How would it have done?
CryptoKeyhole’s options backtester replays simple BTC and ETH option strategies against the option history we rebuilt from every Deribit trade: straddles, strangles, risk reversals and spreads, entered on a fixed schedule and held to expiry.
Pro runs any strategy, coin, schedule and cost. This is the fixed example.
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What this is, and what it leaves out
For each entry date the backtester finds the listed expiry closest to the chosen number of days and prices the legs with Black-76 on that day’s fitted smile, the same trade-implied smile behind our historical volatility charts. A leg is held to expiry and settled at the coin’s index price at 08:00 UTC on that date. Each leg is one coin of notional, so a straddle has two legs; profit and loss is shown in dollars per coin and as a percentage of the coin’s price at entry.
It leaves out funding, margin calls and early exits, and the premium it pays is the fitted value, so it is a guide to how a structure behaved rather than a record of fills. Use a cost above zero to allow for spreads and fees. Dates with too few traded strikes to fit a smile are skipped and counted.