I’ve been building a covered call backtesting tool to compare how different covered call rules would have performed historically on individual tickers.
Instead of only looking at today’s option chain, I wanted to see how different combinations of tenor and strike actually behaved over time.
For a given ticker, the tool currently shows:
* Returns by tenor and strike
* Performance vs buy and hold
* Assignment rates
* Historical roll history charts
* Covered call heatmaps
* Live option chain overlay
Option premiums are reconstructed using historical implied volatility surfaces across tenor and moneyness, while more recent periods use recorded market prices.
The question it aims to answer is: would selling covered calls on certain stocks actually have been beneficial, and if so, which calls would have worked best?
For example, in the initial tests I ran across a group of large cap stocks, covered calls often underperformed buy and hold during strong bull markets. But certain combinations on certain names did perform better, especially when the stock was more range bound, when the strike/tenor selection avoided giving up too much upside or the premium well compensated the lost upside.
I’m looking for a small group of people who sell covered calls or analyze option income strategies and would be willing to use the tool and give honest feedback. Mainly: what is missing, what is confusing, and whether any assumptions or results look inconsistent.
Some screenshots of the interface are attached.
DM me if you are interested in access.