New Options Backtester
Search, filter, and sort 65,769,505 backtests


Thursday, September 19th 2019

How To Backtest A Covered Call With A 75 Delta Exposure

Combine a short call with long stock to create a buywrite / covered call with a certain equity exposure delta.


This article explains how to backtest a covered call strategy on the SPY with a delta-hedged equity exposure of 0.75. The process involves setting up a short call backtest, delta hedging the call, backtesting SPY LongStock, and combining the strategies with a 75% weight on long stock and a delta-neutral short call. The resulting equity exposure will be 75 delta.

We were asked, "Can I backtest a covered call strategy on the SPY where the equity exposure is delta-hedged daily to a specific delta e.g. 0.75."

Yes, you can.

First, set up the short call backtest and delta hedge the call. This will have a zero equity exposure.


Next, backtest SPY LongStock.


Finally, in the backtest view, select both strategy check boxes and combine the strategies with the following weights:


Assign 75 percent weight to long stock and combined with a delta neutral short call the resulting equity exposure will be 75 delta.

The result will be a delta neutral short call plus a 75 delta SPY long stock.

Contact Us
Curious about enterprise pricing? Want to become an affiliate? Questions about our data? Let us know.
Your email
Your message
Institutional Quality Tools for All Options Traders
(312) 986 - 1060
36 Maplewood Ave, Portsmouth, NH 03801
Trading Tools
Historical Data
More Information