Options Backtesting Research

Aug 30

U.S. utilities implied volatility spikes, delta hedged straddles attractive

U.S. utilities (XLU) implied volatility has risen from the 24th percentile to the 70th percentile over the past few weeks in advance of an expected interest rate hike next month. Options traders are expecting a nearly 4% move in the sector after the Fed meeting on September 21st. At today's elevated pricing, an options backtesting analysis of selling straddles delta hedged shows a 70% probability of success with a 0.32 Sharpe ratio.

View options backtest
Aug 29

Covered calls add consistent income for Apple shareholders

An options backtest of covered calls on Apple over the past two years shows that the options strategy added on average $7,600 per 1,000 shares to the investor's portfolio value ($950 every three months). We ran numerous options backtesting analyses to optimize the strategy and identify the time to expiration and strike price with the highest historical expected value and with the lowest probability of shares being called away. Log in to view the details.

View options backtest
Aug 23

Biotech put spread hedges are historically cheap

An options backtest shows that the cost to purchase put spreads on biotechnology ETF XBI is near its lowest level since early 2015. Hedgers worried about further turmoil in the biotech sector would find these options attractive due to their inexpensive current pricing and positive historical returns in the backtest.

View options backtest