What Fills Do to an Options Backtest: Mid, Halfway and Bid/Ask on 1.35 Million Trades, 2018 to 2026

Most option backtests assume a fill at the midpoint. We repriced 1.35 million short-premium trades on 11 ETFs and stocks, 2018 to 2026, at five fill levels from mid to bid/ask. On SPY, QQQ and IWM, 62% of 360 designs made money at mid and 44% at halfway fills (a quarter of the quoted spread away from mid, plus one cent per share). The order of the designs barely changed (rank correlation 0.93); whether they made money did. We also tested three fill habits, with the plan written before the results. None of the three held up under a like-for-like comparison.

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