Options Strategies

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

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Data source: Volatility and option chains use current data from yfinance. Strategy backtests apply this implied volatility to historical underlying prices (hybrid: real spot history, current IV).

Index:

IV Percentiles

Current: 35.04% · P25: 23.34% · P50: 26.73% · P75: 32.96%

Term Structure

Short IV: 35.04% · Long IV: 23.07% · Slope: -11.97% · Backwardation

Skew

ATM IV: 29.60% · Put skew: 15.76% · Call skew: -4.71%

Volatility term structure (DTE vs IV)

Term structure table

DTE	Avg IV %	Min IV %	Max IV %
5	35.04	18.29	82.72
12	56.02	0.00	299.67
19	26.14	16.59	58.68
23	41.16	0.00	184.00
25	24.30	16.35	62.98
33	23.29	16.11	51.01
40	32.27	15.90	63.62
68	23.28	15.83	40.31
102	29.95	0.00	102.32
114	27.33	0.00	57.94
194	23.35	14.27	40.24
206	23.07	0.00	54.17

Strategy performance (click row to show curve)

	Strategy	Total Return %	Win Rate %	Max DD %	Sharpe	Trades
▶	Cash-Secured Put	34.4%	94.7%	7.6%	0.82	19
▶	Covered Call	45.0%	84.2%	11.8%	0.66	19
▶	Long Call	-1623.5%	5.3%	1523.5%	-2.28	19
▶	Long Put	-1461.6%	5.3%	1361.6%	-0.83	19

All strategy equity curves