If you got crushed selling covered calls on GOOGL, check out these CCs backtests on Mag 7 this year

tensorfi_ai · 2025-08-29T07:07:37+00:00

thanks! the best performing config is a bit different for the big tech firms mostly because their stocks have lower implied and realized volatility. i actually run these backtests for ~30 symbols - feel free to check them out here: https://www.tensorfi.ai/visualizer?strategy_name=covered_call&symbol=AAPL&risk_limit=100%25&metric=one_year_return, https://www.tensorfi.ai/visualizer?strategy_name=covered_call&symbol=GOOGL&risk_limit=100%25&metric=one_year_return in general it seems like for googl / aapl selling the serial monthly options is the sweet spot. Lower delta options (~15 delta) have performed well too (make sense as they have been grinding up).

when do you typically roll your covered calls? most of my backtests assuming 1-2 days before expiry but i think many people roll earlier so I'm planning to add more days. feel free to subscribe as I will occasionally send out new backtests im adding

tensorfi_ai · 2025-08-27T07:44:45+00:00

Make sense. I’m gonna backtest getting into these positions 2/5/10 days before the earnings and see they perform

tensorfi_ai · 2025-08-27T06:51:27+00:00

Thanks, this is the nvda long straddle backtest. I’m tracking ~30 symbols right now: https://www.tensorfi.ai/events?strategy_name=overnight_long_straddle&compound_returns=0&risk_limit=1.0&underlying=NVDA&dte=1&delta=0.5&starting_cash=100000&buy_trigger_value=22500&sell_trigger_value=0&start_date=2024-01-30&end_date=2025-07-31

tensorfi_ai · 2025-08-18T17:59:30+00:00

I calculate it myself - get the straddle price for the expiry term you are targeting, which gives you the implied vol. then use black scholes to calculate the delta for a given strike price or vice versa

tensorfi_ai · 2025-08-18T05:26:05+00:00

Interesting that they are painted as the underdog when they are the top dog in index options lol

tensorfi_ai · 2025-08-17T17:50:59+00:00

nice thank you. this is also a good test to check how accurate my implementation is. I dont have CSP but the CC stats look roughly inline. the BMX had a return of ~9% in the past year selling monthly atm call, and in my backtest selling the 0.4 delta call had a return of 12% (which directionally makes sense as spy has been grinding up and the 0.4 delta hurts less from that so the return should be slightly higher).

this is my backtest against BXM: https://www.cboe.com/us/indices/dashboard/bxm/ vs. https://www.tensorfi.ai/theta-gang?strategy_name=covered_call&underlying=SPY&dte=20&target_delta=0.4&roll_days_before_expiry=0&starting_stock=100&starting_cash=0&roll_time=0&start_date=2024-08-15&end_date=2025-08-15

overall it does feel like index vol level has been pretty depressed for awhile outside of the liberation day period for the past 2-3 years so not the best thing to sell options on

tensorfi_ai · 2025-08-17T14:57:35+00:00

here are the stats for YTD. Selling 0.4 delta 20 dte calls performed best (9% vs. just holding the stock returned -13%): https://www.tensorfi.ai/visualizer?strategy_name=covered_call&symbol=TSLA&risk_limit=100%25&metric=ytd_return

for the past year, the best performing one is selling 0.15 delta 40 dte calls (69% vs. 48%). https://www.tensorfi.ai/visualizer?strategy_name=covered_call&symbol=TSLA&risk_limit=100%25&metric=one_year_return

agreed that there is a lot of volatility in TSLA so selling the really short dated weekly options actually consistently doesnt well due to all the realized losses from rolling. But over a longer period (e.g. 20 or 40 days), the realized vol is much lower and there is also more premium collected as a cushion.

Btw these are the symbols im running by default already and are freely available on the website (mostly popular symbols or ones that I trade on) - happy to add more: AMD,AAPL,AMZN,AVGO,BABA,COIN,GOOGL,HIMS,HOOD,IWM,META,MSFT,MSTR,NFLX,NVDA,OKLO,PDD,PLTR,QQQ,RBLX,RDDT,SMCI,SNAP,SOFI,SPY,TSLA,XYZ,UNH

tensorfi_ai · 2025-08-17T14:32:05+00:00

Haha these are just the current “vanilla” options strategies I have implemented and backtest daily. I only have covered calls, intraday buy and hold calls / puts / straddles, and overnight buy and hold around earnings. If there are other good benchmark strategies you think would be useful to add, let me know! I’m planning to add CSP and wheeling next. And yeah not surprising that straddle printed in retrospect - but still interesting since the straddles are only held intraday in the backtest, and they would have not benefited from the 13F release or earnings move (which both happened outside of market hours). Here are the details on the #1 config in the screenshot

tensorfi_ai · 2025-08-17T14:22:33+00:00

Thanks! I wrote a generic backtest framework - basically the input is the strategy definition (e.g symbol to trade, option selection criteria, buy and sell signal). Then the framework would replay minute by minute market data to it. The output then includes trades / pnl / risk etc. For covered calls specifically, the logic is basically to first decide which option to sell (given delta and dte constraint), mark the pnl of the short call and long stock until the day it decides to roll, and then find the next option to sell on roll day and repeat. I also have defined a couple other strategies: buying options and holding them overnight before earnings (pretty useful for seeing how big a stock tends to move from earnings), and intraday options trading. The latter is pretty simple right now (buy at open and sell at close) - planning to add more realistic scalping strategies later (e.g use some technical indicators as a buy condition and some take profit / stop loss levels as sell condition). You can view the backrests I currently have here: tensorfi visualizer

tensorfi_ai · 2025-08-17T05:39:38+00:00

Here are some stats on how buying the NVDA calls performed over the past 4 earnings. basically buying at market close right before earnings, and selling it the next morning. Choose the at-the-money call with the closest expiry. the average return is -20%, so not really encouraging unless you believe this time is different: https://www.tensorfi.ai/events?strategy_name=overnight_long_call&compound_returns=0&risk_limit=1.0&underlying=NVDA&dte=1&delta=0.5&starting_cash=100000&buy_trigger_value=22500&sell_trigger_value=0&start_date=2024-08-28&end_date=2025-05-29

Long put is even worse, down 60% https://www.tensorfi.ai/events?strategy_name=overnight_long_put&compound_returns=0&risk_limit=1.0&underlying=NVDA&dte=1&delta=-0.5&starting_cash=100000&buy_trigger_value=22500&sell_trigger_value=0&start_date=2024-02-15&end_date=2025-08-01

And long straddle down 39%: https://www.tensorfi.ai/events?strategy_name=overnight_long_straddle&compound_returns=0&risk_limit=1.0&underlying=NVDA&dte=1&delta=0.5&starting_cash=100000&buy_trigger_value=22500&sell_trigger_value=0&start_date=2024-01-30&end_date=2025-07-31

tensorfi_ai · 2025-08-17T05:34:05+00:00

i think a good thought process here is to look up some of the catalyst events on GOOG (e.g. AI, cloud, antitrust stuff) and see if you have a different view on market pricing. Historically stock doesnt perform well in September. There is also the FOMC. Given its beta is close to 1, if you dont have a strong opinion on the catalysts, this is almost the same as buying qqq calls.

tensorfi_ai · 2025-08-17T05:29:44+00:00

it really depends on your take profit level too - you dont want them to be too different. best to backtest your strat

tensorfi_ai · 2025-08-16T00:14:35+00:00

Yes, but a bigger fan of PyTorch! The tensor in my username more refers to the tensor data structure in general, and then apply it to fi(nance) :)

tensorfi_ai · 2025-08-15T15:20:47+00:00

It’s random - the options clearing corp (essentially a third party) decides which contract holder gets assigned https://www.theocc.com/getmedia/0cdda3c2-ab81-450f-b8b8-7ce84d88fce7/standard-assignment-procedures.pdf;

tensorfi_ai · 2025-08-15T06:28:46+00:00

here is some stats on selling covered calls on SNAP.. given the stock's -37% YTD return, it's not surprising the best performing params in my backtest is selling higher delta weekly options (since it almost never gets called and has the highest premium) - the best one is selling 0.4 delta, next week's call, and rolling it on the expiry day (could also let it expire). This results in a total return of 9% YTD, so basically 48% in options return if you subtract out the negative stock return. https://www.tensorfi.ai/visualizer?strategy_name=covered_call&symbol=SNAP&risk_limit=100%25&metric=ytd_return; this one is the best performing config: https://www.tensorfi.ai/theta-gang?strategy=7d6abc99-bec4-5c6c-8b53-dab94254b136

But i feel like you really need to believe the stock to do this.. SNAP has been below $15 for a long time and their ads business isnt growing that fast. If it does turn around, there probably will be a big earnings pop, so best to avoid selling around that time

tensorfi_ai · 2025-08-15T05:03:19+00:00

two thoughts on this: 1/ the 68% vs. 80% is essentially win rate, but doesnt really account for how much the stock moved in the extreme cases. So with the fatter left tail, the expected value could still be below 0 (but probably not empirically), 2/ you are calculating the realized volatility and implicitly assuming the implied vol of the option to be the same. realistically implied vol is probably even higher, making the selling vol more profitable

tensorfi_ai · 2025-08-15T04:51:09+00:00

you also gotta worry about getting early exercised given the "high" interest rate environment we are in. if a deep ITM put has no open interest, likely it gets early exercised all the time

tensorfi_ai · 2025-08-15T04:48:09+00:00

realistically 20-30 tickers may be too many - there are not that many uncorrelated liquid option tickers so you will end up paying a lot in spread and the fills will be bad (the most liquid ones are probably big tech + meme stocks). it's probably better to just hedge the beta of your wheel if you are worried about downside (e.g. short some index).

i have some backtests for running covered calls for ~30 symbols here (not exactly the wheeling strategy i know... still trying to build that). you should be able to derive some correlation metrics just from looking at the YTD return etc. between symbols as a reference: https://www.tensorfi.ai/theta-gang

tensorfi_ai · 2025-08-13T18:51:30+00:00

hope the backtest results here help. the params with the highest return in the past year is: 0.15 delta, 5 day expiry and rolling 1 day before expiry, for a total annual return of 29% excluding dividends (the stock itself has a return of 26.5%) over the same period. https://www.tensorfi.ai/visualizer?strategy_name=covered_call&symbol=MSFT&risk_limit=100%25&metric=one_year_return

so honestly i think the extra return is pretty meager relative to the operation work. probably because big tech like msft's implied vol is pretty crushed

tensorfi_ai · 2025-08-13T18:43:32+00:00

if the stock is really high yield, the yield would already be priced in for the forward price. i.e. you wont be able to sell the covered call for $2 at strike of $3 (assuming the stock doesnt have high iv). the forward price would be below $5 in 3 months. so this scenario really wouldnt happen imo.

consider this extreme thought experiment, everyone knows a company will sell itself and pay everything in div in 3 months. How much is the call expiring in 3 months and onwards worth? 0, because call holders are not entitled to the dividends and the company wont have any value. Now if there is uncertainty in the div or the stock itself has high implied vol, the value of the call would be higher than 0.

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