Covered Call Backtest: Finding The Best Maturity, Strike, IV, And Earnings Methods

[ironchef]

My comment was in responce to Chef's "In a run away bull market, it is better to just buy calls"

From my limited testing with Orats,buying calls on the SPY was mediocre,and I was wondering if Chef had run a simulation that combined the results of 30 large cap stocks as you did or a mix of large cap/small cap

It was just a statement based on logic. Try this after the fact test: find a stretch of prices when there is a run away run-up and see what buying calls will get you - big profit.

Of course you have to know when there is a "run away bull market", otherwise all the calls that ended up worthless will eat up all your profits. There is no free lunch in options.

It will take me months to calculate one stock and it is beyond my capability to run a combined 30 large cap stocks. You won't get any answer from me.

 

[Matt_ORATS]

In the money by how much and for how long? I'm just curious if you have to factor in a scenario where the stock get called away on let's say Friday and you need to re-buy it on Monday. I guess that would be too rare to worry about.

Not rare, we just assume that we roll the call to the next trade.

 

[ironchef]

It is a lot of work to do this research and it is nice to hear that it is helping.
Matt

If it is a lot of work for professional organization like yours, just imagine an amateur retail trying to do this on his own!

 

[ironchef]

If it makes you feel any better,I couldnt do what you do in 10 lifetimes..

I wouldn't have started if I knew it was this hard. After I started I was too stubborn to quit.