Covered Calls Modeler
HYBRIDSource: Black-Scholes 60-day HV (model) + CBOE live mid (validation)Backfill: short n=984 · long n=84Liquidity: FPrices: 0 min agoSpread: 29.1%Confidence Moderate
Risk disclosure — Covered call risk
Covered call risk
- Upside is capped above the strike.
- Downside stock risk remains, reduced only by the premium received.
- Shares may be assigned at any time, especially when the call is ITM.
- Early assignment risk rises near ex-dividend dates.
- A high premium often reflects high downside or elevated event risk.
Universal options-income risk
- Premium income does not eliminate stock risk.
- Annualized short-DTE returns can be unstable — extrapolation across cycles is unreliable.
- Modeled premiums may not match live executable quotes.
- Bid/ask spreads and slippage can materially reduce realised returns.
- Taxes, commissions, and assignment fees are not modelled unless explicitly enabled.
- Event risk around earnings and dividends can change outcomes meaningfully.
- Backtests are historical simulations, not forecasts.
Live option chain — SPY
Waiting…
Backfill-driven covered-call projections per ticker. Walks 2 years of daily bars, simulates a covered call sale at every entry-eligible index, prices the premium via Black-Scholes with trailing 60-day historical vol, and aggregates the realized outcome at expiration into success rate + annualized return + premium yield.
ⓘ Premium is priced from Black-Scholes using trailing 60-day historical vol. Real-world implied vol typically prices 1.2–1.5× HV (vol-risk premium + skew), so projected yield is a conservative floor. Term projections with fewer than 30 simulated trades are flagged LOW sample.
Short term — DTE
Short term — Strike OTM
Long term — DTE
Long term — Strike OTM
Strike picker mode:Strike chosen as a fixed % away from spot. Easier to read but biases by ticker volatility.
Currently: short 21 bars / 5% OTM · long 252 bars / 10% OTM
SPY
spot $745.64 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 74.4% strict 33% | +23.1% | +0.69% | +2.42% | -4.3% … +6.9% | 21% / 79% deep-ITM 11% | |
| Long (252D / 10%) | 7LOW | 100.0% | +14.3% | +4.31% | +13.39% | +12.7% … +14.0% | 100% / 0% deep-ITM 100% |
QQQ
spot $717.54 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 75.6% strict 60% | +29.2% | +1.15% | +2.86% | -5.0% … +8.1% | 33% / 67% deep-ITM 20% | |
| Long (252D / 10%) | 7LOW | 100.0% | +16.5% | +6.52% | +15.96% | +14.4% … +16.8% | 100% / 0% deep-ITM 100% |
AAPL
spot $308.82 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 73.2% | +30.8% | +1.87% | +3.39% | -6.9% … +6.9% | 41% / 59% deep-ITM 39% | |
| Long (252D / 10%) | 7LOW | 100.0% | +16.4% | +8.20% | +16.17% | +8.4% … +18.7% | 57% / 43% deep-ITM 100% |
MSFT
spot $418.57 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 53.7% | +10.1% | +1.49% | +0.53% | -7.7% … +7.6% | 24% / 76% deep-ITM 28% | |
| Long (252D / 10%) | 7LOW | 100.0% | +10.5% | +6.96% | +15.53% | +1.6% … +15.7% | 57% / 43% deep-ITM 100% |
NVDA
spot $215.33 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 69.5% | +55.2% | +4.33% | +4.38% | -4.9% … +11.9% | 41% / 59% deep-ITM 59% | |
| Long (252D / 10%) | 7LOW | 100.0% | +29.9% | +19.91% | +31.84% | +21.6% … +33.7% | 100% / 0% deep-ITM 100% |
AMZN
spot $266.32 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 72.0% | +36.9% | +2.54% | +5.82% | -11.1% … +9.0% | 45% / 55% deep-ITM 55% | |
| Long (252D / 10%) | 7LOW | 85.7% | +14.9% | +10.15% | +16.71% | -4.4% … +20.4% | 43% / 57% deep-ITM 86% |
GOOGL
spot $382.97 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 79.3% | +45.9% | +2.17% | +6.49% | -8.7% … +8.1% | 65% / 35% deep-ITM 67% | |
| Long (252D / 10%) | 7LOW | 100.0% | +19.3% | +9.34% | +19.07% | +16.5% … +21.0% | 100% / 0% deep-ITM 100% |
META
spot $610.26 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 70.7% | +34.9% | +2.79% | +4.59% | -14.1% … +9.7% | 44% / 56% deep-ITM 55% | |
| Long (252D / 10%) | 7LOW | 85.7% | +12.9% | +10.44% | +15.28% | -4.6% … +20.4% | 43% / 57% deep-ITM 86% |
TSLA
spot $426.01 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 67.1% | +68.8% | +6.20% | +7.99% | -10.0% … +12.8% | 48% / 52% deep-ITM 66% | |
| Long (252D / 10%) | 7LOW | 100.0% | +33.8% | +24.51% | +31.76% | +30.3% … +35.8% | 86% / 14% deep-ITM 100% |
AMD
spot $467.51 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 54.9% | +46.2% | +5.39% | +2.54% | -11.6% … +12.4% | 39% / 61% deep-ITM 61% | |
| Long (252D / 10%) | 7LOW | 100.0% | +25.6% | +16.52% | +24.63% | +20.3% … +27.6% | 86% / 14% deep-ITM 100% |
JPM
spot $306.38 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 70.7% | +32.8% | +1.65% | +4.51% | -5.0% … +7.8% | 41% / 59% deep-ITM 46% | |
| Long (252D / 10%) | 7LOW | 100.0% | +18.1% | +8.07% | +17.18% | +14.4% … +19.9% | 100% / 0% deep-ITM 100% |
XOM
spot $154.92 · 501 bars| Term | Trades | Success | Annualized | Prem yield | Median | P10 / P90 | Assigned / OTM | |
|---|---|---|---|---|---|---|---|---|
| Short (21D / 5%) | 82 | 69.5% | +22.7% | +1.40% | +2.34% | -4.3% … +6.3% | 32% / 68% deep-ITM 43% | |
| Long (252D / 10%) | 7LOW | 85.7% | +10.7% | +6.40% | +14.40% | -0.4% … +16.5% | 57% / 43% deep-ITM 57% |
Methodology — pricing, scoring, strategy mechanics
Pricing modes
- Model — Black-Scholes premium estimated from 60-day historical volatility. Risk-free rate is implicit at zero. Greeks (delta) are computed from the same model.
- Live chain — bid / ask / mid / IV / Greeks pulled from the option chain endpoint when available. Mid is used for yield math; risk-flag
wide_spreadfires when bid/ask > 5%. - Hybrid — live chain when present; falls back to model. The status bar surfaces the actual source per request.
Strategy mechanics
- Covered call — own 100 shares, sell a short call. Premium = income cap, strike = sell price ceiling. Breakeven = purchase price − premium received.
- Cash-secured put — set aside strike × 100 cash, sell a short put. Breakeven = strike − premium. Capital required = strike × 100 per contract.
- Wheel — sell CSPs until assigned, hold the stock, sell CCs until called away, then restart. Adjusted basis tracks premium received less stock losses.
Scoring (composite 0..100)
Each strategy decomposes into 6–8 weighted axes — premium quality, assignment fit, downside risk, liquidity, IV attractiveness, event risk, historical outcome, goal fit. The composite is multiplied by a risk-penalty product (each ≤ 1.0) so wide-spread, low-sample, model-only, or earnings- inside-DTE setups grade down even with a strong raw composite.
Confidence grading
- n < 5 — Very low (do not rank as strong)
- 5..10 — Low
- 10..20 — Moderate
- 20..50 — Good
- ≥ 50 — High
Model-only premium and missing liquidity data each downgrade by one tier.
Decision labels
- Conservative income — low delta, broad breakeven, low assignment risk.
- Balanced income — 0.20–0.35 delta band, moderate premium + assignment.
- Aggressive income — higher delta, higher premium, frequent assignment.
- Exit strategy — high-delta call on shares you want to exit.
- Assignment candidate — CSP at a strike you want to own.
- Avoid chasing premium — composite low or risk penalties dominate.
Limitations & disclaimer
Liquidity, spread, IV rank, open interest, earnings date, and ex-dividend date are surfaced only when the upstream provider supplies them. Missing fields render explicit fallback labels ( Unrated, N/A) — never fake values. Backtests assume entries from a deterministic rule and exit at expiration; real-world slippage, commissions, and early-assignment outcomes are not modelled. This page surfaces analytical projections derived from public market data — not personalised investment advice. Options involve risk, including loss of principal and the risk of assignment. Do your own due diligence and manage risk according to your situation.
Metric glossary
Success rate
Share of historical trades that finished above the short strike at expiration (CC) / above the put strike (CSP).
Strict success
Share of trades that hit success without ever touching the assignment zone intraday.
Premium yield
Premium received / capital required, per trade. CC denominator = stock cost; CSP denominator = strike × 100.
Annualized return
Premium yield × (365 / DTE). Short-DTE annualisation can inflate the number — interpret with the inflated_annualized risk flag.
Median return
Median total return (premium + stock P&L) across the historical sample.
P10 / P90
10th / 90th percentile total return — the tails of the historical distribution.
Assigned
Share of historical trades where the short option finished ITM and shares were transferred at the strike.
OTM
Out-of-the-money at expiration — the short option expired worthless.
Deep ITM
Short option finished significantly past the strike (e.g. > 2% past) — missed upside on CC, larger loss on CSP.
Breakeven
CC: stock cost − premium received. CSP: strike − premium received.
Max profit
CC if assigned: strike − stock cost + premium. CSP if expires OTM: premium received.
Downside exposure
Stock value declines reduce CC returns; CSP loses if stock falls below breakeven.
Assignment probability
Probability the short option finishes ITM at expiration (delta is a rough proxy).
Early assignment risk
ITM short calls are at risk of assignment before expiration when ex-dividend falls inside the trade and remaining extrinsic value is below the dividend.
Opportunity cost
Returns forgone vs simply holding the stock — capped upside on CC, time-locked cash on CSP.
Missed upside
Gain above the strike that CC trader did not capture due to the cap.
Downside capture
Share of stock-only downside the strategy retained, even after premium offset.
Stock-only return
Hypothetical return of just holding the stock over the same window — baseline comparison.
CC excess return vs stock
Covered-call return minus stock-only return. Positive when premium > foregone upside.
CSP excess return vs cash
Premium yield on collateral minus cash / T-bill return over the same window.
Wheel cycle P&L
Total premium + stock P&L from one CSP → assignment → CC → called-away rotation.
Days in stock
Calendar days the wheel held assigned shares during the cycle.
Capital efficiency
Annualised return on capital, accounting for days-in-cash vs days-in-stock.
IV rank
Where current implied volatility sits in its 52-week range (0..100).
IV percentile
Share of days in the past 252 trading days where IV was below today's level.
Bid/ask spread
(ask − bid) / mid. Wide spreads make modelled mid yields harder to execute.
Open interest
Outstanding contracts on the strike. Below 100 makes the option illiquid.
Option volume
Today's traded contracts on the strike. Below 50/day is illiquid.
Liquidity grade
A / B / C / D / Unrated derived from bid/ask spread, OI, and volume.
Low-N sample warning
Backtest with n < 20 → low confidence; n < 5 → very low (do not treat as repeatable).