Screen yield vs realized return

Open for collection

For each option contract that passes our screener, we record the screen-time annualized yield, then track the contract through to its exit (expiry, close, or assignment). Realized return is computed using documented slippage and commission assumptions. The gap between screen yield and realized return is the headline statistic.

Status: Open for data collection. No published findings yet. We will publish results only when the observation count is sufficient and the dispersion / confidence intervals can be computed honestly.

Methodology

Observations are written one-per-contract at screen time. The observation contains all snapshot fields (bid, ask, midpoint, OI, volume, IV, delta, screen yield) plus the volatility regime and liquidity bucket. When the contract exits, the same observation record is updated with exit fields (exit price, assignment flag, realized P&L). Slippage defaults to 25% of bid-ask spread; commission defaults to $0.65 per leg. Both are user-configurable per observation.

Dataset schema

The observation schema is published as a versioned JSON Schema: screen-yield-vs-realized.json. Every observation contains the fields listed there. The schema is governed by the methodology version and bumped semver-style when materially changed.

Public exports

The complete observation dataset is exportable at any time:

How to contribute

The observation ingest endpoint is gated by a server-held bearer token (held by the editorial team). External contributors can email [email protected] with proposed observations (matching the schema) and we will review and ingest. We do not accept self-reported results without source data.

Version history

Suggested citation (once published)

Dedhia, A. (Screen yield vs realized return). OptionIncomeTools Research. Retrieved from https://optionincometools.com/research/screen-yield-vs-realized/

See also: Research program · References & citations · Corrections log · Disclaimer.