Covered Call Desk

Ticker

Strike, % out-of-money +10%

Days to expiry 30

Volatility estimator i All three read volatility from past prices only (no look-ahead), then feed it to Black–Scholes. Tenor — rolling window matched to the option's own length, so a 6-month call is priced off ~6-month vol (respects term structure). 21-day — the classic fixed 1-month window (HV20); jumpier on long-dated options. EWMA — exponentially weighted (RiskMetrics λ=0.94); weights recent days more, reacts faster.

Vol premium 1.10× i Option-implied vol has historically run above realized vol — sellers earn this gap (the "variance risk premium"). This scales the historical vol estimate up before pricing, so 1.10× means "assume options were priced ~10% richer than the stock's actual movement." Set 1.00× for the conservative fair-vol case.

Premium haircut 5%

Risk-free rate 4.0%

Expiry rule: the call is always rolled at expiration. If it finished in-the-money (strike below the stock price), the strategy pays the difference — the gain above the strike is handed back — and a fresh call is written for the next cycle. You always keep the shares.
Methodology: daily prices are pulled from Yahoo Finance (split- and dividend-adjusted closes, up to ~10 years). There are no live option quotes — each option's price is modeled with the Black–Scholes formula, using a volatility estimated from the stock's own recent price history (chosen estimator above) and marked up by the vol-premium multiplier. Premiums are therefore modeled, not market — best for comparing strategies, not predicting exact dollars.

Strategy vs. just holding

Covered-call overlay Buy & hold

Estimated volatility & option premium over time

Estimated vol (annualized) Modeled premium ($ / contract)

Each point prices the call you'd sell that day under the current settings — volatility (left axis) comes from the stock's own recent history, and the premium it implies (right axis) rises and falls with it. This is the raw material behind every premium in the charts above.

Outcome of every cycle

Each expiry window, overlay P&L as % of stock price

Kept premium (finished OTM) Called away (capped)

One trade, at a glance

Covered call Own stock only

Compare strategies — click a row to load it

Strategy	Strike	Expiry	Income / yr	Buyback cost / yr	Net income / yr	Called away

How to read this. Income / yr is annualized premium collected; Buyback cost / yr is the intrinsic paid to roll in-the-money calls; Net income / yr = Income − Buyback cost, the overlay's standalone yield; Called away is the share of expiries that finished at or above the strike. Same decomposition as the ticker table below — here for one stock across different strikes and expiries.

Which tickers suit this strategy?

Overlay helped Overlay hurt dot size = how often called away

Ticker	Realized vol	Stock ann. return	Income / yr	Buyback cost / yr	Net income / yr	Called away

Reading the map. Every ticker runs the same strategy you set above across its own history (always-roll). Rightward = the stock rose faster. Above the line = net option income is positive (premium collected exceeds what you pay to buy back in-the-money calls); below = you hand back more than you collect. The sweet spot is upper-left — flat-to-down, high-vol stocks where calls rarely get run over. The lower-right is the trap: fast risers whose gains the calls keep capping. Click any row to load that ticker above.

Net income / yr = Income − Buyback cost. It's the standalone yield of the call-selling overlay: premium collected minus the intrinsic you pay to roll ITM calls. Since you always keep the shares, this — not lost stock upside — is what the strategy actually adds or subtracts.

Stock ann. return is the share's own annualized return (what plain holding gave you). Realized vol is the median trailing 21-day realized volatility over the ticker's history — a typical vol level, independent of the estimator above. COIN, PLTR, ABNB and RBLX have shorter histories (~4–6y), so their figures are noisier.

Modeled, not a broker backtest. Premiums are priced with Black–Scholes from real historical prices and an estimated volatility — not actual option quotes. Dividends, early assignment, taxes, and bid/ask beyond the haircut are ignored. Prices are split/dividend-adjusted daily closes. Treat this as a tool for comparing strategies, not for predicting exact dollars.

Volatility. "From history" estimates each cycle's vol point-in-time (no look-ahead): Tenor = rolling window matched to the option's life, 21-day = the classic HV20, EWMA = RiskMetrics λ=0.94. All are then scaled by the vol-premium knob, since real option IV runs a bit above realized.

The overlay P&L. Each cycle you keep the premium and give back anything above the strike: premium − max(0, price − strike). Cycles are non-overlapping for the equity curve, overlapping (every day) for the distribution.