28d • General discussion
Flyagonal: Advanced But Powerful Structure for the Current Low-Volatility Market
Recently you probably noticed I publish much less trade ideas than usual. This is intentional. We short volatility, and over the last weeks our volatility indicators have been flashing very mixed signals. There are not many clean opportunities, and when the edge is not obvious, we don't force trades. Knowing when not to trade is a real advantage.
Today, in this low-volatility, messy environment, I want to introduce something more advanced and genuinely useful for experienced traders: Flyagonals.
A Flyagonal is one of my favorite options structures, and one of the most powerful ways I know to trade volatility when the market gives no clean directional edge. In both backtests and real trading, Flyagonals have shown a win rate around 95%, which is extremely rare for a defined-risk structure.
What makes a Flyagonal special is how it's built; it combines two parts that are meant to protect each other. On the upside, there's a broken-wing call butterfly placed slightly above spot. It works best when the market drifts, and volatility stays calm. On the downside, there's a put diagonal sitting below spot. That leg is more relevant if the market drops and volatility expands.
When these two pieces are combined, something interesting happens: instead of fighting the Greeks, they start to rebalance as market conditions change. You also end up with unusually wide profit zones, which makes the structure far more forgiving than most standalone flies or diagonals.
Now to my version today (SPX), based on the same logic but adapted to the strikes and expirations I want.
Put diagonal:
- Long 6790 put, expiration 9 Jan 2026
- Short 6820 put, expiration 31 Dec 2025
Call broken-wing butterfly:
- Expiration: 31 Dec 2025
- Structure: +1x 6900 / -2x 6930 / +1x 6965 calls
Important: in practice, in platforms like Tastytrade or IBKR, this position is usually entered as two separate orders (the put diagonal and the call butterfly), but it should always be managed as one combined trade. The interactions between the legs are what create the edge, so managing them in isolation misses the point. As with most Flyagonals, I'm not looking to hold this to expiration, profits are taken early at 25%!
If you want to go deeper into the logic, construction, and real performance of Flyagonals, you can learn much more in my detailed blog post here. Keep in mind: this is a fantastic and very powerful structure, but also an advanced trade. It's not for everyone and it's not something you need to trade often.
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Flyagonal: Advanced But Powerful Structure for the Current Low-Volatility Market
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