RETAIL BARBELL BACKTEST · 2014—2026Can $200 a month
Can $200 a month
outlast the waiting?
Test a $100,000 barbell with a $90,000 safe reserve and one finite $10,000 option sleeve. Every result below uses historical ask entries, executable exits, whole contracts, and no hidden cash top-ups.
Monthly budget
Budget handling
Strike distance
Target expiry
Exit rule
SELECTED HISTORICAL RESULT
20% OTM · 30D · $200/month
Total barbell return-6.31%
QUARTER-END ACCOUNTING
Barbell book value
Open options stay at paid cost until an executable sale or official expiry.
Loading the selected quarter-end curve…
Between entry and exit, open options are carried at paid cost. The curve is cash-plus-cost-basis accounting, not daily mark-to-market NAV.
SAME BUDGET · DTE · EXIT · BUDGET RULE
Distance changes affordability.
A strategy that cannot afford a contract is not protected. Click a row to load the full result; zero-fill rows remain visible so apparent capital preservation cannot masquerade as success.
| Strike | Bought | Spent | Recovered | Sleeve left | Total return |
|---|---|---|---|---|---|
| 17 / 137 | $2,681 | $1,559 | $8,878 | -1.12% | |
| 51 / 137 | $7,821 | $6,026 | $8,205 | -1.80% | |
| 80 / 137 | $12,334 | $6,028 | $3,694 | -6.31% | |
| 80 / 137 | $13,710 | $3,730 | $20 | -9.98% | |
| 82 / 137 | $14,033 | $4,038 | $5 | -10.00% |
Monthly budget
Budget handling
VIX call strike
Target expiry
SELECTED VIX EXPIRY RESULT
VIX 20 call · 60D · $200/month
Total barbell return-8.63%
Expiry-only evidence.The call is bought only when its strike is above the previous session's exact-expiry VX settlement. Same-day VX settlement and spot VIX are excluded from the entry signal; intraday take-profit claims are not tested. A 88-window timestamp-matched intraday upgrade has not been added; the public model remains on prior-session official Cboe settlement data.
QUARTER-END ACCOUNTING
VIX-call barbell book value
Open calls stay at paid cost until official VRO cash settlement.
Loading the selected VIX curve…
No mark-to-market NAV and no intraday exit path. This chart is deliberately labelled as an EOD expiry proxy.
FIXED GRID · NO TUNING
Higher strikes cost less—and expire empty more often.
Compare the predeclared 20–50 strike grid at the same budget and target DTE. The selected budget rule is held fixed. The strongest historical row is descriptive, not an optimum chosen for the future.
| VIX strike | Bought | Spent | VRO proceeds | Sleeve left | Total return |
|---|---|---|---|---|---|
| 85 / 155 | $13,298 | $4,672 | $1,374 | -8.63% | |
| 63 / 155 | $10,478 | $479 | $1 | -10.00% | |
| 58 / 155 | $9,990 | $0 | $10 | -9.99% | |
| 56 / 155 | $9,990 | $0 | $10 | -9.99% | |
| 54 / 155 | $9,999 | $0 | $1 | -10.00% | |
| 52 / 155 | $9,998 | $0 | $2 | -10.00% |
29,060 official VX settlements161 official VRO expiries3,404 spot rows · context only155 shared monthly datesPrior-session VX entry signalOfficial VRO expiry payoff
Monthly budget split
Budget handling
FIXED RULES$200 total / monthSPX and VIX keep separate sub-allowances; capacity never crosses legs.
SELECTED ALLOCATION · 135 COMMON MONTHS
50% SPX · 50% VIX
Hedge drag vs no options$256
Nominal split did not buy both legs.The $100 SPX subcap never fit one whole 20%-OTM, 60-day contract. This row bought 33 VIX contracts and zero SPX contracts, so it is not evidence that a diversified hedge won.
QUARTER-END ACCOUNTING
Joint barbell book value
$90,000 safe reserve accrues the latest strictly prior DGS3MO rate; sleeve cash earns zero.
Loading the selected joint curve…
Open options remain at paid cost between accounting events. This is cash-plus-cost-basis accounting, not marked-to-market NAV.
THE “ONE WIN” CLAIM, TESTED
A win is not the same as a profitable sleeve.
Pure VIX produced at least one positive trade in 100.0% of rolling five-year cohorts, yet only 30.3% finished above the original $10,000. Repeated premium decay can outweigh the winner.
| Budget split | Actual contracts | Sleeve left | 5Y profitable | 5Y any win | 5Y ruin |
|---|---|---|---|---|---|
| 22 SPX · 0 VIX | $9,770 | 23.7% | 50.0% | 0.0% | |
| 10 SPX · 2 VIX | $10,050 | 21.1% | 48.7% | 0.0% | |
| 0 SPX · 33 VIX | $10,256 | 36.8% | 88.2% | 0.0% | |
| 0 SPX · 64 VIX | $8,736 | 27.6% | 88.2% | 0.0% | |
| 0 SPX · 107 VIX | $8,296 | 30.3% | 100.0% | 0.0% |
76 rolling five-year cohorts per allocationDGS3MO safe-reserve proxyHistorical ask entriesDaily 15:45 executable bid checksNo leverage · no short options
SYNTHETIC BLACK SWAN · STRESS TEST
What if the crash arrives in month 36?
Change the waiting time up to ten years, barbell size, safe-asset move, option cost, SPX crash, and VIX settlement. This calculator applies a transparent hypothetical shock; it does not alter or improve the historical backtest.
Budget handling
SCENARIO
SPX falls 30% from 5,000 to 3,500, VIX settles at 60, and the safe reserve moves -20% to $72,000. The sleeve has paid $3,960 across 36 monthly rolls under the hard-cap rule before receiving the event payoff.
PORTFOLIO AT THE EVENT
$186,020
2 live SPX contracts · 2 live VIX contracts
Safe reserve after event$72,000
Sleeve cash$6,040
SPX proceeds$99,990
VIX proceeds$7,990
- Total budget
- $200
- SPX subcap / contract
- $100 / $55
- VIX subcap / contract
- $100 / $55
- Planned each month
- 1 SPX · 1 VIX
- SPX put strike / settlement
- 4,000 / 3,500
- SPX intrinsic per contract
- $50,000
- VIX 20 intrinsic per contract
- $4,000
- Live option cost
- $220
- Safe reserve event move
- -20%
- Safe reserve before / after
- $90,000 / $72,000
- Two latest 60-day purchase cohorts are live; earlier cohorts expire worthless.
- Option quotes remain constant until the event and include $5 entry commission.
- Carry mode keeps separate five-month allowance banks and buys no more than one contract per leg per month.
- Unused allowance is spending permission over existing sleeve cash, not a cash contribution.
- The shock pays intrinsic value less $5 exit commission; time value is excluded.
- The user-set safe-asset move is applied once at the event; pre-event yield and price changes are excluded.
- Use 0% for cash-like assets, or a negative move for a reserve exposed to drawdown.
- The calculator does not estimate event probability.
The $0.50 defaults reproduce the cheap-option example. In the fixed historical fills, median entry quotes were approximately $1.50 for SPX and $1.00 for VIX; move the price sliders to those levels to expose the whole-contract affordability problem.
18.6×
3 contracts entered Feb 2018, costing $182 and returning $3,388.
- Strike
- 2,250
- Net P&L
- $3,206
- Exit
- Feb 2018
VIX OPTIONS · EOD MODEL READY
Unlocked without the spot-VIX shortcut.
Official Cboe VX settlements and VRO cash settlements are now linked by exact expiry. Spot VIX remains context-only and is never substituted as the VIX option underlying.
complete_eod_expiry_only- The sample starts in November 2014, so it excludes 2008 and 1987.
- Individual-leg T5A controls hold the safe reserve flat; the joint test separately accrues strictly-prior DGS3MO.
- ES.c.0 is an explicit SPX reference proxy.
- Historical leadership is descriptive—not a tuned recommendation.