Whether options-market readings make selling options pay better, tested one rule at a time on the same trades. Every rule reads only data a trader could have seen before the entry; every result is valued daily at the midpoint, with fills at mid plus $1 per contract.
357,937 backtests, 12,255,534 simulated option trades on SPY, QQQ and IWM from January 2018 to October 2026: short puts, calls, strangles, put and call credit spreads and iron condors, 7 deltas from 0.05 to 0.40, maturities from 0DTE to 1 month.
43 entry rules in seven groups: VRP richness, VIX and warning context, dealer gamma (GEX), the gamma flip, GEX by expiry, wing, tenor and strike choice, and flow.
21 exits: take profit, loss stops, time and delta stops, and exits triggered by a GEX or VRP reading.
Checks: daily Sharpe ratios, eight tests fixed before the run, a false-discovery correction, and an out-of-sample run on eight symbols no earlier study had touched (GLD, TLT, XLF, XLK, EEM, AAPL, NVDA, TSLA).
Headline findings
16 of 16 dealer-gamma entry rules raised the average Sharpe ratio of the same trades; 6 of 15 VRP rules did.
Of the 3,430 designs that lost money selling every day, 1,717 made money when they sold only after a run of positive GEX.
2 of 8 pre-registered tests clear a 10% false-discovery bar on SPY, QQQ and IWM. Out-of-sample check: still running.
Inside for Alpha members
Every finding with examples in both directions, including the 0.16-delta, 1-month SPY put with and without VRP and GEX gates.
The VRP and GEX two-by-two comparison and the eight pre-registered tests with confidence ranges.
The exact signals: every entry rule and exit with its thresholds, lookbacks, timing and the data fields it reads.
A sortable scorecard of every test, by symbol set, family and structure.
Review files with each backtest's monthly P&L, monthly sum of squared daily P&L and sessions per month: the inputs the paired tests use, so the Sharpe differences and p-values can be recomputed.
An explorer over all 357,937 backtests: pick any symbol, rule, exit, structure, delta and maturity to see Sharpe at three fill levels, drawdown, Kelly sizing and a before-and-after chart.
In this study, 16 of 16 GEX-based entry rules raised the average daily Sharpe ratio of the same option-selling trades on SPY, QQQ and IWM from January 2018 to October 2026, and 16 lowered the median drawdown. Most of the gain came from skipping days on strategies that were losing money; on strategies that already worked, the rules traded less, so total profit was lower.
Does the volatility risk premium (VRP) help time option sales?
6 of 15 VRP-based entry rules raised the average Sharpe ratio of the same trades. The best VRP rule, based on the VIX term structure, changed it by +0.06, so VRP richness on its own was a weak timing signal here.
Do exits based on GEX or VRP readings help?
Of 10 exits triggered by a GEX or VRP reading, 1 raised the Sharpe ratio against holding to expiry and 10 lowered the median drawdown, mostly by closing trades that would have recovered.
How was the backtest run?
357,937 backtests with 12,255,534 simulated trades: short puts, calls, strangles, credit spreads and iron condors, 7 deltas from 0.05 to 0.40, maturities from 0DTE to 1 month. Entries read only data available before the trade; open positions are valued daily at the midpoint, with fills at mid plus $1 per contract. Each rule is switched on and off on the same trades and tested with a block bootstrap.
Are the results confirmed?
2 of 8 pre-registered tests clear a 10% false-discovery bar on SPY, QQQ and IWM. A result counts as confirmed only if it also holds on eight symbols no earlier study touched (GLD, TLT, XLF, XLK, EEM, AAPL, NVDA, TSLA); that run is still in progress.
Alpha members
This section is for Alpha members
Alpha members get every test, the rule-by-rule scorecard, the untouched-symbol check and the interactive explorer.
