- Over 16 years, systematically buying at-the-money calls on the SPX monthly expiration produced +$293,167: positive expectancy (+$1,527 per trade), a Profit Factor of 1.79, and a maximum loss per trade always equal to the premium paid.
- It is the exact mirror image of the naked call selling analyzed in the companion article: same dataset, opposite side. The seller ended at −$294,097, the buyer at +$293,167. The difference (~$930) is transaction costs.
- But the distribution is brutal: a 49.5% win rate, a negative median trade (−$94), and 88% of the profit came from the 10 best trades out of 192. Remove the best 20 and the total becomes −$78,987.
- The two most profitable trades (+$47,915 and +$39,252) were opened right after the crashes — April 2025 and March 2020 — when implied volatility was at its peak and buying felt scariest.
- Beyond the systematic strategy, a long call has "surgical" uses that no linear instrument can replicate: LEAPS to go long with a quarter of the capital and no margin, short-dated calls at support levels as a long position with a gap-proof airbag, and the Poor Man's Covered Call.
In the article on selling calls the verdict was unequivocal: systematic naked selling burned −$294,097 over 16 years, with its last equity high dating back to August 2010. I closed by noting that the options market is a zero-sum game (minus costs): if the seller of those calls lost nearly three hundred thousand dollars, someone on the other side of the table collected them. Today's question is inevitable: what if that someone were us? Is it worth buying call options? Textbook wisdom says no: "option buyers pay implied volatility that's richer than realized, theta bleeds them dry, most options expire worthless." As always, I test the maxims: same 16-year dataset, same monthly expiration, same 0.5-delta call — bought instead of sold.
What buying a call really means
A call option is a bet on the upside: the buyer pays a premium up front and acquires the right — with no obligation whatsoever — to collect at expiration the difference between the index level and the strike, if positive. On SPX settlement is in cash: $100 for every index point above the strike.
The buyer's profile is the exact reverse of the seller's: maximum loss = the premium, not a cent more, no matter what the market does — no margin, no margin calls, no gap risk. Maximum gain = theoretically unlimited: there is no ceiling on how high an index can go. And gamma, which was a curse for the seller, works in your favor here: the more the market rises, the more the position's delta climbs toward 1, and gains accelerate instead of leveling off.
The cost of this favorable asymmetry has a precise name: theta. Every day that passes without the market moving, the option loses time value. A one-month ATM call on SPX costs on average 1.5% of notional: it is monthly rent paid to keep the possibility of a rally open. If the market stays flat, or rises less than the premium, that rent is gone. So the question in the title boils down to this: over the long run, does the equity drift pay more theta than it consumes?
Payoff at expiration — buying an ATM call (example using the backtest's average values)
Strike 5,000, premium 48 points ($4,800). On the left, a flat floor — the premium is all you can lose. On the right, no ceiling: every point above breakeven (strike + premium) is worth $100.
The strategy: 0.5-delta calls, every month, since 2010
The strategy tested is the purest, most systematic version possible — and it is the very same trade as in the selling article, with the sign flipped: every month you buy 1 at-the-money call (delta ≈ 0.5, strike essentially at the price) on the standard SPX monthly expiration — the third-Friday one — and hold it to expiration. No stop-loss, no take-profit, no discretion: entry happens right after the previous cycle expires, about 30 days before the next one.
The buyer pays on average $4,804 per trade — the "full" premium of a one-month ATM option — and bets that within thirty days the index will rise above the strike by more than the premium paid. 192 trades, from January 2010 to December 2025, one for each monthly expiration, no month skipped.
Parameters observed in the backtest
| Underlying | $SPX (index, cash-settled) |
| Direction | Call buying (long) |
| Size | 1 fixed contract (×100) |
| Selection criterion | Delta 0.50 (at-the-money) |
| Average premium paid | $4,804 (48 pts) |
| Days to expiration | 27–32 (monthly cycle) |
| Management | None — held to expiration |
| Trades | 192 |
| Capital at risk per cycle | Premium only — no margin |
Over 16 years, systematically buying ATM calls produced +$293,167, with a Profit Factor of 1.79 and an expectancy of +$1,527 per trade. Risk per trade always stayed pinned to the premium: the worst loss of the 192 trades is −$11,616, exactly what was paid at entry. But be careful not to read these numbers as an annuity: half the trades lose, the median trade is in the red, and the profit is concentrated in a handful of explosive months. If you can't stomach the distribution, you don't collect the total.
The equity line: the market's faithful shadow
The chart below puts the strategy's equity (green) next to the SPX level (gold). Where the seller's curve was the mirror image of the index, the buyer's is its faithful shadow: SPX goes from ~1,150 to ~6,835 points (+494%), and anyone who bought calls every month rode that climb one premium at a time, reaching +$293,167. A long ATM call is a long exposure with ~0.5 delta that feeds on itself in rallies: gamma pushes delta toward 1 exactly when you need it.
Call-buying equity line (green) vs SPX level (gold)
The right way to read it: the strategy doesn't "beat" the index — it captures roughly half of its move (see below) — but it does so while risking at most 1.5% of notional each month, with no margin and no crash exposure.
The trade sequence: many small losses, a few huge wins
P&L of the 192 trades in sequence
The red bars all have the same size — the premium is an unbreakable floor. The green bars don't: they have no ceiling. It is the exact reverse of the chart in the selling article.
Three numbers to read this chart. First: 62 calls out of 192 (32.3%) expired completely worthless — premium entirely lost. So much for the "90% of options expire worthless" quoted in textbooks: in real data for a monthly ATM it's one in three, not nine in ten. Second: another 35 trades finished in-the-money but below breakeven — the index had risen, just not enough. Third, and most instructive: 37 trades were lost with SPX up. That's theta at work: buying a call isn't betting that the market will rise, it's betting it will rise more than the premium already prices in.
Anatomy of the profit: 88% comes from 5% of trades
This is where the backtest stops being good news and becomes a lesson. If the median is negative and you win one month out of two, where do three hundred thousand dollars come from? From the right tail. The experiment that follows is the most important in the entire study: I recalculated the equity after removing the 10 best trades from the sample — 5.2% of all trades.
Full equity vs equity without the 10 best trades
+$293,167 → +$33,892. The 10 best trades are worth $259,275, 88.4% of the total profit. Remove the best 20 and the total drops to −$78,987.
And here they are, the ten months that paid for everything else — or at least the top six:
| Entry | Strike | Premium paid | SPX entry → expiration | SPX chg. | P&L | Context |
|---|---|---|---|---|---|---|
| 2025-04-17 | 5,305 | $15,410 | 5,283 → 5,938 | +12.4% | +$47,915 | Rebound after the tariff crash |
| 2020-03-20 | 2,335 | $12,815 | 2,305 → 2,856 | +23.9% | +$39,252 | COVID V-bottom, unlimited QE |
| 2022-07-18 | 3,845 | $9,910 | 3,831 → 4,258 | +11.2% | +$31,408 | Bear market rally, summer 2022 |
| 2024-04-19 | 4,975 | $9,120 | 4,967 → 5,313 | +7.0% | +$24,689 | Recovery after a correction |
| 2025-06-20 | 5,980 | $11,195 | 5,968 → 6,324 | +6.0% | +$23,160 | Mid-2025 rally |
| 2021-03-19 | 3,920 | $6,000 | 3,913 → 4,191 | +7.1% | +$21,122 | Post-COVID bull market |
And the worst losses? The table is reassuringly boring: the largest is −$11,616, and in every single case the loss equals the premium paid — whether the index fell 6.5% or 0.3%. For the call buyer, disaster has a list price known before entering. In the selling article, the same column contained losses of up to 3 times the premium collected, arriving at the worst possible moments to react. That's the structural difference between the two sides: the buyer knows the maximum loss on the day of entry; the seller finds it out with the market open.
Distribution of P&L per trade ($2,500 buckets)
The mode is in the −$2,500/0 bucket (51 trades). The left tail stops abruptly at −$12,500 — the premium floor — while the right one stretches all the way to +$47,915. Skewness +2.1: the mathematical signature of "lose small often, win big rarely."
The price to pay: long drawdowns and streaks of burned premiums
If the distribution is skewed in your favor, where's the catch? In the sequence. Between one explosive trade and the next, years of burned premiums can go by, and the data show it without sugarcoating: the worst streak is 7 consecutive losses — from November 2021 to May 2022, −$62,371 — against a maximum winning streak of just 4. The deepest drawdown hits −$69,165 between December 2021 and July 2022, and full recovery only comes in December 2023. And the longest drawdown is a different one: 810 days — from November 2014 to February 2017 — 27 months in which the "buy the call and wait" plan produced nothing but receipts for lost premiums. Overall, the strategy spent 90.8% of days below a prior equity high.
Daily mark-to-market equity (2010–2025)
Drawdown: distance from the prior equity high
Max DD −$69,165 (Dec 2021 → Jul 2022, recovered Dec 2023) · longest DD 810 days (Nov 2014 → Feb 2017) · time in drawdown 90.8%. The strategy makes money, but almost always lives below a prior high: that's the physiology of a tail-driven distribution.
⚠️ Quit during the drawdown and you never collect the tail
The number-one risk of this strategy isn't in the markets: it's in behavior. Anyone who gave up after the 7 burned premiums of 2021-2022 would have missed the +$31,408 of July 2022; anyone who quit in the 2014-2016 desert would have missed the 2017-2019 three-year stretch (+$71,541 in total by exit date). In a strategy where 88% of the profit comes from 5% of the trades, skipping the wrong months is the same as erasing the result. The losing streak is the entrance exam: fail it and you don't collect the wins.
Year by year: the theta bill and the gifts of rebounds
P&L by calendar year (by trade close date)
13 positive years out of 16. The negative ones: 2015 (−$9,817, a sideways year), 2018 (−$4,334) and 2022 (−$37,364, bear market). The golden years are rebounds and trends: 2020 (+$71,732), 2023 (+$51,191), 2019 (+$41,442).
The annual view confirms the nature of the position: you make money in trends and V-shaped rebounds, and you pay the bill in sideways years (theta) and in bear markets (premiums burned month after month). But here too the comparison with the linear alternative is instructive: in 2022 the strategy lost $37,364, while an equivalent index exposure ($100/point) lost about $93,000. Buying calls is a way of being long that defends itself in bad years — and you pay for that protection in flat years.
The real comparison: long call vs owning the index
| Metric | Monthly ATM call buying | Equivalent long SPX ($100/pt) |
|---|---|---|
| Total P&L 2010–2025 | +$293,167 | +$574,601 |
| Share of the move captured | 51% | 100% |
| Capital at risk per cycle | $4,804 (average premium) | notional: $115,000 → $683,000 |
| Maximum possible loss | the premium, known in advance | the entire notional, in theory |
| Max drawdown over the period | −$69,165 | ~−$103,000 (COVID, −31% from entry levels) |
| Margin | none — you only pay the premium | full (or leveraged on margin) |
| Behavior in crashes | loss capped at the premium (~1.5%/month) | full participation in the decline |
Over 16 years the call buyer spent a total of $922,375 in premiums and got back $1,215,542: a 31.8% return on the capital actually put at risk. They captured half of the index's move while paying, in exchange, for permanent crash insurance: in March 2020, while the index holder watched a third of their capital evaporate, the call buyer lost that month's premium (−$4,886) and with the next trade — bought at the lows — collected +$39,252. 51% of the upside for a fraction of the risk: for many portfolios that's a more than reasonable trade-off.
Beyond the backtest: the surgical uses of a long call
The backtest measures mechanical, unconditional buying — every month, no matter what. It's the toughest test possible, and the strategy passed it. But in practice no experienced trader uses calls that way: they use them where their three unique properties — predefined risk, leverage without margin, convexity — are worth more than the theta they cost. Four uses stand out above all.
1 · LEAPS: high conviction with a quarter of the capital
LEAPS (calls expiring in 12-24 months or more), bought deep in-the-money (0.80-0.90 delta), replicate a stock's move almost point for point while tying up a fraction of the capital: it's the stock replacement technique. If you're strongly bullish on a stock, you have three alternatives:
100 shares at $100
| Capital committed | $10,000 |
| Maximum risk | $10,000 |
| Delta | 1.00 |
| Expiration | none |
12m LEAPS, strike 80
| Capital committed | ~$2,300 |
| Maximum risk | $2,300 |
| Delta | ~0.85 |
| Theta | low (almost all intrinsic) |
12m LEAPS, strike 100
| Capital committed | ~$1,000 |
| Maximum risk | $1,000 |
| Delta | ~0.55 |
| Profile | maximum convex leverage |
12-month payoff: 100 shares vs deep ITM LEAPS vs ATM LEAPS
Below ~77 the ITM LEAPS always loses less than the shares; above breakeven it participates almost 1:1 in the upside. The shareholder, on the other hand, participates in the entire decline — all the way to zero.
The structural advantages: the uncommitted capital ($7,700 in the example) stays free and investable; there is no margin and no margin call — the premium is paid once and the position can never ask for more money; if the stock crashes 60% on a profit warning, the shareholder loses $6,000, the LEAPS buyer at most $2,300. The costs to be aware of: no dividends (they're already priced into the option), wider bid-ask spreads than the stock, and expiration is real — if the thesis takes three years and the LEAPS lasts one, you pay to roll it.
2 · Short-dated calls at support: the long with an airbag
The opposite use in terms of horizon: the stock reaches a solid support — a level defended several times, a long-term moving average, the edge of a multi-year range. The textbook says: buy with a stop just below support. But a stop-loss has a flaw anyone who's used one knows: it doesn't protect against gaps. If support breaks with an 8% gap down at the open, the stop fills where it can, not where it should. A long call replaces the stop with a contractual floor: if support holds and the stock bounces, a 30-45 day ATM call multiplies the premium 2-4 times; if support gives way — even with a devastating gap, even while markets are closed — the loss is the premium. Period. The price of the airbag is the usual one: if the stock stays glued to support without moving, the premium evaporates. At levels where you expect either a bounce or a violent break — in other words, movement — it's exactly the profile you want.
3 · Poor Man's Covered Call: LEAPS as an income engine
A third use, which ties this article back to the Covered Call in the companion article: a deep ITM LEAPS can replace the underlying inside a systematic selling structure. You buy a 12+ month call with ~0.80 delta and sell monthly OTM calls against it: that's the Poor Man's Covered Call (technically a diagonal spread). Compared with the classic covered call: 4-5 times less capital committed and maximum risk equal to the net cost of the structure — whereas the covered call, as we saw in the data, is equivalent to a short put and in crashes loses like the underlying (−$90,203 in the worst cycle of 2025). The flip side: no dividends, and rolling has to be managed with skill. But the conceptual point is powerful: a long-dated long call isn't just a directional trade — it's a building block for defined-risk structures.
4 · Replacing big winners: taking profits without getting off the train
The last use, rarely mentioned and very practical. A stock in the portfolio has run up 60% and now carries too much weight; discipline says trim, your view says it can keep going. The solution: sell the shares and replace them with 6-12 month calls for a fraction of the proceeds. The profit is locked in the safe, the upside exposure remains, and if the stock pulls back 30% the damage is the premium. It's the only instrument that turns an open profit into a realized profit without closing the position.
So, is buying calls worth it?
✓ Systematic on an index: yes, with discipline
- +$293,167 over 16 years, Profit Factor 1.79, 13 positive years out of 16
- Loss per trade always = premium: no margin, no left tail
- Aligned with the drift: SPX rises in 69% of months — and you're there every time
- Favorable skew: you pay the leanest premium in the chain
- In crashes it loses ~1.5%/month where the index loses 30%
⚠ But only if you accept its physiology
- Half the trades lose; the median trade is in the red (−$94)
- 88% of the profit comes from 5% of the trades: skipping the "ugly" months erases the result
- Streaks of 7 burned premiums in a row and 810 days of drawdown: 91% of the time below the highs
- In a sideways decade (e.g. 2000-2009) theta would present a very different bill
- It captures 51% of the upside: it doesn't replace buy & hold, it insures it
The backtest's answer is clear-cut, and it overturns a cliché. "Option buyers lose" is a maxim the data don't confirm on the call side of an equity index: 192 real trades, +$293,167, and the zero-sum twin of the selling article — what the naked seller lost, the buyer collected, to the cent minus costs. The engine is structural: the secular drift of equities, bought with the cheapest premium in the chain thanks to skew. But the strategy only pays those who accept its distribution: a negative median, long deserts of burned premiums, and the whole harvest concentrated in a few explosive months that no discretionary filter would have picked. And as a surgical tool — high-conviction LEAPS, calls at support, PMCC, replacing winners — the long call offers something no linear instrument can replicate: contractual certainty about the maximum loss, paid for with a known premium. The seller collects up front and hopes; the buyer pays up front and knows.
How I use long calls in my portfolios
As with selling puts and the covered call, the "pure" backtest is the starting point, not the destination. In my portfolios long calls never appear as an isolated bet: they show up in the uses described above — as a substitute for the underlying in defined-risk structures, as an exposure vehicle in the regimes my models classify as favorable, and as insurance on winning positions. Regime selection — when to pay theta and when not to — is what separates the backtest from a mature trading operation, and it's too involved for a single article.
If you're curious, feel free to write to me: I'm happy to answer at info@kriterionquant.com. And if you want to see how I apply the same rigor to the equity side, you can start with algorithmic trading: two different engines that complement each other.
How we ran the numbers
Methodology. Backtest on real historical options data for the S&P 500 index ($SPX), 2010-01-04 to 2025-12-31, daily mark-to-market equity (5,841 observations), 1 contract per cycle, ×100 multiplier, cash settlement at expiration. The strategy trades the standard monthly expiration (third Friday, moved to Thursday in holiday weeks): 192 cycles, one expiration per month, no month skipped. Purchase of 1 ATM call (delta ≈ 0.5), entry right after the previous cycle's expiration (27–32 days to expiration), held to expiration with no management at all. The last cycle, expiring in January 2026, is marked to market as of 2025-12-31. It is the same dataset as the call-selling article, opposite side: the results are mirror images net of costs. Drawdown is calculated as the distance from the prior cumulative high on the daily series; Sharpe (0.59) and Sortino (0.89) on daily equity changes (rf=0, annualized over 252 days); Net Profit/MaxDD 4.24; MAR 0.26; annual P&L volatility $21,529. Annual P&L is aggregated by trade close date, as in the companion article. The buy & hold comparison uses a linear exposure of $100/point between the first entry and the last close, excluding dividends. The sections on alternative uses (LEAPS, support levels, PMCC, replacement) are illustrative and were not backtested in this study. Commissions are included in the source P&L, before taxes.
This article is also available in Italian.