January 10, 2020

TSLA Short Put 45 DTE Cash-Secured Options Backtest

spintwig.com Options 45 DTE, backtest, Cash Secured, Early Management, Hold Till Expiration, Short Put, TSLA 0

2 min read

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!

Summary

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.

Methodology

Strategy Details

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

Assumptions

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

Mechanics

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

Results

Win Rate

Managing trades early lowered the win rate for all strategies.

The riskier the trade the lower the win rate.

Annual Volatility

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Worst Monthly Return

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Average P/L Per Day

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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

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Sharpe Ratio

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Profit Spent on Commission

34.22% – the blended average profit spent on commission across all option strategies.

Total P/L

TSLA Short Put 45 DTE CS total profit and loss

Holding till expiration yielded higher total P&L than managing early.

Overall

All of the option strategies were profitable.

Discussion

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.