Annualized Return At Open

This is calculated by taking the credit on a sold option over the remaining days to expiry and then annualizing that number.

For example;

$100 credit from selling option
$900 risk ($1000 risk - credit)
Return = 100/900 = 11%

30 days to expiry % 365 days in a year = 12.16x

11% x 12.16 = 133%

This is not compounded. This is averaged across all of your open trades.

Annualized return at Close

This uses the same calculation except it uses the realised profit & loss on closed trades only. It measures how long the trade was opened.

For example;

If your call you sold for 30 days is closed after 10 days for 50% profit (using the example above)

$50 final credit from selling option (50% profit)
$900 risk ($1000 risk - credit)
Return = 100/900 = 5.5%

Closed after 10 days instead of 30 % 365 days in a year = 36.5x

5.5% x 36.5 = 200.75%

Updated on: 26/03/2023