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

StrategyCategoryStructureOutlook
Cash-Secured PutIncomeSell OTM putNeutral to bullish
Covered CallIncomeOwn stock + sell OTM callNeutral to mildly bullish
Long CallDirectionalBuy OTM callBullish
Long PutDirectionalBuy OTM putBearish
Synthetic LongDirectionalBuy ATM call + sell ATM putBullish (stock equivalent)
1x2 Call Ratio SpreadDirectionalBuy 1 ATM call + sell 2 OTM callsModerately bullish
Bull Put SpreadSpreadSell OTM put + buy further OTM putNeutral to bullish
Bull Call SpreadSpreadBuy OTM call + sell further OTM callModerately bullish
Bear Call SpreadSpreadSell OTM call + buy further OTM callNeutral to bearish
Bear Put SpreadSpreadBuy ITM put + sell OTM putModerately bearish
Long StraddleVolatilityBuy ATM call + buy ATM putHigh volatility
Long StrangleVolatilityBuy OTM put + buy OTM callHigh volatility
Short StrangleNeutralSell OTM put + sell OTM callRange-bound
Iron CondorNeutralSell put spread + sell call spreadRange-bound
Iron ButterflyNeutralSell ATM straddle + buy OTM wingsVery range-bound
Jade LizardNeutralSell OTM put + sell OTM call spreadNeutral to bullish
Protective PutHedgeOwn stock + buy OTM putBullish with protection
CollarHedgeOwn stock + buy put + sell callNeutral to mildly bullish
Index:
IV Percentiles
Current: 9.81% · P25: 3.96% · P50: 6.70% · P75: 10.42%
Term Structure
Short IV: 9.81% · Long IV: 7.52% · Slope: -2.29% · Backwardation
Skew
ATM IV: 1.45% · Put skew: 20.78% · Call skew: 19.04%
Volatility term structure (DTE vs IV)
Term structure table
DTEAvg IV %Min IV %Max IV %
19.810.0050.00
535.950.00421.59
75.870.0025.00
154.550.0025.00
2210.490.00115.51
293.420.0012.50
362.540.0012.50
504.140.0012.50
8420.770.00141.13
9610.400.0076.03
1763.320.0012.50
1887.520.0065.51
Strategy performance (click row to show curve)
StrategyTotal Return %Win Rate %Max DD %SharpeTrades
Cash-Secured Put-2.9%94.7%5.9%-0.1119
Covered Call-7.9%68.4%16.9%-0.1519
Long Call1864.3%26.3%700.0%0.2419
Long Put1911.5%5.3%1000.0%0.1219
Bull Put Spread64.5%94.7%90.6%0.1519
Bull Call Spread2118.1%57.9%600.0%0.5319
Long Straddle575.0%57.9%277.9%0.3219
Long Strangle1897.8%31.6%500.0%0.2719
Iron Condor-160.9%68.4%216.0%-0.2619
Iron Butterfly-197.2%42.1%212.8%-0.3519
Bear Call Spread-378.9%42.1%338.9%-0.5219
Bear Put Spread-960.4%26.3%860.4%-0.6319
Protective Put55.5%68.4%8.0%0.7719
Collar49.9%73.7%6.3%0.8819
Synthetic Long41.1%68.4%16.3%0.4719
1x2 Call Ratio Spread909.3%57.9%414.9%0.4919
Jade Lizard-9.1%68.4%12.2%-0.2619
Short Strangle-8.3%68.4%11.7%-0.2519
All strategy equity curves