Short call (naked)
Sell a naked call: collect premium, unlimited risk above.
Payoff at expiry — live BTC example
- Sell 78,800 call
Entry greeks (per 1 BTC notional): Δ -0.206 · Γ -0.1478 per 1% · vega $-10.10/pt · theta $278.44/day
30-day backtest — daily expiries
real expired-contract marks · updated 2026-08-20| Underlying | Days | Win rate | Avg/day | Total | Profit factor | Max DD |
|---|---|---|---|---|---|---|
| BTC | 30 | 93% | +0.040% | +1.19% | 2.59 | 0.69% |
| ETH | 30 | 93% | +0.117% | +3.52% | 2.26 | 1.83% |
Daily-expiry replay: enter 24h before settlement at the mark close, settle at intrinsic vs the 11:00 UTC spot close. Mark fills, no fees or spread. P&L in % of entry spot per 1 unit of notional. Past performance of a mechanical replay is not indicative of future results.
How it works
You collect the premium up front and keep all of it if price finishes below the strike. Above the strike, losses grow one-for-one with price — without limit.
When to use it
You expect price to stay below a level into expiry and IV is rich. On Delta, margin for naked short options is substantial.
Risks & management
Unlimited upside risk: a gap through the strike can exceed many multiples of the credit. Size small, define an exit level, or convert to a spread.
Related structures
Example built from live Delta Exchange BTC marks on the nearest constructible expiry; numbers refresh with the chain. Educational content, not investment advice.