • IV preference: low.
  • Max profit: unlimited (stock upside) − premium.
  • Max loss: capped at (cost_basis − put_strike + premium) × 100.

Tier 2 — Intermediate (two-leg spreads)

Bull Call Spread · 牛市看涨价差

  • Direction: bullish · moderate.
  • Construction: BUY Call at ATM, SELL Call 3 strikes higher.
  • When to use: moderate upside view; want to cap cost vs. long call.
  • IV preference: neutral.
  • Max profit: (width − net_debit) × 100.
  • Max loss: net_debit × 100.
  • Breakeven: long_strike + net_debit.

Bear Put Spread · 熊市看跌价差

  • Direction: bearish · moderate.
  • Construction: BUY Put at ATM, SELL Put 3 strikes lower.
  • When to use: moderate downside view; cheaper than long put.
  • IV preference: neutral.
  • Max profit: (width − net_debit) × 100.
  • Max loss: net_debit × 100.
  • Breakeven: long_strike − net_debit.

Bull Put Spread (credit) · 牛市看跌价差

  • Direction: bullish · moderate.
  • Construction: SELL Put 1 strike OTM, BUY Put 4 strikes OTM.
  • When to use: bullish AND high IV — get paid to be right.
  • IV preference: high.
  • Max profit: net_credit × 100.
  • Max loss: (width − net_credit) × 100.
  • Breakeven: short_put_strike − net_credit.

Bear Call Spread (credit) · 熊市看涨价差

  • Direction: bearish · moderate (conservative-friendly).
  • Construction: SELL Call 1 strike OTM, BUY Call 4 strikes OTM.
  • When to use: bearish-to-neutral AND high IV.
  • IV preference: high.
  • Max profit: net_credit × 100.
  • Max loss: (width − net_credit) × 100.
  • Breakeven: short_call_strike + net_credit.

Long Straddle · 买入跨式

  • Direction: volatile · moderate / aggressive.
  • Construction: BUY Call ATM + BUY Put ATM.
  • When to use: expecting a big move, unsure direction (e.g. binary event).
  • IV preference: low (vega risk — IV crush on earnings kills it).
  • Max profit: unlimited (up); large (down).
  • Max loss: total premium paid.
  • Breakeven: strike ± total_premium.

Short Straddle · 卖出跨式

  • Direction: neutral · aggressive (unlimited risk).
  • Construction: SELL Call ATM + SELL Put ATM.
  • When to use: expecting tight range; high IV that will collapse.
  • IV preference: high.
  • Max profit: total premium received.
  • Max loss: unlimited.
  • Breakeven: strike ± total_premium.

Long Strangle · 买入宽跨式

  • Direction: volatile · moderate.
  • Construction: BUY OTM Call (+2) + BUY OTM Put (−2).
  • When to use: big move expected, cheaper than straddle but needs larger move.
  • IV preference: low.
  • Max profit: unlimited.
  • Max loss: total premium.
  • Breakeven: call_strike + prem · put_strike − prem.

Short Strangle · 卖出宽跨式

  • Direction: neutral · moderate / aggressive.
  • Construction: SELL OTM Call (+3) + SELL OTM Put (−3).
  • When to use: range-bound with high IV; wider safety than short straddle.
  • IV preference: high.
  • Max profit: total premium.
  • Max loss: unlimited (both sides).
  • Breakeven: call_strike + prem · put_strike − prem.

Collar · 领口策略

  • Direction: neutral (hedged) · conservative.
  • Construction: OWN stock + BUY OTM Put (−2) + SELL OTM Call (+2). Often near zero cost.
  • When to use: lock in a gain; protect against a drop without paying for the put.
  • IV preference: neutral.
  • Max profit: capped at call_strike − cost_basis ± net_credit.
  • Max loss: capped at cost_basis − put_strike ∓ net_credit.

Tier 3 — Advanced (3–4 leg)

Iron Condor · 铁秃鹰

  • Direction: neutral · conservative / moderate.
  • Construction: SELL OTM Put + BUY further OTM Put AND SELL OTM Call + BUY further OTM Call.
  • When to use: range-bound stock, want defined risk on a short strangle.
  • IV preference: high.
  • Max profit: net_credit × 100.
  • Max loss: (max(put_width, call_width) − net_credit) × 100.
  • Breakeven: short_put − net_credit · short_call + net_credit.

Iron Butterfly · 铁蝶式

  • Direction: neutral · moderate.
  • Construction: SELL ATM Put + SELL ATM Call + BUY OTM Put (−3) + BUY OTM Call (+3).
  • When to use: stock will pin near ATM by expiry; want bigger credit than iron condor.
  • IV preference: high.
  • Max profit: net_credit × 100 (at ATM at expiry).
  • Max loss: (wing_width − net_credit) × 100.

Long Call Butterfly · 买入蝶式

  • Direction: neutral · moderate (defined risk).
  • Construction: BUY 1 ITM Call (−3) + SELL 2 ATM Calls + BUY 1 OTM Call (+3).
  • When to use: pin play, low cost. Loves time decay if price stays near middle strike.
  • IV preference: neutral.
  • Max profit: at middle strike at expiry — (wing_width − net_debit) × 100.
  • Max loss: net_debit × 100.

Jade Lizard · 翡翠蜥蜴

  • Direction: bullish (with upside protection) · moderate.
  • Construction: SELL OTM Put + SELL OTM Call + BUY further OTM Call. Net credit ≥ call spread width → no upside risk.
  • When to use: bullish AND high IV, but want a hedge in case of upside gap.
  • IV preference: high.
  • Max profit: net_credit × 100 (in the no-touch range).
  • Max loss: put-side: strike_put − net_credit. Upside loss zero by construction.

Tier 4 — Expert (ratio & synthetic)

Call Ratio Backspread · 看涨比率反向价差

  • Direction: bullish (sharp move) · aggressive.
  • Construction: SELL 1 Call near ATM + BUY 2 Calls 3 strikes OTM.
  • When to use: convex upside bet; profits on big rallies, small loss on tight range.
  • IV preference: low (long vega net).
  • Max profit: unlimited.
  • Max loss: between strikes (zone of pain). Bounded.

Put Ratio Backspread · 看跌比率反向价差

  • Direction: bearish (sharp drop) · aggressive.
  • Construction: SELL 1 Put near ATM + BUY 2 Puts 3 strikes OTM.
  • When to use: crash protection / convex downside bet.
  • IV preference: low.
  • Max profit: large (down to zero).
  • Max loss: between strikes.

Risk Reversal · 风险反转

  • Direction: bullish · aggressive.
  • Construction: BUY OTM Call (+2) + SELL OTM Put (−2). Often near zero cost.
  • When to use: strong upside conviction, willing to be assigned at the put strike. Synthetic long stock with a gap.
  • IV preference: neutral.
  • Max profit: unlimited.
  • Max loss: put_strike × 100 (if stock goes to zero, minus net credit).

Cheat sheet — choose by intent

If you want to… Look at
Get paid to wait for a buy entry Cash-Secured Put
Earn yield on stock you own Covered Call
Hedge a winning stock position Collar / Protective Put
Bet on direction cheaply Long Call / Long Put
Bet on direction with capped cost Bull/Bear Call/Put Spreads
Get paid for range-bound view (defined risk) Iron Condor / Iron Butterfly
Get paid for range-bound view (max premium) Short Straddle / Strangle
Bet on a big move (direction unknown) Long Straddle / Strangle
Convex bullish or bearish bet Ratio Backspread
Bullish with disaster hedge upside Jade Lizard