US equity options strategies backtested across expirations. Cash-secured puts, covered calls, spreads, and more. Drawdown by expiration cycle.
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 | 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 |
| DTE | Avg IV % | Min IV % | Max IV % |
|---|---|---|---|
| 0 | 56.81 | 0.00 | 875.88 |
| 2 | 9.31 | 0.00 | 50.00 |
| 10 | 5.35 | 0.00 | 25.00 |
| 17 | 8.37 | 0.00 | 171.39 |
| 24 | 4.04 | 0.00 | 12.50 |
| 31 | 3.36 | 0.00 | 12.50 |
| 38 | 2.71 | 0.00 | 12.50 |
| 45 | 4.54 | 0.00 | 12.50 |
| 79 | 23.69 | 0.00 | 173.82 |
| 91 | 10.71 | 0.00 | 86.66 |
| 171 | 3.25 | 0.00 | 12.50 |
| 183 | 7.93 | 0.00 | 73.27 |
| Strategy | Total Return % | Win Rate % | Max DD % | Sharpe | Trades | |
|---|---|---|---|---|---|---|
| ▶ | Cash-Secured Put | 6.9% | 94.7% | 1.7% | 0.75 | 19 |
| ▶ | Covered Call | 6.8% | 68.4% | 12.7% | 0.15 | 19 |
| ▶ | Long Call | -362.5% | 21.1% | 900.0% | -0.10 | 19 |
| ▶ | Long Put | -1434.6% | 5.3% | 1334.6% | -0.73 | 19 |
| ▶ | Bull Put Spread | 171.3% | 89.5% | 79.3% | 0.44 | 19 |
| ▶ | Bull Call Spread | 1230.6% | 57.9% | 479.6% | 0.45 | 19 |
| ▶ | Long Straddle | 9.5% | 47.4% | 190.6% | 0.01 | 19 |
| ▶ | Long Strangle | -735.1% | 26.3% | 715.1% | -0.31 | 19 |
| ▶ | Iron Condor | 121.2% | 73.7% | 107.2% | 0.25 | 19 |
| ▶ | Iron Butterfly | -38.7% | 47.4% | 114.9% | -0.09 | 19 |
| ▶ | Bear Call Spread | -314.2% | 42.1% | 323.8% | -0.45 | 19 |
| ▶ | Bear Put Spread | -1181.4% | 15.8% | 1081.4% | -0.79 | 19 |
| ▶ | Protective Put | 54.4% | 79.0% | 11.1% | 0.76 | 19 |
| ▶ | Collar | 57.4% | 79.0% | 8.9% | 0.99 | 19 |
| ▶ | Synthetic Long | 49.3% | 79.0% | 13.6% | 0.65 | 19 |
| ▶ | 1x2 Call Ratio Spread | 1180.7% | 73.7% | 200.2% | 0.85 | 19 |
| ▶ | Jade Lizard | 7.9% | 73.7% | 5.3% | 0.30 | 19 |
| ▶ | Short Strangle | 9.6% | 73.7% | 5.4% | 0.35 | 19 |
| ▶ | Long Calls | -362.5% | 21.1% | 900.0% | -0.10 | 19 |
| ▶ | Short Calls | 6.8% | 68.4% | 12.7% | 0.15 | 19 |
| ▶ | Long Puts | -1434.6% | 5.3% | 1334.6% | -0.73 | 19 |
| ▶ | Short Puts | 6.9% | 94.7% | 1.7% | 0.75 | 19 |
| ▶ | Long Straddles | 9.5% | 47.4% | 190.6% | 0.01 | 19 |
| ▶ | Long Strangles | -735.1% | 26.3% | 715.1% | -0.31 | 19 |
| ▶ | Short Strangles | 9.6% | 73.7% | 5.4% | 0.35 | 19 |
| ▶ | Long Call Spread | 1230.6% | 57.9% | 479.6% | 0.45 | 19 |
| ▶ | Short Call Spread | -314.2% | 42.1% | 323.8% | -0.45 | 19 |
| ▶ | Long Put Spread | 171.3% | 89.5% | 79.3% | 0.44 | 19 |
| ▶ | Short Put Spread | -1181.4% | 15.8% | 1081.4% | -0.79 | 19 |
| ▶ | Call Front Spread | 1180.7% | 73.7% | 200.2% | 0.85 | 19 |
| ▶ | Cash-Secured Put | 6.9% | 94.7% | 1.7% | 0.75 | 19 |
| ▶ | Covered Call | 6.8% | 68.4% | 12.7% | 0.15 | 19 |
| ▶ | Short Straddle | -9.5% | 52.6% | 238.8% | -0.01 | 19 |
| ▶ | Long Call Butterfly | -690.8% | 31.6% | 758.8% | -0.38 | 19 |
| ▶ | Short Call Butterfly | -986.2% | 5.3% | 952.1% | -1.58 | 19 |
| ▶ | Long Put Butterfly | -428.3% | 31.6% | 467.9% | -0.24 | 19 |
| ▶ | Short Put Butterfly | -1026.1% | 0.0% | 992.0% | -2.23 | 19 |
| ▶ | Call Backspread | -2820.8% | 26.3% | 2504.6% | -0.87 | 19 |
| ▶ | Put Backspread | 1123.4% | 84.2% | 405.7% | 0.64 | 19 |
| ▶ | Put Front Spread | -1123.4% | 15.8% | 1023.4% | -0.64 | 19 |
| ▶ | Reverse Iron Condor | -580.2% | 26.3% | 700.0% | -0.23 | 19 |
| ▶ | Reverse Iron Butterfly | 79.2% | 52.6% | 159.1% | 0.08 | 19 |
| ▶ | Long Call Condor | 736.8% | 84.2% | 213.6% | 0.66 | 19 |
| ▶ | Short Call Condor | -2567.1% | 0.0% | 2414.2% | -4.25 | 19 |
| ▶ | Long Put Condor | -748.0% | 31.6% | 673.7% | -0.61 | 19 |
| ▶ | Short Put Condor | -1684.7% | 0.0% | 1628.0% | -2.45 | 19 |
| ▶ | Long Call Calendar | -1.6% | 36.8% | 144.7% | 0.00 | 19 |
| ▶ | Short Call Calendar | 1.6% | 63.2% | 110.2% | 0.00 | 19 |
| ▶ | Long Put Calendar | -12.2% | 36.8% | 285.8% | -0.01 | 19 |
| ▶ | Short Put Calendar | 12.2% | 63.2% | 213.0% | 0.01 | 19 |
| ▶ | Long Call Diagonal | 896.9% | 79.0% | 190.6% | 0.80 | 19 |
| ▶ | Short Call Diagonal | -896.9% | 21.1% | 799.2% | -0.80 | 19 |
| ▶ | Long Put Diagonal | -837.8% | 21.1% | 757.7% | -0.76 | 19 |
| ▶ | Short Put Diagonal | 837.8% | 79.0% | 222.0% | 0.76 | 19 |