Public historical backtest reference

Skyline Butterfly 0DTE v1.0

This page documents the historical simulation referenced in the Theta Profits interview, including the Option Omega configuration, study window, headline results, and a higher-cost sensitivity test.

Educational case study Hypothetical backtest Options Engineering Framework & OS · Patent Pending

Published interview reference

$5,000 starting capital

The original historical simulation shown during the Theta Profits interview.

Net P/L$73,956

CAGR297.4%

Max drawdown-54.2%

Ending capital$78,956

Costs: 0.25 opening fee · 0.05 entry slippage
Study: June 26, 2024–June 25, 2026 · HTE baseline
Key configuration: Hold to expiration (HTE) · Open at 9:45 a.m. ET · Open only when gap down is less than 25 points

Open baseline backtest

Higher-cost sensitivity

$5,000 starting capital

Same strategy and dates with doubled commission and slippage assumptions.

Net P/L$61,748

CAGR265.4%

Max drawdown-56.1%

Ending capital$66,748

Costs: 0.50 opening fee · 0.10 entry slippage
Study: Same two-year period · HTE baseline
Key configuration: Hold to expiration (HTE) · Open at 9:45 a.m. ET · Open only when gap down is less than 25 points
Key configuration: Hold to expiration (HTE) · Open at 9:45 a.m. ET · Open only when gap down is less than 25 points

Open higher-cost backtest

Starting-capital sensitivity

$10,000 starting capital

Same trades, dates, quantity, and baseline costs with a larger modeled capital base.

Net P/L$73,956

CAGR189.8%

Max drawdown-34.7%

Ending capital$83,956

Costs: 0.25 opening fee · 0.05 entry slippage
Study: Same two-year period · HTE baseline

Open $10k backtest

How to read this: the first card preserves the metrics shown publicly in the interview. The second tests higher modeled execution costs. The third isolates the effect of a larger starting-capital base on account-level drawdown and compounding. Changing dates, sizing, costs, or other assumptions can materially change results.

Purpose of this page: provide one official public reference for the version and assumptions shown in the interview. Small changes to entry timing, strike placement, contract ratios, costs, pricing, or expiration handling can materially change results.

Supporting evidence

What was presented publicly and how the test was configured

The interview screenshot and Option Omega summary use the same headline figures and study window. The configuration view documents the baseline setup used for the published historical simulation.

Theta Profits interview screenshot showing the Skyline Butterfly 0DTE v1.0 Option Omega backtest

Shared in the Theta Profits interview

The public interview view showing the historical results discussed with John at Theta Profits.

Option Omega baseline backtest summary for Skyline Butterfly 0DTE v1.0

Option Omega baseline summary

The saved summary view for the same baseline test window and headline results.

Option Omega configuration details for Skyline Butterfly 0DTE v1.0

Baseline Option Omega configuration

The configuration screenshot records the put and call components, 9:45 a.m. entry, daily exact-DTE setup, two-contract maximum, gap-down limit, opening fees, and entry-slippage assumptions.

Study assumptions

Simple breakdown of the published test

UnderlyingSPX index options, using exact 0DTE contracts.

Entry9:45 a.m. ET on eligible trading days.

Management baselineHold to expiration, without discretionary adjustments.

StructureSeparate put-side and call-side six-leg components combined as Skyline Butterfly 0DTE v1.0.

Modeled quantityUp to two contracts per component, using 100% modeled allocation.

Gap filterMaximum gap-down setting of 25 points.

Baseline commissionOpening fee assumption: 0.25 per contract.

Baseline slippageEntry-slippage assumption: 0.05.

Study windowJune 26, 2024 through June 25, 2026.

Cost sensitivity

Baseline assumptions versus higher modeled costs

The higher-cost test keeps the strategy logic and study window unchanged while doubling the opening-fee and entry-slippage assumptions.

Baseline: 0.25 fee / 0.05 slippage Higher costs: 0.50 fee / 0.10 slippage

Baseline case

Opening fee: 0.25 per contract
Entry slippage: 0.05
2-year P/L: $73,956
CAGR: 297.4%
Maximum drawdown: -54.2%

Higher-cost sensitivity case

Opening fee: 0.50 per contract
Entry slippage: 0.10
2-year P/L: $61,748
CAGR: 265.4%
Maximum drawdown: -56.1%

Period	Baseline P/L	Higher-cost P/L	Change in P/L	Baseline max DD	Higher-cost max DD
2-Year Study	$73,956	$61,748	-16.5%	-54.2%	-56.0%
Calendar 2025	$37,460	$31,468	-16.0%	-18.9%	-23.2%
2026 YTD	$19,724	$16,924	-14.2%	-7.1%	-8.9%

2025 and 2026 YTD drawdowns are measured on the continuous historical equity curve entering each period. Period P/L is aggregated from the uploaded Option Omega trade exports. The 2-year CAGR values above are the headline metrics reported directly by Option Omega.

Option Omega summary for Skyline Butterfly 0DTE v1.0 with higher commission and slippage

Higher-cost summary

Same study window with 0.50 opening fee and 0.10 entry slippage assumptions.

Option Omega configuration for Skyline Butterfly 0DTE v1.0 with higher commission and slippage

Higher-cost configuration

Configuration view documenting the increased cost assumptions used in the sensitivity test.

CAR

Capital allocation magnifies the reported drawdown

This historical simulation uses 100% of the modeled $5,000 capital allocation and up to two contracts per component, which magnifies both returns and drawdowns. A smaller notional instrument such as XSP, or lower deployment sizing, may allow the same general structure to be studied with less account-level concentration. That would be a different implementation and could produce materially different costs, fills, returns, and risk.

Starting-capital sensitivity

Same trades. Different account-level risk profile.

The $10,000 reference keeps the strategy logic, study dates, quantities, entry, HTE baseline, and baseline cost assumptions unchanged. Only the starting capital is increased.

Reference	Starting capital	Net P/L	CAGR	Max drawdown	Ending capital
Interview reference	$5,000	$73,956	297.4%	-54.2%	$78,956
Capital-sensitivity reference	$10,000	$73,956	189.8%	-34.7%	$83,956

Interpretation: The underlying dollar P/L is unchanged, but the larger starting-capital base reduces the percentage impact of early losses and materially improves the modeled drawdown profile. This is a useful Option Omega replication check because it helps separate trade-level behavior from account-level compounding and sequence effects.

Option Omega Skyline Butterfly 0DTE v1.0 summary using $10,000 starting capital

$10,000 starting-capital summary

Same strategy logic, dates, quantities, and baseline costs with a larger modeled capital base.

Option Omega Skyline Butterfly 0DTE v1.0 configuration using $10,000 starting capital

$10,000 configuration reference

Configuration view showing the same entry, quantity, HTE setup, fees, slippage, and strategy structure.

Important: This does not eliminate timeframe sensitivity or guarantee similar results. Starting capital, allocation, date range, and the sequence of gains and losses can materially change CAGR, drawdown, and ending capital.

Interpretation and limitations

What this backtest does—and does not—show

What is documented

The saved Option Omega configuration and study dates.
The headline metrics shown in the public interview.
A separate higher-cost sensitivity test.
A hold-to-expiration historical baseline.

What can change live results

Bid-ask spreads, liquidity, order sequencing, and fill quality.
Broker commissions, exchange fees, and settlement handling.
Small changes to strikes, timing, overlap, ratios, or filters.
Different sizing, account capital, XSP substitution, or discretionary management.

Research LibraryExplore other educational studies and methodology. Options Engineering FrameworkSee the disciplined lifecycle used to structure the research. YouTubeWatch supporting explanations on CAR and implementation.

Historical-simulation disclosure: This page is provided for educational research, historical analysis, and illustrative case-study purposes only. The results are hypothetical, unaudited, and do not represent actual account performance. Backtests benefit from hindsight and cannot fully reproduce live liquidity, fills, order handling, slippage, commissions, behavioral decisions, or changing market conditions. Nothing on this page is personalized financial advice, a trade recommendation, or a promise of future results. Options involve substantial risk, including the possibility of the full defined loss.