Options Strategies

US equity options strategies backtested across expirations. Cash-secured puts, covered calls, spreads, and more. Drawdown by expiration cycle.

Methodology

Options strategies are evaluated on major US equity index ETFs (SPY, QQQ, IWM, DIA). Implied volatility and option chain data are sourced from current market data; strategy backtests apply this IV to historical underlying price series — a hybrid approach using real spot history with current IV structure.

Each strategy (cash-secured put, covered call, spreads, straddles, strangles, iron condor, iron butterfly) is simulated across multiple expiration cycles. Equity curves show cumulative return assuming positions are held to expiration and rolled. Greeks and IV percentiles are computed from the current term structure.

Results do not account for bid-ask spreads, assignment risk, or early exercise. Metrics should be treated as indicative rather than precise real-world estimates.

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Strategy Library

Strategy	Category	Structure	Outlook
Cash-Secured Put	Income	Sell OTM put	Neutral to bullish
Covered Call	Income	Own stock + sell OTM call	Neutral to mildly bullish
Long Call	Directional	Buy OTM call	Bullish
Long Put	Directional	Buy OTM put	Bearish
Synthetic Long	Directional	Buy ATM call + sell ATM put	Bullish (stock equivalent)
1x2 Call Ratio Spread	Directional	Buy 1 ATM call + sell 2 OTM calls	Moderately bullish
Bull Put Spread	Spread	Sell OTM put + buy further OTM put	Neutral to bullish
Bull Call Spread	Spread	Buy OTM call + sell further OTM call	Moderately bullish
Bear Call Spread	Spread	Sell OTM call + buy further OTM call	Neutral to bearish
Bear Put Spread	Spread	Buy ITM put + sell OTM put	Moderately bearish
Long Straddle	Volatility	Buy ATM call + buy ATM put	High volatility
Long Strangle	Volatility	Buy OTM put + buy OTM call	High volatility
Short Strangle	Neutral	Sell OTM put + sell OTM call	Range-bound
Iron Condor	Neutral	Sell put spread + sell call spread	Range-bound
Iron Butterfly	Neutral	Sell ATM straddle + buy OTM wings	Very range-bound
Jade Lizard	Neutral	Sell OTM put + sell OTM call spread	Neutral to bullish
Protective Put	Hedge	Own stock + buy OTM put	Bullish with protection
Collar	Hedge	Own stock + buy put + sell call	Neutral to mildly bullish

Index:

IV Percentiles

Current: 44.70% · P25: 23.20% · P50: 25.50% · P75: 37.63%

Term Structure

Short IV: 44.70% · Long IV: 24.31% · Slope: -20.39% · Backwardation

Skew

ATM IV: 14.94% · Put skew: 61.87% · Call skew: 52.46%

Volatility term structure (DTE vs IV)

Term structure table

DTE	Avg IV %	Min IV %	Max IV %
-1	44.70	0.00	268.46
3	75.23	0.00	535.46
5	22.92	0.00	91.04
13	20.61	0.00	51.07
20	35.98	0.00	147.15
27	23.30	13.89	51.51
34	21.73	14.01	43.04
48	26.06	11.91	54.03
82	42.59	0.00	161.77
94	27.79	0.00	82.44
174	24.93	0.00	49.45
186	24.31	0.00	70.38

Strategy performance (click row to show curve)

	Strategy	Total Return %	Win Rate %	Max DD %	Sharpe	Trades
▶	Cash-Secured Put	48.4%	100.0%	0.0%	5.10	19
▶	Covered Call	57.4%	89.5%	2.8%	1.26	19
▶	Long Call	-1541.2%	5.3%	1451.5%	-1.83	19
▶	Long Put	-1818.3%	0.0%	1718.3%	-5.25	19
▶	Bull Put Spread	511.6%	94.7%	59.5%	1.30	19
▶	Bull Call Spread	308.4%	52.6%	519.2%	0.16	19
▶	Long Straddle	-1019.5%	5.3%	976.0%	-2.23	19
▶	Long Strangle	-1661.8%	5.3%	1567.7%	-3.45	19
▶	Iron Condor	749.2%	94.7%	46.6%	1.56	19
▶	Iron Butterfly	447.1%	89.5%	31.7%	1.07	19
▶	Bear Call Spread	-113.0%	47.4%	239.4%	-0.16	19
▶	Bear Put Spread	-1326.4%	10.5%	1226.4%	-1.11	19
▶	Protective Put	15.0%	68.4%	19.3%	0.21	19
▶	Collar	63.7%	84.2%	8.0%	1.09	19
▶	Synthetic Long	49.3%	79.0%	13.6%	0.65	19
▶	1x2 Call Ratio Spread	1362.4%	100.0%	0.0%	2.00	19
▶	Jade Lizard	64.5%	94.7%	1.3%	2.46	19
▶	Short Strangle	94.7%	94.7%	0.3%	3.37	19

All strategy equity curves