Jade Lizard Calculator

Jade Lizard at a glance

How a jade lizard works

A jade lizard, sometimes listed as a jade lizard spread, is a short put plus a bear call spread. The goal is to collect more premium than a short put alone while keeping the upside fully defined. The key design rule is that the net credit should be equal to or larger than the call spread width. If it is, then even if the stock rallies far above the long call, the call spread's loss is fully covered by the premium received, so the worst upside outcome is roughly breakeven.

At expiration you keep the full net credit anywhere between the put strike and the short call strike. Below the put strike, the short put loses one for one, offset only by the credit, so the position behaves like owning shares bought at a discount. Above the short call strike, the call spread loses up to its width, and then the payoff goes flat above the long call. If the credit exceeded the spread width, that flat region still shows a small profit.

Before expiration the jade lizard has positive theta and negative vega: it earns decay each day the stock stays in range and benefits when implied volatility falls. Traders often open it when implied volatility is high, because richer premiums make it easier to collect a credit larger than the call spread width. Delta is usually slightly positive. Gamma is negative, so a fast move in either direction hurts, but a fast drop does the most damage because nothing protects the short put.

Jade Lizard example with real numbers

With the stock at $100, implied volatility at 30%, a 4.1% risk free rate and no dividend, you would sell 1 95 put (32 days) at $1.43, sell 1 105 call (32 days) at $1.78, buy 1 107.5 call (32 days) at $1.17. That is a net credit of $204. At expiration a maximum profit of $204 and a maximum loss of $9,296, with breakevens at $92.96 and $107.04. The lognormal chance of profit is 57%.

These are theoretical American option prices from the Bjerksund and Stensland model, not live quotes. Load any ticker in the jade lizard calculator above to run the same math on real market prices.

When to use a jade lizard

• You are neutral to mildly bullish and want to sell premium with no upside risk.
• Implied volatility is high enough that the total credit can exceed the call spread width.
• You would be willing to own the stock at the put strike minus the credit.
• You want a higher credit than a short put alone without adding open ended upside risk.

Max profit, max loss and breakeven

Maximum profit

Net credit times 100. You keep all of it when the stock closes between the put strike and the short call strike at expiration.

Maximum loss

Downside: put strike minus net credit, times 100, if the stock goes to zero. Upside: call spread width minus net credit, times 100, which means no upside loss at all when the credit is at least as large as the spread width.

Breakeven

Lower breakeven = put strike minus net credit. Upper breakeven = short call strike plus net credit, but only if the credit is smaller than the call spread width; otherwise there is no upside breakeven.

Jade Lizard Greeks

• Delta: Delta is usually slightly positive at entry, because the short put's positive delta outweighs the small negative delta of the out of the money call spread.
• Gamma: Gamma is negative, so delta shifts against you when the stock moves quickly in either direction.
• Theta: Theta is positive, and decay accelerates when the stock stays between the short strikes late in the cycle.
• Vega: Vega is negative, so a drop in implied volatility helps and a spike hurts, mainly through the short put.

See the live numbers for your position in the Greeks tab of the calculator, or explore a single option in the options Greeks calculator.

Early exercise and assignment risk

On the call side, the short call can be assigned early once it is in the money, most often on the trading day before an ex dividend date when the dividend exceeds its remaining time value. Assignment leaves you short 100 shares. Your long call one strike higher covers them: exercise that call, or buy shares and sell the long call, and the result matches the call spread loss you already planned for. The catch is that being short on the ex dividend date means you owe the dividend, which can eat into the credit that made the jade lizard work.

On the put side, a sharp selloff can leave the short put deep in the money with almost no time value, and the holder may exercise early to collect the strike price. You then own 100 shares at the put strike with the call spread still open far above. That is the outcome a jade lizard trader must be prepared for, so keep enough cash or margin to take delivery. Near expiration, a close near either short strike creates pin risk, so traders usually close or roll the position in the final days.

The calculator's Early exercise risk tab flags short legs that are likely to be assigned. For a single option, use the early exercise calculator or read how early exercise and assignment work.

Pros and cons

How to manage a jade lizard

• Check that the credit is at least the call spread width before entering, and adjust strikes if it is not.
• Take profits at a fraction of the credit instead of holding through expiration week.
• Roll the short put down and out for a credit if the stock tests the put strike.
• If the stock rallies, roll the put up to collect more premium while the call spread stays defined.

Jade Lizard FAQ

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Educational tool, not financial advice. Calculations are theoretical and depend on your inputs; real fills, fees, early assignment and dividends can change results. Options involve risk and are not suitable for every investor.