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: 44.40% · P25: 21.65% · P50: 24.80% · P75: 29.97%

Term Structure

Short IV: 44.40% · Long IV: 23.18% · Slope: -21.22% · Backwardation

Skew

ATM IV: 26.24% · Put skew: 50.46% · Call skew: 27.70%

Volatility term structure (DTE vs IV)

Term structure table

DTE	Avg IV %	Min IV %	Max IV %
-1	44.40	0.00	179.69
6	26.14	15.13	72.07
13	43.41	0.00	258.14
20	21.92	14.11	51.37
24	35.05	0.00	150.09
26	20.35	13.95	47.75
34	19.08	13.98	35.77
41	28.28	13.91	58.79
69	20.83	14.25	35.26
103	26.71	0.00	86.18
115	23.46	0.00	50.08
195	23.18	13.74	40.08

Strategy performance (click row to show curve)

	Strategy	Total Return %	Win Rate %	Max DD %	Sharpe	Trades
▶	Cash-Secured Put	32.6%	94.7%	2.6%	1.65	19
▶	Covered Call	44.1%	84.2%	7.7%	0.83	19
▶	Long Call	-1532.2%	5.3%	1432.2%	-1.75	19
▶	Long Put	-1641.4%	5.3%	1541.4%	-1.74	19

All strategy equity curves