Shares + Crash Put Strategy
Buy 100 shares and hold them, with a cheap 0.05 Δ put about 90 days out, swapped monthly. The null hypothesis: a strategy that can't beat this isn't earning its keep.
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 crash put is the strategy. Unhedged, it is simply buy and hold (the Shares only row).
| Stock | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 YTD | CAGR | B&H CAGR | Max drawdown |
|---|---|---|---|---|---|---|---|---|---|---|
| +18.1%+2.9 | +28.1%+1.2 | −18.9%+0.6 | +22.9%−1.4 | +22.3%−1.0 | +15.7%−0.6 | +11.7%−0.7 | +13.5% | +13.4% | −28.6% | |
| +48.7%+3.5 | +26.9%+0.1 | −32.0%+1.0 | +50.7%−3.1 | +24.3%−0.6 | +20.6%+0.4 | +11.6%−1.0 | +18.7% | +18.5% | −34.3% | |
| +23.4%+5.0 | +12.1%−1.1 | −19.1%+2.5 | +13.9%−1.2 | +8.2%−1.9 | +11.2%−0.2 | +13.2%−2.2 | +8.4% | +8.2% | −33.0% | |
| +35.7%−82.1 | +50.6%−74.5 | −33.6%+16.7 | +122.3%−116.7 | +140.2%−31.0 | +40.9%+2.0 | −0.2%−0.3 | +40.3% | +65.2% | −49.4% | |
| +75.3%−1.4 | +28.6%−5.2 | −26.1%+0.7 | +48.0%−0.2 | +29.6%−0.5 | +8.9%+0.4 | +26.3%−2.2 | +24.2% | +25.2% | −30.3% |
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 2 tracks side by side. Each day, the first rule whose conditions hold in each track acts.
1. Shares
Buy once and hold
- S1Buy 100 shares
When:
shares == 0Do: buy sharesqty 100
2. Crash put
A cheap far put under whatever is held; hedge_delta 0 turns it off
- CP1Something is held and no crash put: buy one
When:
hedge_delta > 0andleg.hedge.open == 0andshares >= 100 or book.open > 0Do: buy put (as hedge)qty max(1, round(shares / 100))delta hedge_delta (0.05)dte hedge_dte (90)dte_min hedge_replace_dte + 7strike_max spot - 0.001strict 1 - CP2Nothing left to protect: sell it
When:
leg.hedge.open == 1andshares < 100andbook.open <= 1Do: close hedge - CP3Down to its last month, or worth hedge_take_x its cost: sell it and buy a fresh one
When:
leg.hedge.open == 1andleg.hedge.dte <= hedge_replace_dte or (hedge_take_x > 0 and leg.hedge.mark >= leg.hedge.cost * hedge_take_x)Do: close hedge; buy put (as hedge)qty max(1, round(shares / 100))delta hedge_delta (0.05)dte hedge_dte (90)dte_min hedge_replace_dte + 7strike_max spot - 0.001strict 1
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 |
|---|---|
hedge_delta | 0.05 |
hedge_dte | 90 |
hedge_replace_dte | 30 |
hedge_take_x | 3 |
Make a copy to change any of it and run your own backtest.
Trade log · every open, roll, assignment and close for SPYShow trades
Loading…
Buy 100 shares and hold them, with a cheap 0.05 Δ put about 90 days out, swapped monthly. The null hypothesis: a strategy that can't beat this isn't earning its keep.
What it is
Buy 100 shares and hold them, with a cheap far out-of-the-money put (about 0.05 delta, 90 days out) underneath, replaced every month or when it has paid off three times its cost. It is buy-and-hold with insurance against a sudden crash.
When to use it
Use it as the yardstick: if an options strategy cannot beat plain shares with a cheap hedge, it is not earning its complexity. It also suits long-term holders who want some protection against a sudden gap down.
Maximum risk
You carry the full downside of the shares, less whatever the crash put pays. The put only helps in large, fast falls; in a slow decline it expires worthless and the cost adds up.
Questions
How much does the crash put cost per year?
It depends on volatility: a far put is cheap when markets are calm and dearer after a scare. The backtest table includes its full cost in every return.
Does the crash put stop a 2022-style bear market?
Not much. A far put pays in sudden gaps, like March 2020. In a slow year-long decline it keeps being rolled lower and mostly expires worthless.
Why sell the put at 3× its cost?
After a big drop the put is worth far more and its delta has jumped. Taking the gain and buying a fresh far put locks in the payoff and resets the protection lower.