Reverse Jade Lizard Calculator

Reverse Jade Lizard at a glance

How a reverse jade lizard works

The reverse jade lizard, also known by the nickname twisted sister, mirrors the jade lizard: instead of a short put with a call spread, it pairs a short call with a bull put spread. Because equity options usually carry put skew, the put spread can bring in a meaningful credit, and the short call adds more. If the combined credit at least equals the put spread width, even a crash cannot produce a loss at expiration. In exchange, a strong rally becomes the danger, since nothing caps the short call.

At expiration you keep the full credit when the stock finishes between the short put strike and the short call strike. Below the short put strike, the put spread loses up to its width and then flattens below the long put. Above the short call strike, the loss grows one for one, with no limit once the stock passes the upper breakeven. The payoff looks like a short strangle with the left tail cut off and the right tail left open.

Before expiration the position has positive theta and negative vega, so it benefits from calm markets and falling implied volatility. Delta is usually slightly negative because the short call contributes more negative delta than the put spread adds back. Rallies in stocks often come with falling volatility, which softens part of the mark to market loss on the short call, but a squeeze or gap higher can overwhelm that quickly. Negative gamma makes upside moves increasingly expensive as expiration nears.

Reverse 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 1 105 call (32 days) at $1.78, sell 1 95 put (32 days) at $1.43, buy 1 92.5 put (32 days) at $0.84. That is a net credit of $237. At expiration a maximum profit of $237 and a maximum loss of unlimited, with breakevens at $92.63 and $107.37. The lognormal chance of profit is 59%.

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

When to use a reverse jade lizard

• You are neutral to mildly bearish and believe a strong rally is unlikely before expiration.
• Put skew is steep and the put spread pays well relative to its width.
• You want premium income with no risk to the downside and accept risk to the upside.
• The stock faces clear resistance above the short call strike.

Max profit, max loss and breakeven

Maximum profit

Net credit times 100. You earn it when the stock closes between the two short strikes at expiration.

Maximum loss

Unlimited to the upside, since the short call loses dollar for dollar above the upper breakeven. On the downside, the loss is the put spread width minus net credit, times 100, which is zero when the credit at least equals that width.

Breakeven

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

Reverse Jade Lizard Greeks

• Delta: Delta is usually slightly negative at entry and becomes more negative as the stock rises toward and through the short call strike.
• Gamma: Gamma is negative, with the most dangerous concentration near the short call strike late in the cycle.
• Theta: Theta is positive, so the trade earns decay while the stock remains between the short strikes.
• Vega: Vega is negative, so rising implied volatility hurts and falling volatility helps.

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

The uncovered short call is the main American style exposure. If the stock rallies through the call strike before an ex dividend date and the call's remaining time value drops below the dividend, expect early exercise. Assignment turns the trade into short 100 shares plus the put spread, and being short on the ex dividend date means you owe the dividend. Unlike the jade lizard, there is no long call to exercise against the assignment, so you must buy shares in the market or carry the short stock with its margin, borrow cost, and open ended risk.

The put spread side behaves more gently. If the stock collapses, the short put can be assigned early once it is deep in the money, leaving you long 100 shares at the short put strike. Your long put one strike lower limits the damage: exercise it to sell those shares, or sell the shares and the long put, and the loss matches the put spread width you planned for. At expiration, pin risk at either short strike, especially the call, is a reason to close the position before the final session rather than wait for assignment notices.

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 reverse jade lizard

• Confirm the credit covers the put spread width before entering.
• Decide in advance at what price you will buy a call to cap risk, which converts the trade into an iron condor.
• Roll the short call up and out for a credit if the stock challenges it.
• Close the short call before an ex dividend date if it is in the money.

Reverse 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.