In this post we’ll take a look at the backtest results of opening one TSLA short put 45 DTE cash-secured position each trading day from July 8 2010 through December 27 2019 and see if there are any discernible trends. We’ll also explore the profitable strategies to see if any outperform buy-and-hold TSLA.
There are 10 backtests in this study evaluating over 23,500 TSLA short put 45 DTE cash-secured trades.
Let’s dive in!
Systematically opening cash-secured short put positions on TSLA was profitable for all option strategies.
All cash-secured TSLA short put strategies underperformed buy-and-hold TSLA on a total return basis.
- Symbol: TSLA
- Strategy: Short Put
- Days Till Expiration: 45 DTE +/- 17, closest to 45
- Start Date: 2010-07-08
- End Date: 2019-12-27
- Positions opened per trade: 1
- Entry Days: daily
- Entry Signal: N/A
- Timing: 3:46pm ET
- Strike Selection
- 5 delta +/- 4.5 delta, closest to 5
- 10 delta +/- 5 delta, closest to 10
- 16 delta +/- 6 delta, closest to 16
- 30 delta +/- 8 delta, closest to 30
- 50 delta +/- 8 delta, closest to 50
- Trade Entry
- 5D short put
- 10D short put
- 16D short put
- 30D short put
- 50D short put
- Trade Exit
- 50% max profit or 21 DTE, whichever occurs first
- Hold till expiration
- Max Margin Utilization Target (short option strats only): 20% | 1x leverage
- Max Drawdown Target: 99% | account value shall not go negative
- Margin requirements are always satisfied
- Margin calls never occur
- Margin requirement for short CALL and PUT positions is 20% of notional
- Margin requirement for short STRADDLE and STRANGLE positions is 20% of the larger strike
- Margin requirement for short VERTICAL SPREAD positions is the difference between the strikes
- Early assignment never occurs
- Prices are in USD
- Prices are nominal (not adjusted for inflation)
- All statistics are pre-tax, where applicable
- Margin collateral is held as cash and earns no interest
- Assignment P/L is calculated by closing the ITM position at 3:46pm ET the day of expiration / position exit
- Commission to open, close early, or expire ITM is 1.00 USD per contract
- Commission to expire worthless is 0.00 USD per contract
- Commission to open or close non-option positions, if applicable, is 0.00 USD
- Slippage is calculated according to the slippage table
- For comprehensive details, visit the methodology page
Managing trades early lowered the win rate for all strategies.
The riskier the trade the lower the win rate.
Worst Monthly Return
Average P/L Per Day
Average Trade Duration
Managing trades at 50% max profit or 21 DTE yielded trade durations 33% shorter than hold-till-expiration for the 5D, 10D and 16D strategies.
Compound Annual Growth Rate
Profit Spent on Commission
34.22% – the blended average profit spent on commission across all option strategies.
Holding till expiration yielded higher total P&L than managing early.
All of the option strategies were profitable.
TSLA option strategies and buy/hold the TSLA where in the same ball park through March 2013. However, once April 2013 rolled around TSLA experienced a significant price appreciation and left the option strategies in the dust. This is similar to how AAPL and DIS performed.
Speaking of AAPL and DIS, be on the lookout for 0 DTE backtests for these two tickers. The hypothesis is that “turning over” capital faster allows the option strategy to capture more of the price movement of the underlying.
Private, Custom Backtests
Visit the trade log store and download the data used in this and other backtests.
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