TSLA Weekly Cash Secured Puts: A 2025 Delta-Based Backtest Analysis

The Experiment

Selling Cash Secured Puts (CSP) on Tesla (TSLA) is a popular strategy, but the "best" delta to sell is a constant debate. We ran 250 trades (50 weeks x 5 delta levels) to see how each performed in the volatile 2025 market. (See our SPY study for a bull market comparison).

The methodology: 7-day expirations, mechanical entry every Friday, no early management. We tracked five target deltas: -0.1, -0.2, -0.3, -0.4, and -0.5.

The Results: Performance by Delta

The data shows a clear divergence in performance as we move closer to the money (ATM).

The -0.3 Delta emerged as the "Total P/L Champion," generating $8,448 in total premium while maintaining a healthy 80% win rate. However, the drawdown risk increased significantly compared to lower deltas.

Equity Curve Analysis

Tracking the weekly cumulative profit reveals the true volatility of each strategy. While all strategies ended positive, the path to profitability varied drastically.

Notice the deep drawdowns in the -0.5 Delta (Purple) line during market corrections, compared to the steady, albeit slower, ascent of the -0.1 Delta (Blue) line.

The "Profit vs. Pain" Ratio

This is the most critical chart for any serious trader. It compares the Total Profit (Green) against the Maximum Drawdown (Red) endured to achieve it.

The -0.5 Delta strategy is revealed as "toxic": the pain (drawdown) was nearly double the final gain. In contrast, the -0.1 and -0.3 Deltas kept the profit bar higher than the pain bar.

The Hidden Trap: Avg Win vs. Avg Loss

High win rates often mask poor risk/reward ratios. This chart exposes the "steamroller" risk of low-delta strategies.

For the -0.1 Delta strategy, your Average Loss ($-908) is over 6x larger than your Average Win ($150). You need to win 6 times just to cover 1 loss. As you increase Delta, this ratio normalizes, making the strategy more robust against single bad events.

The "Headache" Factor: Assignment Frequency

How passive is this strategy? This chart shows how many weeks (out of 50) you were assigned stock.

The -0.5 Delta strategy meant you were forced to buy the stock 28 times (56% of the time). This turns a "passive income" strategy into a part-time job of managing stock positions. In contrast, the -0.1 Delta was truly "set and forget," with only 4 assignment events all year.

Efficiency: Premium Capture Rate

This is the "Work Smart" metric. It measures how much of the collected premium you actually kept after losses.

The -0.1 Delta was the most efficient, allowing you to keep ~44% of every dollar collected. In stark contrast, the -0.5 Delta strategy was a "churn machine": you collected a massive $58,014 in upfront premiums but were forced to give back 90% of it in losses, retaining only $5,848 (10% retention). High turnover, low yield.

The Bottom Line: ROI vs. Buy & Hold

Finally, does this beat just holding the stock? In 2025, TSLA stock rose from $410 to $438, a modest 6.7% return.

The -0.3 Delta strategy crushed the benchmark with a 24.4% Annualized Return on Cash (17.6% Alpha). Remarkably, even the ultra-safe -0.1 Delta strategy (10.1%) outperformed Buy & Hold while taking significantly less volatility risk.

Sleep Quality: Income Volatility

For income traders, consistency is king. This chart shows the Standard Deviation of weekly returns. A higher bar means your "weekly paycheck" fluctuates wildly.

The -0.5 Delta is a rollercoaster: its weekly volatility ($1,361) is 4x higher than the -0.1 Delta ($319). If you rely on this income to pay bills, the -0.5 strategy is unusable despite the high premiums.

Psychological Resilience: Win/Loss Streaks

Can you handle losing for a month straight? This chart measures the psychological difficulty of each strategy.

The -0.1 Delta offered incredible peace of mind: a massive 28-week winning streak and never more than 1 bad week in a row. In contrast, the -0.5 Delta required iron discipline: you had to endure 4 consecutive weeks of losses (a full month of red P/L) and enjoyed much shorter winning streaks (max 9 weeks).

The Verdict: Strategy Scorecard

Based on 8 dimensions of analysis, here is our final verdict:

1. The Passive Saver (-0.1 Delta): The best choice for stress-free income. 92% win rate and minimal drawdowns make it perfect for larger accounts preserving wealth.

2. The Growth Trader (-0.3 Delta): The undisputed champion. It delivered the highest total profit ($8,448) and the highest ROIC (24.4%) while keeping risk manageable.

3. The Trap (-0.5 Delta): Avoid. The high premiums are a mirage. You work the hardest (28 assignments) for the worst risk-adjusted returns.

The "Sweet Spot" vs. The "Trap"

While -0.5 Delta offers the highest per-trade premium, it suffered the most during market downturns, resulting in a lower total P/L ($5,848) than the -0.3 and -0.4 deltas. This is due to the heavy losses during assignment weeks.

The -0.1 Delta is the "Peace of Mind" play, with a 92% win rate and only 8% assignment rate, but the total income is significantly capped.

Key Metrics Comparison

Win Rate: Scaled perfectly from 92% (-0.1) down to 64% (-0.5).

Profit Factor: The -0.1 Delta had the highest profit factor (1.90), meaning it was the most efficient per unit of risk, while -0.5 Delta dropped to 1.24.

Max Drawdown: -0.5 Delta saw a staggering $-9,836 drawdown, nearly double that of the -0.3 Delta ($-5,938).