- Backtests
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Enterprise research
Full results with Enterprise. Each study opens with a public summary.
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Can You Trade Options Skew? Risk Reversals, Put Spreads and Skew Calendars Backtested on 53 ETFs and Stocks
We backtested over a million skew trades on 53 ETFs and stocks from 2018 to 2026, selling the rich wing against the cheap one with put spreads, risk reversals, put ratios and broken-wing flies, when skew was steep or flat, with and without a dealer-gamma filter, and answered twelve related questions about skew.
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Which Skew Trades Make Money? 36,878 Option Strategies on SPY, QQQ and IWM, with GEX, VRP and Skew Filters
Is trading options skew profitable, and which trade captures it best? We tested 960,351 trades on SPY, QQQ and IWM from 2018 to 2026, across put spreads, ratios, flies, risk reversals, credit spreads and short options, with GEX, VRP and skew entry filters and four exits.
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Strategy Portfolio Builder: The Top 20 Option-Selling Strategies, Picked Walk-Forward
Each year from 2020 we picked the 20 best option-selling strategies from millions of backtests, using only earlier data, and tracked them out of sample. Combine any of the 299 candidates into a portfolio and inspect its daily P&L.
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Do Better Volatility Forecasts Help Option Sellers? Six Models on 5-Minute Data Tested
We built six volatility models on 5-minute data, including HAR-IV, HARQ, Realized GARCH, HEAVY and boosted trees, and tested them on 11 symbols from 2018 to 2026. The test asks whether they forecast the next month's volatility better than implied volatility, and whether they improve option selling.
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Option Book Builder: 830 Short-Premium Strategies With Daily P&L
830 option-selling strategies on 11 symbols with daily mark-to-market P&L from 2018 to 2026. Combine any set into a book and inspect Sharpe, drawdown and yearly results.
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.