Options trading statistics, with their receipts

Updated 8 September 2026 · by Theo Chen

Each row below is read from a study's data file when this page is built, never typed in. The arm column matters as much as the figure: a modelled result priced off VIX is not the same claim as one filled on real option chains. No figure here compares those two directly, and that is deliberate: where a study runs both ways, its modelled arm always covers a longer window than its real-fill arm, so any gap between them would mix the pricing difference with the period difference. Read each row against its own Data and Window.

Figure What it measures Data Window Study
6.9%/yr Annualized return, monthly at-the-money Cash-Secured Puts on the S&P 500 (CBOE PUT index) CBOE index 2007-2026 Cash-Secured Puts vs Buy-and-Hold
10.8%/yr Annualized return, dividend-adjusted SPY buy-and-hold, same window underlying 2007-2026 Cash-Secured Puts vs Buy-and-Hold
37% Maximum drawdown, CBOE PUT index (at-the-money Cash-Secured Puts on the S&P 500) CBOE index 2007-2026 Cash-Secured Puts vs Buy-and-Hold
55% Maximum drawdown, dividend-adjusted SPY buy-and-hold, same window underlying 2007-2026 Cash-Secured Puts vs Buy-and-Hold
96% Share of months with a profit, 10-delta SPY Cash-Secured Put, real chain fills, monthly cycles real fills 2010-2023 Are Far-OTM Puts "Safe" Income?
1.4%/yr Annualized return, 10-delta SPY Cash-Secured Put, real chain fills, same window real fills 2010-2023 Are Far-OTM Puts "Safe" Income?
-25.2% Worst single month, 10-delta SPY Cash-Secured Put, real chain fills real fills 2010-2023 Are Far-OTM Puts "Safe" Income?
-29.6% Worst single month, at-the-money (50-delta) SPY Cash-Secured Put, same window - for comparison against the far-OTM 10-delta row above real fills 2010-2023 Are Far-OTM Puts "Safe" Income?
6.8%/yr Annualized return, the Wheel Strategy (sell a Put, take assignment, sell Calls, repeat) on real SPY fills real fills 2010-2023 The Wheel Strategy
12.8%/yr Annualized return, dividend-adjusted SPY buy-and-hold, same window underlying 2010-2023 The Wheel Strategy
28% Maximum drawdown, the Wheel Strategy on real SPY fills real fills 2010-2023 The Wheel Strategy
27% Share of time spent holding shares rather than selling Puts in cash, the Wheel Strategy, real fills real fills 2010-2023 The Wheel Strategy
7.9%/yr Annualized return, the Wheel Strategy priced with a Black-Scholes + VIX model rather than real fills (a longer window than the real-fill rows above) - the study calls this figure an optimistic ceiling, not a floor modelled 2005-2026 The Wheel Strategy
-28% Share price return, excludes distributions, QYLD, since inception fund price 2013-2026 QYLD's Yield vs Total Return
+172% Total return, price plus distributions reinvested, QYLD, since inception fund price 2013-2026 QYLD's Yield vs Total Return
+840% Total return, Nasdaq-100 - the benchmark QYLD writes calls against, same window underlying 2013-2026 QYLD's Yield vs Total Return
5.9%/yr Annualized return, selling a 30-delta Cash-Secured Put on SPY every month, real fills (this study credits idle cash a 2%/yr risk-free rate in every arm; the ladder and defined-risk rows credit it nothing, and the CBOE PUT index invests its collateral in Treasury bills) real fills 2010-2023 Selling Options When IV Is High
4.4%/yr Annualized return, selling the same 30-delta Cash-Secured Put only when IV rank is high (50+), real fills, same risk-free assumption real fills 2010-2023 Selling Options When IV Is High
11% Share of months the high-IV-rank timing rule actually sold a Put, real fills real fills 2010-2023 Selling Options When IV Is High
83.3% Share of 30-day periods SPY closed inside the VIX-implied 1-standard-deviation expected move underlying 2005-2026 Does SPY Stay Inside the Expected Move?
98.6% Share of 30-day periods SPY closed inside the VIX-implied 2-standard-deviation expected move underlying 2005-2026 Does SPY Stay Inside the Expected Move?
7.9-sigma Worst breach of the VIX-implied expected-move band on record, in standard deviations (Feb-Mar 2020) underlying 2005-2026 Does SPY Stay Inside the Expected Move?
3.8%/yr Annualized return, naked 30-delta Cash-Secured Put on SPY, real chain fills real fills 2010-2023 Defined Risk vs Naked
2.6%/yr Annualized return, Bull Put Spread (30-delta short leg, 10-delta long wing), real chain fills real fills 2010-2023 Defined Risk vs Naked
0.1%/yr Annualized return, Iron Condor (30-delta shorts, 10-delta wings), real chain fills real fills 2010-2023 Defined Risk vs Naked
-28% Worst single month, naked Cash-Secured Put, real SPY fills real fills 2010-2023 Defined Risk vs Naked
-6% Worst single month, Bull Put Spread, real SPY fills (a separate sell-off from the naked Put's worst month) real fills 2010-2023 Defined Risk vs Naked
-5% Worst single month, Iron Condor, real SPY fills (a separate sell-off from the naked Put's worst month) real fills 2010-2023 Defined Risk vs Naked
29% Maximum drawdown, naked Cash-Secured Put, real SPY fills real fills 2010-2023 Defined Risk vs Naked
8% Maximum drawdown, Bull Put Spread, real SPY fills real fills 2010-2023 Defined Risk vs Naked
15% Maximum drawdown, Iron Condor, real SPY fills real fills 2010-2023 Defined Risk vs Naked
78% Share of months with a profit, monthly 16-delta SPY Short Strangle, held to expiration real fills 2010-2023 The Short Strangle
0.8%/yr Annualized return on a fully cash-secured base, 16-delta SPY Short Strangle real fills 2010-2023 The Short Strangle
10.7%/yr Annualized SPY price return, dividends excluded, same window - not the same basis as the dividend-adjusted buy-and-hold rows elsewhere on this page underlying 2010-2023 The Short Strangle
42x Average winning month's profit erased by the single worst month, 16-delta SPY Short Strangle (worst month's loss divided by the average winning month) real fills 2010-2023 The Short Strangle
4 of 5 Number of strategies (of 5: Cash-Secured Put, Covered Call, Short Strangle, Bull Put Spread, Iron Condor) where a 50%-profit target left the worst 45-DTE cycle unchanged from holding to expiration, to the dollar real fills 2010-2023 Does Managing Trades Work?
26.8% Share of 45-DTE cycles a 21-DTE time exit beat holding to expiration, 16-delta Short Strangle real fills 2010-2023 Does Managing Trades Work?
55.7% Reduction in worst-45-DTE-cycle loss from a 50%-profit target vs. holding to expiration, 30-delta Cash-Secured Put (mid-price closes) real fills 2010-2023 Does Managing Trades Work?
78.7% Reduction in worst-45-DTE-cycle loss from a 21-DTE time exit vs. holding to expiration, 16-delta Short Strangle (mid-price closes) real fills 2010-2023 Does Managing Trades Work?

How to read the Data column

  • real fills — options priced from end-of-day option chains, the closest thing here to what a trader would actually have been filled at.
  • modelled — options priced by a Black-Scholes/VIX model rather than from a chain. Useful for reaching further back in history; treat it as an optimistic ceiling, because modelled call premium runs richer than the real market pays.
  • CBOE index — CBOE's own published strategy indices. Cash-settled and never assigned, so they are not a simulation of running the trade yourself.
  • fund price — an actual fund's market price and distribution record (daily closes, not published NAV).
  • underlying — a benchmark a strategy is measured against: SPY price or total return, SPY measured against VIX, or the benchmark a covered-call fund is measured against. No options are traded in these rows.

Every study behind this table publishes its full dataset as JSON and CSV at /data/ under CC BY 4.0, so any figure here can be recomputed rather than taken on trust.

The bottom line

All 39 figures here are computed at build time from the 9 study data files this site publishes openly, and every row names the data behind it and the window it covers: 26 real fills, 8 underlying, 2 CBOE index, 2 fund price, 1 modelled. A statistic without its basis is not a statistic.

Educational explainer only — not financial advice. Examples are illustrative and exclude commissions, early assignment and dividends. Confirm the mechanics and size positions to your own risk tolerance.