Price and Volatility
We see below that historical volatility based on 20 1 d return is between 25% and 200%. Market implied volatilies are in a typical 70% to 110% range.
ATM Butterfly, Call and Put Backtesting
Unhedged butterflies will make money at maturity if the spot has moved enough upwards or downwards. Calls and Puts will only make money if the move is large enough and it occurs in the right direction.
We see that if one is trading overnight butterflies, the theta on them is outweighing the option value:
1 Week Options
2 Week Options
1 Month Options
3 Month Options
6 Month Options
1 Year Options