- Home
- Strategies
- Credit Spread
- Backtest
Strategy deep-dive
Credit Spread Backtest: 60 SPY Cycles, Five Regimes
Put credit spreads rolled monthly on SPY from 2020 to 2024. Win rate by delta, regime-by-regime P&L, and the exit rule that supplies the whole edge.
Simulated data for display.
Illustrative narrative — not a verified live backtest. Build real backtests on the strategy builder.
The run
Sixty cycles,
one contract.
The headline figures first, then the rules that produced them and the three tables that decide whether the trade pays.
ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
Free on AAPL, no account. Trial: no charge if you cancel before it ends.
On this page
The test setup
- Underlying
- SPY. Bull put spread structure (sell put, buy lower-strike put as wing).
- Entry
- 30 DTE, short strike at 16 delta, 5-point wide wings.
- Exit rules tested
- (1) hold to expiration; (2) close at 50% max profit; (3) close at 50% + 200% stop-loss.
- Sizing
- One contract throughout, single position at a time, $10,000 starting equity. The max loss on the headline spread ($375) is the buying power held per cycle.
- Period
- January 2020 – December 2024 inclusive.
Win rate by short-strike delta
| Delta | Win Rate | Avg Credit | Avg Winner | Avg Loser | Max Loss | Net / Cycle |
|---|---|---|---|---|---|---|
| 10 | 85% | $65 | +$32 | -$400 | $435 | -$33 |
| 16 ★ | 75% | $125 | +$63 | -$150 | $375 | +$10 |
| 20 | 68% | $165 | +$83 | -$155 | $335 | +$7 |
| 30 | 55% | $240 | +$120 | -$160 | $260 | -$6 |
Every row ties out. Max loss is the $5 width minus the credit, each average winner is exactly half the credit because the profit target is 50% of max, and net per cycle is win rate × average winner − loss rate × average loser. For the starred row: 0.75 × $63 − 0.25 × $150 = +$9.75, shown rounded.
The average loser is not monotonic. A 10-delta short strike on SPY is only breached by a crash, so the rare losers run nearly to the $435 max and swamp the thin credit — that row loses money despite an 85% win rate. At 16-delta losers are a mix of shallow expiry breaches and the occasional deep one, averaging -$150 against a $375 max. Past 20-delta ordinary pullbacks breach the strike, and by 30-delta the extra credit no longer covers the traffic through it. The expectancy column peaks at 16-delta and it is thin everywhere — on an index, this trade lives or dies on management, not entry.
ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
- Live chains and Greeks
- IV rank and percentile
- Expected move and GEX
- Screener and strategy P&L
Free on AAPL, no account. Trial: no charge if you cancel before it ends.
Exit rules: the single highest-impact decision
| Exit Rule | Win Rate | Net / Cycle | Max Drawdown | 60-Cycle Net |
|---|---|---|---|---|
| Hold to expiration | 62% | -$2 | -28% | -$90 |
| Close at 50% max | 75% | +$10 | -15% | +$585 |
| 50% max + 200% stop | 73% | +$10 | -10% | +$612 |
The exit rule is the entire edge: same entries, same strikes, and the difference between -$90 and +$585 over five years. Holding to expiration keeps the full $125 credit when it wins (62% of the time), but the losers it lets run average -$205 and erase everything. The 200% stop barely moves expectancy — it converts the near-max bear losers into contained ones, trimming the average loser to -$135 and buying back a third of the drawdown.
Performance by market regime
| Regime | Years | Cycles | Win Rate | Net P&L |
|---|---|---|---|---|
| Bull market | 2021, 2023, 2024 | 36 | 86% | +$1,503 |
| Choppy / sideways | Q1-Q2 2020, 2024 | 12 | 75% | +$212 |
| Bear market | 2022, March 2020 | 12 | 42% | -$1,130 |
The three rows tie out twice over: the win rates blend to the headline 75% (31 + 9 + 5 = 45 wins of 60), and the nets sum to the headline +$585. The bear bucket is where the size lives — its seven losers include the three near-max losses and average -$206, versus -$90 for the five bull-market losers. Put credit spreads thrive in bull and choppy markets; in bears the directional headwind overwhelms premium collection. Rotating to call credit spreads during downtrends recovers most of this drag.
March 2020
Anatomy of
the worst cycle.
One trade, start to finish, and the $215 the stop-loss would have saved.
Entered SPY 285/280P put credit spread for $0.95 credit ($95 per contract). COVID lockdowns triggered a 32% drop over four weeks. Short put went deep ITM. Held to expiration produced max loss of -$405. With 200% stop, exit at -$190 saved $215 per contract.
This single cycle accounted for nearly all the strategy's drawdown in 2020. The stop-loss rule earned its keep in this scenario.
What to keep
Five takeaways.
- Sell at 16-delta short strike. 10-delta too thin, 30-delta too rich. 16-delta is the historical sweet spot.
- Close at 50% max profit, always. It is the entire edge: +$585 over five years vs -$90 holding to expiration. This is the single biggest win available.
- Add a 200% stop-loss. Cuts max drawdown by a third without hurting average P&L. Essential for bear regimes.
- Rotate direction with the trend. Put credit spreads in uptrends, call credit spreads in downtrends. Static directional bias is a return drag.
- Skip low-IV cycles. When VIX is under 13, the premium isn't worth the locked capital. Wait for IV to expand.
Screen for liquid tickers sitting at an attractive IV rank, then size the spread against a live chain before you place it.
Check IV rankKeep reading
The rest of
the credit shelf.
Backtest narrative is illustrative — built from typical credit spread mechanics and historical regimes, not from live broker fills. Past performance, simulated or real, does not predict future results. See methodology.
Simulated on SPY.
Priced on your chain.
Build the same bull put spread in the Terminal, price it against a live chain, and test the 50% close on AAPL without an account.
Real market data, not a sandbox. See it live on AAPL.