April 6, 2017

Options Backtesting Results

Historical average return: +$455.73 (backtested over 17.3 years)
Historical success probability: 62.9%

Summary

Steep call skew in the MDY U.S. equity mid-cap ETF has created call spread opportunities which are unusually inexpensive to purchase. Options backtesting and risk analysis shows historical positive returns with attractive probabilities of success with limited downside exposure compared to owning shares outright.

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