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
$142.75
Max profit
$142.75
Max loss
$71,657
Breakevens
71,657 / 74,143
Example legs (0.6 DTE front)
- Sell 71,800 put
- Sell 74,000 call
- Buy 74,400 call
Entry greeks (per 1 BTC notional): Δ 0.112 · Γ -0.2056 per 1% · vega $-9.36/pt · theta $253.85/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.