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 OTM put | Neutral to bullish |
| Covered Call | Income | Own stock + sell OTM call | Neutral to mildly bullish |
| Long Call | Directional | Buy OTM call | Bullish |
| Long Put | Directional | Buy OTM put | Bearish |
| Synthetic Long | Directional | Buy ATM call + sell ATM put | Bullish (stock equivalent) |
| 1x2 Call Ratio Spread | Directional | Buy 1 ATM call + sell 2 OTM calls | Moderately bullish |
| Bull Put Spread | Spread | Sell OTM put + buy further OTM put | Neutral to bullish |
| Bull Call Spread | Spread | Buy OTM call + sell further OTM call | Moderately bullish |
| Bear Call Spread | Spread | Sell OTM call + buy further OTM call | Neutral to bearish |
| Bear Put Spread | Spread | Buy ITM put + sell OTM put | Moderately bearish |
| Long Straddle | Volatility | Buy ATM call + buy ATM put | High volatility |
| Long Strangle | Volatility | Buy OTM put + buy OTM call | High volatility |
| Short Strangle | Neutral | Sell OTM put + sell OTM call | Range-bound |
| Iron Condor | Neutral | Sell put spread + sell call spread | Range-bound |
| Iron Butterfly | Neutral | Sell ATM straddle + buy OTM wings | Very range-bound |
| Jade Lizard | Neutral | Sell OTM put + sell OTM call spread | Neutral to bullish |
| Protective Put | Hedge | Own stock + buy OTM put | Bullish with protection |
| Collar | Hedge | Own stock + buy put + sell call | Neutral to mildly bullish |
| DTE | Avg IV % | Min IV % | Max IV % |
|---|---|---|---|
| 1 | 9.81 | 0.00 | 50.00 |
| 5 | 35.95 | 0.00 | 421.59 |
| 7 | 5.87 | 0.00 | 25.00 |
| 15 | 4.55 | 0.00 | 25.00 |
| 22 | 10.49 | 0.00 | 115.51 |
| 29 | 3.42 | 0.00 | 12.50 |
| 36 | 2.54 | 0.00 | 12.50 |
| 50 | 4.14 | 0.00 | 12.50 |
| 84 | 20.77 | 0.00 | 141.13 |
| 96 | 10.40 | 0.00 | 76.03 |
| 176 | 3.32 | 0.00 | 12.50 |
| 188 | 7.52 | 0.00 | 65.51 |
| Strategy | Total Return % | Win Rate % | Max DD % | Sharpe | Trades | |
|---|---|---|---|---|---|---|
| ▶ | Cash-Secured Put | -2.9% | 94.7% | 5.9% | -0.11 | 19 |
| ▶ | Covered Call | -7.9% | 68.4% | 16.9% | -0.15 | 19 |
| ▶ | Long Call | 1864.3% | 26.3% | 700.0% | 0.24 | 19 |
| ▶ | Long Put | 1911.5% | 5.3% | 1000.0% | 0.12 | 19 |
| ▶ | Bull Put Spread | 64.5% | 94.7% | 90.6% | 0.15 | 19 |
| ▶ | Bull Call Spread | 2118.1% | 57.9% | 600.0% | 0.53 | 19 |
| ▶ | Long Straddle | 575.0% | 57.9% | 277.9% | 0.32 | 19 |
| ▶ | Long Strangle | 1897.8% | 31.6% | 500.0% | 0.27 | 19 |
| ▶ | Iron Condor | -160.9% | 68.4% | 216.0% | -0.26 | 19 |
| ▶ | Iron Butterfly | -197.2% | 42.1% | 212.8% | -0.35 | 19 |
| ▶ | Bear Call Spread | -378.9% | 42.1% | 338.9% | -0.52 | 19 |
| ▶ | Bear Put Spread | -960.4% | 26.3% | 860.4% | -0.63 | 19 |
| ▶ | Protective Put | 55.5% | 68.4% | 8.0% | 0.77 | 19 |
| ▶ | Collar | 49.9% | 73.7% | 6.3% | 0.88 | 19 |
| ▶ | Synthetic Long | 41.1% | 68.4% | 16.3% | 0.47 | 19 |
| ▶ | 1x2 Call Ratio Spread | 909.3% | 57.9% | 414.9% | 0.49 | 19 |
| ▶ | Jade Lizard | -9.1% | 68.4% | 12.2% | -0.26 | 19 |
| ▶ | Short Strangle | -8.3% | 68.4% | 11.7% | -0.25 | 19 |