Nov. 21, 2016

Options Backtesting Results

Historical average return: +$8,338.62 (backtested over 1.8 years)
Historical success probability: 68.5%

Summary

Covered calls on Netflix are currently offering unusually positive historical returns. Volatility's options backtesting calculates a 0.51 Sharpe ratio with 69% of the historical trades being profitable. Upside call implied volatility is currently in the 40th percentile. Selecting the right strikes and maturities through backtesting optimization is important for Netflix given its propensity for large, sudden moves.

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