How the books move with the S&P 500
Daily results of our same-day options book in backtesting have shown almost no linear relationship with the index. Books that also hold multi-day positions are more connected to it, especially in large selloffs.
0.03Daily correlation with the S&P 500, same-day book, 2023 to October 2026
0.02Beta: a 1% index move has lined up with about 0.02% on the book
0.25–0.27Daily correlation of the two more connected multi-day books, 2022 to October 2026
Same-day book
Index moves explain very little of the daily result.
Every book
Correlation differs by book and rises on big days.
The more connected books hold multi-day positions. In 2022 their beta reached 0.71 and 0.57, and their rolling correlation peaked near 0.7.
| Book | Daily correlation | Beta | Variance explained by index | Highest 63-day correlation | Correlation on ±1% days | Average on index's 20 worst days |
|---|---|---|---|---|---|---|
| Same-day book2023 to Oct 2026 | 0.03 | 0.02 | 0.1% | 0.40 | 0.14 | −0.08% |
| Book A2022 to Oct 2026 | 0.27 | 0.36 | 7.5% | 0.72 | 0.42 | −2.25% |
| Book B2022 to Oct 2026 | 0.25 | 0.28 | 6.1% | 0.68 | 0.39 | −1.99% |
| Book C2022 to Oct 2026 | −0.04 | −0.07 | 0.2% | 0.32 | 0.02 | +0.84% |
By year
2022 was the hardest test, and 2025 was the next most connected.
| Daily correlation | 2022 | 2023 | 2024 | 2025 | 2026 to date |
|---|---|---|---|---|---|
| Same-day book | not tested | 0.07 | −0.06 | 0.04 | 0.10 |
| Book A | 0.37 | 0.13 | 0.11 | 0.38 | 0.30 |
| Book B | 0.37 | 0.06 | −0.06 | 0.29 | 0.12 |
| Book C | −0.04 | −0.08 | −0.12 | 0.00 | 0.07 |
Worst index days
The five largest S&P 500 falls in the same-day test.
| Date | S&P 500 | Same-day book |
|---|---|---|
| April 4, 2025 | −5.97% | −0.63% |
| April 3, 2025 | −4.84% | −0.84% |
| April 10, 2025 | −3.46% | +0.36% |
| August 5, 2024 | −3.00% | +0.18% |
| December 18, 2024 | −2.95% | +0.94% |
Live trading
The live record is still too short to confirm this.
Over 42 sessions from September 1 to October 29, 2026, the two live accounts with enough history had daily correlations of −0.31 and −0.23 with the index, with a margin of error of about 0.15. Their betas were −1.64 and −2.56, measured against fixed account bases. Both accounts changed strategies during this period.