Key insights
- An individual investor analyzed 6 years of options data (2020-present) and found that buying calls consistently outperforms buying puts, even during market drawdowns. The analysis suggests a bullish bias in the market during the period studied, which could imply continued strength in US equities if the trend persists. However, past performance is not indicative of future results.
As the title says. I normally invest in boring index funds for retirement, but when I gamble it's always been puts, thinking I'm hedging against my 401k losses. (I'm regarded, I know.)
Anyways, I've been getting back into data analysis for my job and decided to put it to use. I pulled 6 years of minute-by-minute option premium data and ran through it.
**Data range:** 01/06/2020 through last Friday. 328 weeks total.
**Assumptions:**
- Buy in Monday at the first data point of the day (Tuesday if Monday was a holiday)
- Sell at TP, SL, or right before expiry Friday (Thursday if Friday was a holiday)
- Buy/sell prices are mid price
- If price jumped past my TP between minutes, I closed at TP, not the next candle
**Variables tested:**
- OTM levels: 0, 0.5, 1, 2, 3, 4, and 5%
- Take profits: 25, 50, 75, 100, 150, 200, 300, 500%
- Stop losses: 10, 25, 40, 50, 60, 75, 90%
- VIX bucketed into Low/Mid/High on entry date
- Starting balance with a fixed % wagered per week
I looked at heat maps of profit % across TP/SL combinations for each OTM level, equity curves, win/loss distributions, annualized returns, and ran everything through an optimizer comparing Calls, Puts, and Straddles across three strategies: Pure Return (highest total return), Weighted (total return × win rate), and Consistent (average weekly return / std deviation).
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If you followed a single strategy for any meaningful stretch from 01/06/2020 through last Friday, it's not even close.
**Just play calls. Don't deviate.**
I know the last two years have been absolutely wild for calls, so I also isolated 2020-2024 several different ways. Didn't matter. The result was the same every time.
Unless you narrow to a specific 2-3 week window during a major market draw-down, a consistent put strategy **never** outperforms calls.
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**01/06/20 – 02/01/24**
Pure Return:
- Best Call: 5.0% OTM | TP: 500% | SL: 60% | VIX: Low+High → **+446.2%**
- Best Put: 1.0% OTM | TP: 25% | SL: 10% | VIX: High → **-29.6%**
Most Consistent:
- Best Call: 0.5% OTM | TP: 50% | SL: 40% | VIX: High → **+43.3%**
- Best Put: 0.5% OTM | TP: 1000% | SL: 25% | VIX: High → **-38.8%**
**02/01/24 – 04/17/26**
Pure Return:
- Best Call: 5.0% OTM | TP: 1000% | SL: 90% | VIX: Mid → **+1007.4%**
- Best Put: 1.0% OTM | TP: 1000% | SL: 25% | VIX: Low → **+28.7%**
Most Consistent:
- Best Call: 0.5% OTM | TP: 50% | SL: 40% | VIX: Mid → **+70.0%**
- Best Put: 0.0% OTM | TP: 500% | SL: 25% | VIX: Mid → **+27.7%**
**01/06/20 - 04/17/26**
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Given that the last two weeks would have 10x'd the pure return call strategies, I also tried to find the most robust strategy across all VIX buckets so you don't have to track it at all. I weighted for consistency across date ranges and tried to filter out outlier insanity like recent weeks.
**That strategy: Calls, 0.5% OTM, 300% TP, 40% SL, 10% of balance per week.**
For reference, just putting it all into a SPY ETF would have netted you 138% return. ---
Anyways, I'm probably an idiot and there are 1000 things I didn't account for. This was mostly an exercise to dust off my Python skills. But I had fun, and I learned it's bad to be a gay bear.
calls go brrrrrrr