- Backtests
- Alpha research
Alpha research
Full results with the Alpha plan. Each study opens with a public summary.
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Do Options Skew Signals Work? Skew Scores Backtested on 53 ETFs and Stocks, 2018 to 2026
We measured 30-day options skew every day from 2018 to 2026 on 53 ETFs and stocks, built a skew score, and tested whether skew predicts returns, volatility and drawdowns, and whether skew rules improve option selling.
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Does Dealer Gamma Work on Single Stocks? 45 Stocks vs SPY, QQQ and IWM
We tested dealer gamma (GEX) on 45 single stocks against SPY, QQQ and IWM from 2018 to 2026: how often it is positive, whether its sign says anything about the next day, and how it behaves in selloffs.
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What Predicted the COVID Crash? We Tested the Signals Option Sellers Use
Nothing predicted the February 2020 crash. We replayed dealer gamma, the volatility risk premium, the VIX term structure and three volatility models on 11 symbols. Two signals failed on opposite halves of the fall, and a rule that needed both sold nothing until the low.
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We Tested FlashAlpha Endpoints and Signals: 357,937 Backtests
357,937 option-selling backtests on SPY, QQQ and IWM, 2018-2026: 16 of 16 dealer-gamma rules raised Sharpe; 6 of 15 VRP rules did.
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When Not to Sell Options: Negative-Gamma Days Hold Most of the Losses
SPY and QQQ strangles, 2022-2026: negative-gamma days held 72% to 74% of SPY losses. Positive-gamma days only lifted QQQ 0DTE Sharpe from +0.35 to +1.38.
Run your own backtests
The studies on this page use FlashAlpha historical options data. The Historical API gives you the same data to test your own question.