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.
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- backtest results remain unpublished
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- a master-results spreadsheet
- raw trade logs and data sources
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