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AAPL
$333.00
Price
$333.00
IV (30d)
29.7%
IV (60d)
28.3%
Term Slope 30→60
-1.4 pts
VRP Backtest — Monthly Short Straddle
Sell the ATM straddle once per month (~30 DTE), hold to expiry. Un-hedged carries full directional risk; delta-hedged neutralises the daily delta using entry-IV, isolating the pure volatility premium. 71 trades from Sep 2020 to Jul 2026.Total P&L (hedged)
$1,284
Win Rate (hedged)
61%
Sharpe (hedged)
0.18
Max DD (hedged)
-$1,654
Total P&L (unhedged)
-$10,063
Win Rate (unhedged)
46%
RANGE
Per-trade ledger
| Entry | Expiry | Strike | DTE | IV | Credit | Intrinsic | Hedge P&L | Un-hedged | Hedged |
|---|---|---|---|---|---|---|---|---|---|
| 01 Sep 20 | 02 Oct 20 | 134 | 32 | 48.7% | $1,575 | $2,073 | $262 | -$501 | -$239 |
| 01 Oct 20 | 30 Oct 20 | 117 | 30 | 44.0% | $1,320 | $814 | -$481 | $503 | $23 |
| 02 Nov 20 | 27 Nov 20 | 109 | 26 | 39.2% | $983 | $759 | $11 | $221 | $232 |
| 01 Dec 20 | 31 Dec 20 | 123 | 31 | 29.9% | $893 | $969 | $159 | -$79 | $80 |
| 04 Jan 21 | 29 Jan 21 | 129 | 26 | 37.2% | $1,065 | $296 | -$684 | $766 | $82 |
| 01 Feb 21 | 26 Feb 21 | 134 | 26 | 35.3% | $1,065 | $1,274 | $601 | -$212 | $389 |
| 01 Mar 21 | 26 Mar 21 | 128 | 26 | 30.0% | $850 | $679 | -$267 | $168 | -$98 |
| 01 Apr 21 | 30 Apr 21 | 123 | 30 | 27.7% | $823 | $846 | $145 | -$26 | $119 |
| 03 May 21 | 28 May 21 | 133 | 26 | 20.3% | $630 | $839 | $78 | -$212 | -$134 |
| 01 Jun 21 | 25 Jun 21 | 124 | 25 | 21.3% | $586 | $911 | $415 | -$328 | $88 |
| 01 Jul 21 | 30 Jul 21 | 137 | 30 | 22.7% | $758 | $886 | $188 | -$131 | $57 |
| 02 Aug 21 | 27 Aug 21 | 146 | 26 | 18.6% | $637 | $260 | -$235 | $374 | $140 |
| 01 Sep 21 | 01 Oct 21 | 155 | 31 | 20.6% | $800 | $1,235 | $423 | -$437 | -$14 |
| 01 Oct 21 | 29 Oct 21 | 143 | 29 | 25.5% | $865 | $680 | $112 | $182 | $294 |
| 01 Nov 21 | 26 Nov 21 | 149 | 26 | 16.9% | $603 | $781 | $236 | -$181 | $55 |
| 01 Dec 21 | 31 Dec 21 | 165 | 31 | 28.6% | $1,155 | $1,257 | $110 | -$105 | $5 |
| 03 Jan 22 | 28 Jan 22 | 182 | 26 | 27.0% | $1,138 | $1,217 | $162 | -$82 | $80 |
| 01 Feb 22 | 25 Feb 22 | 175 | 25 | 22.6% | $905 | $1,015 | $80 | -$113 | -$33 |
| 01 Mar 22 | 25 Mar 22 | 165 | 25 | 29.6% | $1,050 | $972 | -$192 | $75 | -$117 |
| 01 Apr 22 | 29 Apr 22 | 175 | 29 | 24.7% | $1,033 | $1,735 | $648 | -$705 | -$57 |
| 02 May 22 | 27 May 22 | 160 | 26 | 32.7% | $1,185 | $1,036 | -$695 | $146 | -$549 |
| 01 Jun 22 | 01 Jul 22 | 150 | 31 | 31.9% | $1,133 | $1,107 | -$210 | $23 | -$187 |
| 01 Jul 22 | 29 Jul 22 | 140 | 29 | 35.3% | $1,155 | $2,251 | $1,404 | -$1,099 | $306 |
| 01 Aug 22 | 26 Aug 22 | 162 | 26 | 24.6% | $890 | $112 | -$690 | $775 | $85 |
| 01 Sep 22 | 30 Sep 22 | 158 | 30 | 30.4% | $1,103 | $1,930 | $674 | -$830 | -$156 |
| 03 Oct 22 | 28 Oct 22 | 142 | 26 | 41.1% | $1,250 | $1,374 | $82 | -$127 | -$45 |
| 01 Nov 22 | 25 Nov 22 | 150 | 25 | 31.4% | $1,015 | $189 | -$971 | $823 | -$148 |
| 01 Dec 22 | 30 Dec 22 | 148 | 30 | 29.0% | $978 | $1,807 | $757 | -$832 | -$75 |
| 03 Jan 23 | 27 Jan 23 | 125 | 25 | 40.8% | $1,058 | $2,093 | $1,278 | -$1,038 | $240 |
| 01 Feb 23 | 03 Mar 23 | 145 | 31 | 29.5% | $1,028 | $603 | -$306 | $422 | $116 |
| 01 Mar 23 | 31 Mar 23 | 145 | 31 | 30.3% | $998 | $1,990 | $1,111 | -$995 | $115 |
| 03 Apr 23 | 28 Apr 23 | 165 | 26 | 23.8% | $850 | $468 | -$306 | $379 | $73 |
| 01 May 23 | 26 May 23 | 170 | 26 | 26.2% | $968 | $543 | -$118 | $422 | $304 |
| 01 Jun 23 | 30 Jun 23 | 180 | 30 | 21.1% | $873 | $1,397 | $803 | -$527 | $276 |
| 03 Jul 23 | 28 Jul 23 | 190 | 26 | 18.5% | $784 | $583 | $87 | $198 | $284 |
| 01 Aug 23 | 25 Aug 23 | 195 | 25 | 23.7% | $980 | $1,639 | $417 | -$662 | -$245 |
| 01 Sep 23 | 29 Sep 23 | 190 | 29 | 18.0% | $762 | $1,879 | $857 | -$1,119 | -$262 |
| 02 Oct 23 | 27 Oct 23 | 175 | 26 | 22.3% | $817 | $678 | $122 | $137 | $259 |
| 01 Nov 23 | 01 Dec 23 | 175 | 31 | 24.7% | $1,020 | $1,624 | $764 | -$607 | $157 |
| 01 Dec 23 | 29 Dec 23 | 190 | 29 | 15.9% | $686 | $253 | -$298 | $431 | $133 |
| 02 Jan 24 | 26 Jan 24 | 185 | 25 | 19.1% | $737 | $742 | -$126 | -$7 | -$133 |
| 01 Feb 24 | 01 Mar 24 | 185 | 30 | 24.3% | $1,085 | $534 | $21 | $548 | $570 |
| 01 Mar 24 | 28 Mar 24 | 180 | 28 | 19.5% | $765 | $852 | -$333 | -$90 | -$423 |
| 01 Apr 24 | 26 Apr 24 | 170 | 26 | 20.8% | $740 | $70 | -$659 | $667 | $8 |
| 01 May 24 | 31 May 24 | 170 | 31 | 27.7% | $1,100 | $2,225 | $1,028 | -$1,128 | -$99 |
| 03 Jun 24 | 28 Jun 24 | 195 | 26 | 21.9% | $893 | $1,562 | $1 | -$672 | -$672 |
| 01 Jul 24 | 26 Jul 24 | 215 | 26 | 20.4% | $942 | $296 | -$594 | $644 | $50 |
| 01 Aug 24 | 30 Aug 24 | 220 | 30 | 29.7% | $1,497 | $900 | -$138 | $595 | $457 |
| 03 Sep 24 | 27 Sep 24 | 225 | 25 | 25.9% | $1,203 | $279 | -$553 | $921 | $368 |
| 01 Oct 24 | 25 Oct 24 | 225 | 25 | 22.9% | $1,083 | $641 | -$263 | $439 | $176 |
| 01 Nov 24 | 29 Nov 24 | 225 | 29 | 23.1% | $1,185 | $1,233 | $467 | -$51 | $416 |
| 02 Dec 24 | 27 Dec 24 | 240 | 26 | 16.6% | $835 | $1,559 | $793 | -$727 | $67 |
| 02 Jan 25 | 31 Jan 25 | 245 | 30 | 24.7% | $1,380 | $900 | -$639 | $477 | -$161 |
| 03 Feb 25 | 28 Feb 25 | 230 | 26 | 24.5% | $1,220 | $1,184 | $42 | $33 | $76 |
| 03 Mar 25 | 28 Mar 25 | 240 | 26 | 26.9% | $1,357 | $2,210 | $509 | -$855 | -$346 |
| 01 Apr 25 | 25 Apr 25 | 225 | 25 | 25.5% | $1,203 | $1,572 | -$818 | -$372 | -$1,190 |
| 01 May 25 | 30 May 25 | 215 | 30 | 30.9% | $1,623 | $1,415 | -$238 | $205 | -$33 |
| 02 Jun 25 | 27 Jun 25 | 200 | 26 | 29.1% | $1,245 | $108 | -$323 | $1,134 | $811 |
| 01 Jul 25 | 25 Jul 25 | 210 | 25 | 24.3% | $1,062 | $388 | -$97 | $672 | $575 |
| 01 Aug 25 | 29 Aug 25 | 200 | 29 | 27.9% | $1,315 | $3,214 | $1,767 | -$1,902 | -$135 |
| 02 Sep 25 | 26 Sep 25 | 230 | 25 | 24.0% | $1,155 | $2,546 | $1,139 | -$1,394 | -$254 |
| 01 Oct 25 | 31 Oct 25 | 255 | 31 | 26.7% | $1,577 | $1,537 | -$6 | $38 | $32 |
| 03 Nov 25 | 28 Nov 25 | 270 | 26 | 21.2% | $1,247 | $885 | -$40 | $360 | $320 |
| 01 Dec 25 | 26 Dec 25 | 285 | 26 | 20.2% | $1,203 | $1,160 | $154 | $40 | $194 |
| 02 Jan 26 | 30 Jan 26 | 270 | 28 | 23.3% | $1,410 | $1,052 | -$288 | $355 | $67 |
| 02 Feb 26 | 27 Feb 26 | 270 | 25 | 20.6% | $1,165 | $582 | -$2,110 | $580 | -$1,529 |
| 02 Mar 26 | 27 Mar 26 | 265 | 25 | 27.2% | $1,515 | $1,620 | $397 | -$108 | $290 |
| 01 Apr 26 | 01 May 26 | 255 | 30 | 29.9% | $1,757 | $2,514 | $1,026 | -$759 | $267 |
| 01 May 26 | 29 May 26 | 280 | 28 | 22.0% | $1,405 | $3,206 | $1,932 | -$1,804 | $129 |
| 01 Jun 26 | 26 Jun 26 | 305 | 25 | 23.8% | $1,530 | $2,122 | $450 | -$595 | -$145 |
| 01 Jul 26 | 31 Jul 26 | 295 | 30 | 28.7% | $1,917 | $4,319 | $2,302 | -$2,404 | -$102 |