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11 Comments

  1. EStaples
    May 9, 2020 @ 8:24 am

    What do you use for 50% max profit on a LEAP call; wouldn’t it be unlimited? Also, if the max loss is the purchase value, how can the 50D account go negative? Thanks!

    Reply

    • EStaples
      May 10, 2020 @ 11:46 am

      Looks like all the charts & post was corrected. Please ignore my questions. All makes sense now. Thanks!

      Reply

      • spintwig.com
        May 10, 2020 @ 12:08 pm

        Yes, sorry about that. This was my first study consisting of 100% long positions so identifying a respective methodology and ensuring accurate code may take a few iterations.

        The reporting templates I use are designed for short strategies; I updated it to “50% increase in option value”. Also, my code had a bug that manifest when a strategy is 100% long positions. This has been corrected and the updated data has been republished.

        Feedback and questions like yours help tremendously. Thanks for reading and commenting!

        Reply

  2. JEI
    May 14, 2020 @ 6:00 pm

    This is a good one. I’m trying to figure out how LEAPs should fit into a portfolio. Seems overly aggressive to buy one every day, but maybe a strategy of buying during corrections would be a big winner.

    Reply

    • spintwig.com
      May 17, 2020 @ 12:13 am

      That’s a good idea. I may add that to the list of backtests – opening a SPY LEAP when VIX is above or below “x”. The downside in practice is that one won’t know if they’re right or wrong for a while. They’ll have to wait for expiration (or a VIX pop if taking profits early).

      Reply

  3. bobby
    October 25, 2020 @ 1:03 am

    So leaps did fine during the march 2020 crash? Looks like it stayed profitable, was it bc IV increased so much?

    Reply

    • spintwig.com
      October 25, 2020 @ 10:40 pm

      Need more data points to tell. LEAPS have a 3-6mo expiration cycle. If I reran this with data through June 30 or later we’d be able to see whether the LEPAS for this cycle were still profitable despite the drop (and sharp recovery).

      I’ve been meaning to redo this study to align it with the other debit strategies, so will likely have an answer soon.

      Reply

  4. doug
    January 13, 2021 @ 6:04 am

    Based on your analysis, I would be interested to know how the simulation would look if the scenarios were expanded to include 70D, 84D, 90D, and 95D compared against the information above. (My hypothesis is that those strategies would perform better than the <=50D scenarios).

    Great modeling, information and analysis! I greatly appreciate all of your efforts and willingness to publish results. In attempting to gather information on SPY vs. SPX LEAP returns in taxable vs. non-tax accounts, I luckily came across your work. Thank you!

    Reply

    • spintwig.com
      January 14, 2021 @ 10:07 am

      Thanks for stopping by Doug! Good question; my hypothesis is similar. If you like I can run those backtests for you – can do SPY and/or SPX. Send me a PM using the “Contact” page and I can send a scope of work for your review.

      Glad to hear this information was helpful!

      Reply

  5. Muhammad Khan
    July 18, 2021 @ 6:49 pm

    I’m confused. On the return chart what does 16D 50 mean?

    16 delta bought with the window of selling them every 50 days if they hit 50% profit or just until expiration?

    Reply

    • spintwig.com
      July 18, 2021 @ 7:57 pm

      16D 50 = long 16 delta position closed at 50% increase in value or expiration, whichever occurs first.

      Reply

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