Long Calls vs Short Puts on SPY: 21-Year Backtest
The Short Answer I tested two strategies on SPY for 21 years using real options data: buying 50-delta calls at 45 DTE, and selling 17-delta puts at 45 DTE. Same entry timing. Same exit targets (25%, 50%, hold to expiry). 212 trades each. Long Calls (50Δ, hold): 49.5% win rate, $122 average per contract, 20.6% […]
