RETAIL BARBELL BACKTEST · 2014—2026

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%
ENDING BARBELL$93,694$90k safe reserve + remaining sleeve
SLEEVE CASH LEFT$3,694Started at $10,000
PREMIUM → PROCEEDS$12,334 → $6,028Ask paid · bid/settlement received
MONTHS ACTUALLY BOUGHT80 / 137191 whole contracts
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.

StrikeBoughtSpentRecoveredSleeve leftTotal 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%
VIX CALL COMPARISON · NOW AVAILABLE

Buy convexity when the forward is below the strike.

EOD PROXYEOD proxy · prior-session VX · official VRO · expiry onlyOfficial 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.
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.
ENDING BARBELL$91,374$90k safe reserve + remaining sleeve
PREMIUM → VRO PROCEEDS$13,298 → $4,672Ask paid · official VRO payoff
MONTHS ACTUALLY BOUGHT85 / 155148 whole contracts
NOT OTM · SKIPPED51No call purchased when strike ≤ prior VX
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 strikeBoughtSpentVRO proceedsSleeve leftTotal 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
ONE SLEEVE · SPX + VIX

Does a split hedge survive five years?

One $10,000 sleeve, one $200 monthly allowance, and no cash top-ups. Compare fixed SPX/VIX sub-allocations under a hard cap or bounded carry-forward across every rolling 60-month start in the common sample.

SPX control
20% OTM · 60D
VIX control
20 call · 60D
Exit
First daily 5× bid / expiry
Commission
$5 per contract · each side
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.
ENDING SLEEVE$10,256Started at $10,000
ENDING BARBELL$124,380Includes strictly-prior DGS3MO carry
PREMIUM → PROCEEDS$2,586 → $2,842Ask + entry fee · bid/expiry less exit fee
5Y SLEEVE PROFITABLE36.8%76 rolling 60-month starts
5Y WITH ANY WIN88.2%At least one positive option trade
5Y RUIN RATE0.0%Sleeve book value ≤ one $200 budget
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 splitActual contractsSleeve left5Y profitable5Y any win5Y ruin
22 SPX · 0 VIX$9,77023.7%50.0%0.0%
10 SPX · 2 VIX$10,05021.1%48.7%0.0%
0 SPX · 33 VIX$10,25636.8%88.2%0.0%
0 SPX · 64 VIX$8,73627.6%88.2%0.0%
0 SPX · 107 VIX$8,29630.3%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.

EVENT PAYOUT$107,980SPX $99,990 · VIX $7,990
EXPIRED PREMIUM BURN$3,740Earlier 60-day cohorts assumed worthless
ENDING BARBELL$186,020Reserve $90,000 → $72,000
HEDGE BENEFIT VS NO OPTIONS$104,020Same -20% reserve shock · 86.0% total result
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
MONTHLY AFFORDABILITY
Total budget
$200
SPX subcap / contract
$100 / $55
VIX subcap / contract
$100 / $55
Planned each month
1 SPX · 1 VIX
EVENT-MONTH PAYOFF
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
MODEL BOUNDARY
  • 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.

LARGEST REALIZED TRADE

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
WHAT THIS DOES NOT PROVE
  • 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.