Jade lizard
BullishLimited profitLimited loss
Short put + short call spread: no upside risk when credit beats the spread width.
Payoff at expiry — live BTC example
Net credit
$53.43
Max profit
$53.43
Max loss
$64,747
Breakevens
64,747 / 67,053
Example legs (0.7 DTE front)
- Sell 64,800 put
- Sell 67,000 call
- Buy 67,600 call
Entry greeks (per 1 BTC notional): Δ 0.037 · Γ -0.2039 per 1% · vega $-7.01/pt · theta $133.40/day
How it works
Short OTM put plus a short call spread, sized so total credit exceeds the call-spread width — eliminating upside risk entirely.
When to use it
Neutral-bullish income when IV is rich both sides; the vault has a dedicated constructibility study for these on BTC.
Risks & management
All remaining risk is the short put (strike minus credit). If the credit does not cover the call-spread width, it is not a jade lizard.
Related structures
Example built from live Delta Exchange BTC marks on the nearest constructible expiry; numbers refresh with the chain. Educational content, not investment advice.