SPX Covered Call Backtest

This tool is designed for backtesting covered calls on the S&P 500 (SPX).

The most useful feature is the Roll Trigger Delta input that is intended to test the "roll forever" retail style of managing short calls that have gone ITM.

We intentionally isolate just the short call P&L to highlight whether or not selling a covered call provides excess returns over just holding the S&P 500.

Important: This tool does not use actual historical options data. It estimates EOD options data using Black Scholes and historical closing prices for SPX and VIX. This tool should not be used for actual trading decisions. Think of this tool as a rough illustration of how realistic it is to expect to be able to roll an ITM short call forever until it expires worthless.

For more information on the methodology and parameters, see the FAQ page.