CSP Backtester PROXY

Sell cash-secured puts over the trailing 12 months — 20 / 30 / 40 delta ladder, weekly or monthly.

Symbol Cadence

Real marks (Massive) Proxy (BS)

Equity vs buy & hold

Model caveats: Premiums are Black-Scholes estimates from HV-derived IV + ~4% vol risk premium — not historical market marks; earnings-week IV pumps are smoothed over. Assignment is decided at the expiration close only (no early-exercise simulation). Fills at mid with $0.02/share slippage. Results are period-dependent — a window containing a VIX spike flatters put selling.