Does Short Put actually work?

REAL

A measurable edge that survived the checks we ran.

The claim

Selling cash-secured puts on the index is high-probability income — TastyTrade / premium sellers

What we did

Tested against Expectancy net of REAL bid/ask — patient mid vs. crossing the spread, 2014–2025, real EOD bid/ask, manage 50%/21DTE.

The result

Result: 48.0 expectancy $/trade (crossing the spread)

mid +51 → cross +48/trade, keeps 94% of edge, 87% win, worst -4930

The numbers

Worst drawdown	-7367.6%

Verdict

Real edge that survives real fills: +48/trade crossing the spread (keeps 94% of the +51 mid-price number their studies quote), 87% win. One leg = one tight, liquid spread to cross — the most friction-proof trade of the lot. But the win rate hides the tail — worst trade -4930 on a 1-lot.

What the test did and did not do

net of real costs
point-in-time data
checked for look-ahead
tested out of sample

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

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Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.