https://preview.redd.it/cielvjazdvph1.png?width=924&format=png&auto=webp&s=cb34d8a641603dca57ec6bdad6cfa00f14a7cd91
I tried to contain the research to one day, so the dataset is limited. It is quite revealing though how poorly some VRP strategies performed. They won often, then a few large losses took back much of what they made.
|\#|Strategy|Trades|Mean per trade|Win rate|Sharpe|Max drawdown|
|:-|:-|:-|:-|:-|:-|:-|
|1|Covered call|186|\+0.76%|69.9%|0.77|\-24.13%|
|2|Protective put|188|\+0.70%|61.7%|0.64|\-24.68%|
|3|Collar|184|\+0.43%|63.6%|0.64|\-17.82%|
|4|Bullish risk reversal|208|\+0.42%|61.5%|0.83|\-14.58%|
|5|Long call|212|\+0.36%|53.8%|0.62|\-19.17%|
|6|Vol-carry filtered put spread|73|\+0.17%|72.6%|1.18|\-1.21%|
|7|Bull call debit spread|185|\+0.12%|59.5%|0.39|\-9.91%|
|8|Call diagonal|176|\+0.10%|63.1%|0.24|\-9.42%|
|9|Cash-secured put|212|\+0.09%|74.1%|0.06|\-14.72%|
|10|Put ratio spread|194|\+0.03%|46.9%|0.01|\-2.09%|
|11|Bull put credit spread|206|\-0.01%|70.4%|\-0.07|\-6.20%|
|12|Tail-pricing conditioned put spread|162|\-0.02%|71.6%|\-0.05|\-6.20%|
|13|Skew-conditioned vertical|170|\-0.02%|71.2%|\-0.02|\-6.20%|
|14|Long straddle|213|\-0.03%|43.2%|0.11|\-17.62%|
|15|Short strangle|184|\-0.04%|63.0%|\-0.32|\-10.34%|
|16|Call backspread|167|\-0.06%|38.3%|\-0.11|\-6.97%|
|17|Long strangle|208|\-0.09%|34.6%|\-0.13|\-12.32%|
|18|Reverse iron condor|178|\-0.09%|38.8%|\-0.26|\-7.98%|
|19|Reverse iron butterfly|179|\-0.09%|41.9%|\-0.10|\-12.80%|
|20|Iron condor|178|\-0.11%|53.9%|\-0.81|\-11.60%|
|21|Vol-carry filtered iron condor|67|\-0.14%|47.8%|\-0.38|\-3.53%|
|22|Call ratio spread|167|\-0.18%|47.9%|\-1.12|\-16.62%|
|23|Put calendar|158|\-0.18%|37.3%|\-1.48|\-12.27%|
|24|Call calendar|143|\-0.18%|31.5%|\-2.25|\-13.53%|
|25|Put broken-wing butterfly|159|\-0.21%|43.4%|\-1.27|\-17.50%|
|26|Bear put debit spread|212|\-0.22%|34.0%|\-0.68|\-17.70%|
|27|Double diagonal|174|\-0.22%|25.3%|\-2.71|\-15.31%|
|28|Bear call credit spread|180|\-0.22%|43.3%|\-1.13|\-17.02%|
|29|Put diagonal|200|\-0.25%|38.0%|\-0.82|\-19.07%|
|30|Iron butterfly|179|\-0.27%|43.0%|\-1.11|\-25.36%|
|31|Put backspread|194|\-0.27%|28.9%|\-2.03|\-17.97%|
|32|Short straddle|189|\-0.29%|50.3%|\-0.76|\-32.56%|
|33|Long put|214|\-0.31%|29.4%|\-0.29|\-34.76%|
|34|Put butterfly|167|\-0.33%|10.8%|\-4.03|\-24.86%|
|35|Double calendar|142|\-0.36%|31.7%|\-1.88|\-26.09%|
|36|Call condor|157|\-0.38%|8.9%|\-4.16|\-26.57%|
|37|Call butterfly|140|\-0.38%|16.4%|\-3.46|\-25.83%|
|38|Put condor|179|\-0.39%|5.0%|\-2.83|\-28.20%|
|39|Call broken-wing butterfly|131|\-0.51%|38.9%|\-2.02|\-33.41%|
|40|Poor man's covered call|186|\-0.61%|48.9%|\-1.05|\-48.62%|
|41|Bearish risk reversal|184|\-0.61%|35.3%|\-1.03|\-46.86%|
|42|Term-structure conditioned calendar|4|\-0.75%|0.0%|n/a|\-1.00%|
**Setup.** SPY, QQQ and IWM, January 2020 to December 2025. Pick contracts from the first trading day's end-of-day chain each month, enter at the next close, exit ten sessions later. Options about 35 days from expiry, strikes by delta (50/25/10), one contract per leg, 100 shares for the overlays. No stops, rolls or hedges. End-of-day quotes, no early assignment, no margin model.
Few other findings
* The cash-secured put won 74.1% of trades, but its worst trade lost about 20% of the underlying reference value.
* The bull put credit spread won 70.4% of trades and still averaged slightly below zero after costs.
* Trading costs mattered a lot. The iron condor was roughly flat at midpoint and negative once bid/ask spreads and fees were included.
* Filtering the put spread for IV at least 1.2 times realized volatility improved its sample average from -0.9 to +16.5 bps, but on only 73 trades. That looks worth investigating further.
* The top monthly results were mostly bullish positions. Whether the options added anything beyond owning the ETF is the next question.methodology has plenty of assumptions and your mileage will vary. I aimed to pinpoint good research candidates, and the results are in the picture. These are starting points for further testing. [source](https://flashalpha.com/articles/options-strategies-ranked-light-backtest-spy-qqq-iwm#42-monthly-etf-strategies)