Options Strategies

← home

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.

Strategy Library

Strategy	Category	Structure	Outlook
Cash-Secured Put	Income	Sell an OTM put and collect premium. Obligated to buy the underlying at the strike if assigned.	Neutral to bullish
Covered Call	Income	Own the underlying and sell an OTM call to collect premium, capping upside.	Neutral to mildly bullish
Long Call	Directional	Buy an OTM call for leveraged upside exposure with defined risk.	Bullish
Long Put	Directional	Buy an OTM put for downside protection or bearish speculation.	Bearish
Bull Put Spread	Spread	Sell a higher-strike put and buy a lower-strike put for a net credit.	Neutral to bullish
Bull Call Spread	Spread	Buy a lower-strike call and sell a higher-strike call for a net debit.	Moderately bullish
Long Straddle	Volatility	Buy an ATM call and ATM put simultaneously — profits from large moves in either direction.	High volatility expected (direction agnostic)
Long Strangle	Volatility	Buy an OTM put and OTM call — cheaper than a straddle, needs a bigger move to profit.	High volatility expected (direction agnostic)
Iron Condor	Neutral	Sell an OTM put spread and OTM call spread simultaneously for a net credit.	Neutral (range-bound)
Iron Butterfly	Neutral	Sell an ATM straddle and buy OTM wings — maximum profit at the strike, defined risk.	Very neutral (pinned to strike)
Bear Call Spread	Spread	Sell a lower-strike call and buy a higher-strike call for a net credit — bearish.	Neutral to bearish
Bear Put Spread	Spread	Buy a higher-strike put and sell a lower-strike put for a net debit — bearish.	Moderately bearish
Short Strangle	Neutral	Sell an OTM put and OTM call simultaneously — collect premium, profit in range-bound markets.	Neutral (range-bound)
Protective Put	Hedge	Own the underlying and buy an OTM put as downside insurance.	Bullish with downside protection
Collar	Hedge	Own stock, buy OTM put, sell OTM call — capped upside, protected downside.	Neutral to mildly bullish (hedged)
Synthetic Long	Directional	Buy ATM call + sell ATM put — replicates stock ownership with options.	Bullish (stock equivalent)
1x2 Call Ratio Spread	Directional	Buy 1 ATM call, sell 2 OTM calls — profits in moderate rallies, risks in large moves.	Moderately bullish
Jade Lizard	Neutral	Sell OTM put + sell OTM call spread — no upside risk, income strategy.	Neutral to bullish
Short Straddle	Neutral	Sell an ATM call and ATM put, collecting premium when price stays near strike.	Range-bound / short vol
Long Call Butterfly	Volatility	Long 1 lower call, short 2 middle calls, long 1 upper call.	Pinning / low movement
Short Call Butterfly	Volatility	Inverse of long call butterfly.	Long volatility
Long Put Butterfly	Volatility	Put-version butterfly centered near ATM.	Pinning / low movement
Short Put Butterfly	Volatility	Inverse of long put butterfly.	Long volatility
Call Backspread	Directional	Sell 1 lower call, buy 2 higher calls.	Bullish with vol expansion
Put Backspread	Directional	Sell 1 higher put, buy 2 lower puts.	Bearish with vol expansion
Put Front Spread	Directional	Buy 1 higher put, sell 2 lower puts.	Mildly bearish / short vol
Reverse Iron Condor	Volatility	Buy put spread + buy call spread.	Long volatility
Reverse Iron Butterfly	Volatility	Buy ATM straddle, sell OTM wings.	Long volatility
Long Call Condor	Neutral	Four-leg call condor with profit zone between middle strikes.	Range target
Short Call Condor	Volatility	Inverse of long call condor.	Breakout / long vol
Long Put Condor	Neutral	Put-version condor with bounded risk/reward.	Range target
Short Put Condor	Volatility	Inverse of long put condor.	Breakout / long vol
Long Call Calendar	Neutral	Buy longer-dated call, sell shorter-dated call at same strike.	Neutral with vol edge
Short Call Calendar	Volatility	Inverse call calendar position.	Short volatility
Long Put Calendar	Neutral	Buy longer-dated put, sell shorter-dated put at same strike.	Neutral with vol edge
Short Put Calendar	Volatility	Inverse put calendar position.	Short volatility
Long Call Diagonal	Directional	Long longer-dated call + short shorter-dated higher-strike call.	Moderately bullish
Short Call Diagonal	Volatility	Inverse call diagonal.	Short vol / bearish bias
Long Put Diagonal	Directional	Long longer-dated put + short shorter-dated lower-strike put.	Moderately bearish
Short Put Diagonal	Volatility	Inverse put diagonal.	Short vol / bullish bias
Covered Call	Income	Alias of covered-call implementation (sell_call).	Neutral to mildly bullish
Cash-Secured Put	Income	Alias of cash-secured put implementation (sell_put).	Neutral to bullish
Long Calls	Directional	Alias of long call implementation (buy_call).	Bullish
Short Calls	Income	Alias of covered-call implementation (sell_call).	Neutral to mildly bullish
Long Puts	Directional	Alias of long put implementation (buy_put).	Bearish
Short Puts	Income	Alias of cash-secured put implementation (sell_put).	Neutral to bullish
Long Straddles	Volatility	Alias of long straddle (straddle).	Long volatility
Long Strangles	Volatility	Alias of long strangle (strangle).	Long volatility
Short Strangles	Neutral	Alias of short strangle (short_strangle).	Range-bound / short vol
Long Call Spread	Spread	Alias of bull call spread (call_spread).	Moderately bullish
Short Call Spread	Spread	Alias of bear call spread (bear_call_spread).	Neutral to bearish
Long Put Spread	Spread	Alias of bull put spread implementation in current engine (put_spread naming).	Taxonomy alias
Short Put Spread	Spread	Alias of bear put spread (bear_put_spread).	Moderately bearish
Call Front Spread	Directional	Alias of front-ratio style mapping (ratio_spread).	Short convexity / mild bullish

Index:

IV Percentiles

Current: 12.06% · P25: 3.98% · P50: 6.12% · P75: 9.54%

Term Structure

Short IV: 12.06% · Long IV: 10.67% · Slope: -1.39% · Backwardation

Skew

ATM IV: 2.13% · Put skew: 33.81% · Call skew: 26.45%

Volatility term structure (DTE vs IV)

Term structure table

DTE	Avg IV %	Max IV %
-1	12.06	50.00
6	9.41	50.00
13	4.42	25.00
20	4.00	25.00
27	3.41	25.00
34	5.57	25.00
41	2.55	6.25
68	9.93	91.42
80	7.80	61.42
160	3.94	26.34
172	6.67	51.81
251	10.67	79.08

Strategy performance (click row to show curve)

	Strategy	Total Return %	Win Rate %	Max DD %	Sharpe	Trades
▶	Cash-Secured Put	-10.4%	94.7%	10.7%	-0.23	19
▶	Covered Call	-23.2%	42.1%	25.2%	-0.34	19
▶	Long Call	9349.9%	26.3%	500.0%	0.39	19
▶	Long Put	58779.9%	5.3%	1100.0%	0.23	19
▶	Bull Put Spread	-79.0%	84.2%	106.9%	-0.19	19
▶	Bull Call Spread	4505.3%	57.9%	500.0%	0.67	19
▶	Long Straddle	1992.9%	79.0%	166.1%	0.71	19
▶	Long Strangle	25921.8%	31.6%	500.0%	0.33	19
▶	Iron Condor	-239.9%	68.4%	250.3%	-0.44	19
▶	Iron Butterfly	-393.7%	21.1%	381.5%	-0.79	19
▶	Bear Call Spread	-478.7%	42.1%	458.2%	-0.69	19
▶	Bear Put Spread	-592.5%	26.3%	900.0%	-0.27	19
▶	Protective Put	48.6%	73.7%	10.0%	0.70	19
▶	Collar	41.0%	73.7%	9.8%	0.69	19
▶	Synthetic Long	27.0%	73.7%	22.6%	0.28	19
▶	1x2 Call Ratio Spread	1531.0%	63.2%	367.8%	0.60	19
▶	Jade Lizard	-18.4%	68.4%	18.9%	-0.38	19
▶	Short Strangle	-17.4%	68.4%	18.0%	-0.38	19
▶	Long Calls	9349.9%	26.3%	500.0%	0.39	19
▶	Short Calls	-23.2%	42.1%	25.2%	-0.34	19
▶	Long Puts	58779.9%	5.3%	1100.0%	0.23	19
▶	Short Puts	-10.4%	94.7%	10.7%	-0.23	19
▶	Long Straddles	1992.9%	79.0%	166.1%	0.71	19
▶	Long Strangles	25921.8%	31.6%	500.0%	0.33	19
▶	Short Strangles	-17.4%	68.4%	18.0%	-0.38	19
▶	Long Call Spread	4505.3%	57.9%	500.0%	0.67	19
▶	Short Call Spread	-478.7%	42.1%	458.2%	-0.69	19
▶	Long Put Spread	-79.0%	84.2%	106.9%	-0.19	19
▶	Short Put Spread	-592.5%	26.3%	900.0%	-0.27	19
▶	Call Front Spread	1531.0%	63.2%	367.8%	0.60	19
▶	Cash-Secured Put	-10.4%	94.7%	10.7%	-0.23	19
▶	Covered Call	-23.2%	42.1%	25.2%	-0.34	19
▶	Short Straddle	-1992.9%	21.1%	1932.3%	-0.71	19
▶	Long Call Butterfly	-936.8%	21.1%	923.8%	-0.79	19
▶	Short Call Butterfly	-1546.4%	0.0%	1450.0%	-2.33	19
▶	Long Put Butterfly	-938.3%	21.1%	866.4%	-0.91	19
▶	Short Put Butterfly	-1526.5%	0.0%	1479.9%	-2.34	19
▶	Call Backspread	-1715.3%	36.8%	1648.8%	-0.60	19
▶	Put Backspread	1816.7%	84.2%	324.7%	0.41	19
▶	Put Front Spread	-1816.7%	15.8%	1977.1%	-0.41	19
▶	Reverse Iron Condor	18039.5%	31.6%	500.0%	0.39	19
▶	Reverse Iron Butterfly	1792.5%	79.0%	166.1%	0.80	19
▶	Long Call Condor	-124.6%	68.4%	249.0%	-0.17	19
▶	Short Call Condor	-3038.9%	0.0%	2860.9%	-4.96	19
▶	Long Put Condor	-912.8%	26.3%	868.2%	-0.88	19
▶	Short Put Condor	-2081.2%	0.0%	1993.4%	-2.77	19
▶	Long Call Calendar	-318.1%	26.3%	396.2%	-0.45	19
▶	Short Call Calendar	318.1%	73.7%	101.5%	0.45	19
▶	Long Put Calendar	-1128.7%	26.3%	1391.7%	-0.46	19
▶	Short Put Calendar	1128.7%	73.7%	335.0%	0.46	19
▶	Long Call Diagonal	1204.2%	68.4%	294.1%	0.65	19
▶	Short Call Diagonal	-1204.2%	31.6%	1157.2%	-0.65	19
▶	Long Put Diagonal	-474.1%	21.1%	849.7%	-0.19	19
▶	Short Put Diagonal	474.1%	79.0%	627.3%	0.19	19

All strategy equity curves