Shares Collar Strategy
Hold 100 shares with a 0.20 Δ put about two months out under them and a 0.20 Δ call about a month out above: the call pays for most of the put. Roll the put with 21 days left; take half on the call, roll it up and out near the strike.
Default settings, 2020 to Nov 4, 2026.
By stock and year
Select a row to chart it below. Shade is the gap to buying and holding that stock.Hedged by design: the protection is part of the strategy, so there is no unhedged version.
| Stock | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 YTD | CAGR | B&H CAGR | Max drawdown |
|---|---|---|---|---|---|---|---|---|---|---|
| +20.6%+5.4 | +19.3%−7.6 | −3.0%+16.5 | +11.9%−12.3 | +9.6%−13.7 | +9.1%−7.2 | +5.0%−7.5 | +10.4% | +13.4% | −10.0% | |
| +28.1%−17.1 | +13.4%−13.4 | −9.1%+24.0 | +17.0%−36.7 | +14.2%−10.6 | +7.0%−13.2 | +2.6%−10.0 | +10.1% | +18.5% | −11.9% | |
| +39.8%+21.3 | +9.8%−3.4 | −5.1%+16.5 | +15.6%+0.5 | +11.9%+1.8 | +9.8%−1.7 | +2.6%−12.8 | +11.6% | +8.2% | −16.2% | |
| +4.7%−113.0 | +7.6%−117.6 | −3.6%+46.7 | +13.5%−225.4 | +32.2%−138.9 | +7.3%−31.6 | −1.0%−1.0 | +8.4% | +65.2% | −15.1% | |
| +33.6%−43.1 | +16.3%−17.5 | −4.5%+22.3 | +24.7%−23.5 | +9.5%−20.5 | +9.3%+0.8 | +3.0%−25.5 | +12.8% | +25.2% | −11.1% |
Growth of $10,000
Weekly closes on a log scale; the red shade is the strategy's drawdown from its last high. Returns are on the capital the strategy needed at its peak, with interest on idle cash. Hypothetical: how the backtests are made.
Rules · the when / do flow, read-only until you make a copyShow flow
The strategy runs as 3 tracks side by side. Each day, the first rule whose conditions hold in each track acts.
1. Shares
- K0No shares: buy 100
When:
shares < 100andleg.call.open == 0Do: buy sharesqty 100
2. Collar put
- P1Buy the put under the shares
When:
shares >= 100andleg.put.open == 0Do: buy put (as put)delta put_delta (0.2)dte put_dte (60)dte_min put_dte_min (45)dte_max put_dte_max (90)strike_max spot - 0.001strict 1 - P2put_replace_dte left: sell it, buy a fresh one
When:
leg.put.open == 1andleg.put.dte <= put_replace_dteDo: close put; buy put (as put)delta put_delta (0.2)dte put_dte (60)dte_min put_dte_min (45)dte_max put_dte_max (90)strike_max spot - 0.001strict 1 - P3Shares gone: sell the put
When:
leg.put.open == 1andshares < 100Do: close put
3. Collar call
- C1Sell the covered call
When:
shares >= 100andleg.call.open == 0Do: sell call (as call)delta call_delta (0.2)dte dte (35)dte_min dte_min (25)dte_max dte_max (50)strike_min spot + 0.001avoid_earnings 1 - C2Half the credit kept: buy it back
When:
leg.call.pnl_pct >= take_pctDo: close call - C3At the strike near expiry: roll up and out for a credit, or let the shares go
When:
leg.call.dte <= 2andspot >= leg.call.strike * (1 - near_band)Do: roll calldte dte (35)dte_min leg.call.dte + 1dte_max roll_max_days - leg.call.chain_agestrike_min leg.call.strikescan strike_descavoid_earnings 1require new.mark > leg.call.mark
Parameters and defaults
Every named number in the rules can be changed in the Rule Builder. These are the defaults the backtest used.
| Parameter | Default |
|---|---|
put_delta | 0.2 |
put_dte | 60 |
put_dte_min | 45 |
put_dte_max | 90 |
put_replace_dte | 21 |
call_delta | 0.2 |
dte | 35 |
dte_min | 25 |
dte_max | 50 |
take_pct | 50 |
near_band | 0.01 |
roll_max_days | 75 |
Make a copy to change any of it and run your own backtest.
Trade log · every open, roll, assignment and close for SPYShow trades
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Hold 100 shares with a 0.20 Δ put about two months out under them and a 0.20 Δ call about a month out above: the call pays for most of the put. Roll the put with 21 days left; take half on the call, roll it up and out near the strike.
What it is
Hold 100 shares with a 0.20 delta put about two months out under them and a 0.20 delta call about a month out above them. The call pays for most of the put. The put is replaced with 21 days left; the call is bought back at half its credit, or rolled up and out for a credit near the strike.
When to use it
Use it on shares you want to keep through a period you expect to be choppy, with a floor that costs little.
Maximum risk
Losses are limited to the drop to the put's strike plus any net cost; gains are capped at the call's strike until it is rolled.
Questions
How is it different from LEAPS + Collar?
The same idea with shares instead of a LEAPS call: more capital, but no time value to decay and you keep any dividends.
Is it free?
Close to it: the 0.20 delta call is chosen to pay for most of the 0.20 delta put, which is about twice as far out in time.
When does it lag?
In strong rallies, when the call keeps capping the gain.