PMCC-001 · Completed historical-model study
Do Short Calls Really Improve a LEAPS Strategy?
A paired comparison of a recurring short-call overlay with the identical long-call-and-cash strategy, plus a stock total-return reference.
What was tested
SPY and QQQ; starts in 2005, 2010, 2015 and 2020; short calls at 21, 30 and 45 calendar DTE and 0.15, 0.20, 0.25 and 0.30 target deltas. All histories end on 2026-08-14. The baseline includes 96 configurations at 15% IV premium. Five IV-premium assumptions produce 480 configurations in total. Failed configurations: 0.
Each starts with $15,000 and an underlying price normalized to $100, maintaining one 0.80-delta long call at 545 DTE, rolled at 90 DTE. Cash earns 4%; borrowing costs 7%; fees are $0.65 per contract-side. Dividend assumptions are 1.3% for SPY and 0.6% for QQQ. These fixed rates are research assumptions, not historical estimates.
Baseline findings
| Underlying | Runs with positive overlay contribution | Median contribution | Median CAGR difference | Lower PMCC drawdown |
|---|---|---|---|---|
| SPY | 48 / 48 | $9,298 | 1.55 pp | 48 / 48 |
| QQQ | 44 / 48 | $11,705 | 1.28 pp | 48 / 48 |
The baseline contribution range is -$1,080 to $52,253. 0 baseline configurations used borrowing in one or both strategies. The short-call overlay improved maximum drawdown in 96 of 96 configurations.
Sensitivity to option-pricing assumptions
| IV premium over realized volatility | Positive contribution | Median contribution |
|---|---|---|
| 0% | 59 / 96 | $1,362 |
| 10% | 92 / 96 | $7,276 |
| 15% | 92 / 96 | $11,266 |
| 25% | 96 / 96 | $17,471 |
| 40% | 96 / 96 | $28,412 |
What the finding does—and does not—establish
This isolates the overlay within a specified model: the long leg, initial capital and underlying path are identical between PMCC and LEAPS-only. It does not establish that PMCC beats real-market LEAPS trading or that any selected delta is optimal. The stock comparator is not exposure-matched. Overlapping periods and nearby settings do not provide independent replications; no statistical confidence claim is made. Theta is included through time-dependent pricing.
The underlying option path is a dividend-yield-adjusted proxy derived from historical adjusted returns, not raw historical share prices. Options are modeled, not archived quotes. Bid/ask spreads, early assignment, taxes, changing historical interest rates, and broker margin rules are omitted. Positive results warrant validation against real options data; they are not trading evidence on their own.
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Mark L. Morrissey · PMCC-001 · Executed 2026-09-22. Model research, not investment advice.