As the title says. I normally invest in boring index funds for retirement, but when I gamble it's always been puts, thinking I'm hedging against my 401k losses. (I'm regarded, I know.)
Anyways, I've been getting back into data analysis for my job and decided to put it to use. I pulled 6 years of minute-by-minute option premium data and ran through it.
**Data range:** 01/06/2020 through last Friday. 328 weeks total.
**Assumptions:**
– Buy in Monday at the first data point of the day (Tuesday if Monday was a holiday)
– Sell at TP, SL, or right before expiry Friday (Thursday if Friday was a holiday)
– Buy/sell prices are mid price
– If price jumped past my TP between minutes, I closed at TP, not the next candle
**Variables tested:**
– OTM levels: 0, 0.5, 1, 2, 3, 4, and 5%
– Take profits: 25, 50, 75, 100, 150, 200, 300, 500%
– Stop losses: 10, 25, 40, 50, 60, 75, 90%
– VIX bucketed into Low/Mid/High on entry date
– Starting balance with a fixed % wagered per week
I looked at heat maps of profit % across TP/SL combinations for each OTM level, equity curves, win/loss distributions, annualized returns, and ran everything through an optimizer comparing Calls, Puts, and Straddles across three strategies: Pure Return (highest total return), Weighted (total return × win rate), and Consistent (average weekly return / std deviation).
—
If you followed a single strategy for any meaningful stretch from 01/06/2020 through last Friday, it's not even close.
**Just play calls. Don't deviate.**
I know the last two years have been absolutely wild for calls, so I also isolated 2020-2024 several different ways. Didn't matter. The result was the same every time.
Unless you narrow to a specific 2-3 week window during a major market draw-down, a consistent put strategy **never** outperforms calls.
—
**01/06/20 – 02/01/24**
Pure Return:
– Best Call: 5.0% OTM | TP: 500% | SL: 60% | VIX: Low+High → **+446.2%**
– Best Put: 1.0% OTM | TP: 25% | SL: 10% | VIX: High → **-29.6%**
Most Consistent:
– Best Call: 0.5% OTM | TP: 50% | SL: 40% | VIX: High → **+43.3%**
– Best Put: 0.5% OTM | TP: 1000% | SL: 25% | VIX: High → **-38.8%**
**02/01/24 – 04/17/26**
Pure Return:
– Best Call: 5.0% OTM | TP: 1000% | SL: 90% | VIX: Mid → **+1007.4%**
– Best Put: 1.0% OTM | TP: 1000% | SL: 25% | VIX: Low → **+28.7%**
Most Consistent:
– Best Call: 0.5% OTM | TP: 50% | SL: 40% | VIX: Mid → **+70.0%**
– Best Put: 0.0% OTM | TP: 500% | SL: 25% | VIX: Mid → **+27.7%**
**01/06/20 – 04/17/26**
—
Given that the last two weeks would have 10x'd the pure return call strategies, I also tried to find the most robust strategy across all VIX buckets so you don't have to track it at all. I weighted for consistency across date ranges and tried to filter out outlier insanity like recent weeks.
**That strategy: Calls, 0.5% OTM, 300% TP, 40% SL, 10% of balance per week.**
For reference, just putting it all into a SPY ETF would have netted you 138% return.
—
Anyways, I'm probably an idiot and there are 1000 things I didn't account for. This was mostly an exercise to dust off my Python skills. But I had fun, and I learned it's bad to be a gay bear.
calls go brrrrrrr
I've always been kind of a bear. Then I got bored and analyzed 6 years of option data…
byu/MaxLo85 inwallstreetbets
Posted by MaxLo85
17 Comments
>calls go brrrrrrr
Thanks. This is all I read and all I need to know.
Sorry when i read title and didnt see its from a wsb the initial 5seconds, i thought you meant you were an actual ghey bear lol
buy and sell at mid price is seriously skewing the data….
You’re still a gay ber
Just regular fries for me sir
where are you getting historic minute-by-minute option pricing?
Pretty interesting, thanks for putting this together! Going to backtest it as well and play around with dropping the best/worst 5 days in any period
Just put the fries gently in the bag bro and don’t bother with showing up to the party at the dumpster because you’re a a buzz kill.
Very interesting data. Would love to see more stuff like that here. Thanks!
For the “Pure Return” category, you are selling at 1000% profit. It seems like this could cause some major fluctuations and bad stretches while you wait for big hits. I think that would be psychologically difficult for small individual investors, if nothing else.
Bro just tell me what to do step by step starting monday and ending friday. thank you.
So basically you accidentally built a money printer and came to r/wsb instead of a hedge fund 😂
For real though, did anything actually survive slippage and spreads, or did the “perfect” combos turn to trash once you factored in realistic fills and commissions?
Commenting to be able to find this again later when I have time to digest
Gonna go all in thanks pal
What the hell kind of bear buys puts all the time only?
There’s limited times to buy puts and 100% completely screwed by your inputs.
Yes, calls will dominate. The market typically is slower up for longer periods of time and faster down.
Except for this year, where the market wants a a bigger correction than we had but it’s fighting it so hard – it’s the opposite.
Nice
https://preview.redd.it/c942riitliwg1.jpeg?width=978&format=pjpg&auto=webp&s=0e726ab4f5f9c2934ca3e374a3c52907598228a9