Subject: Re: OT more on LEAPS
He's tested this strategy extensively, starting from early 2007 until the book was written

When was the book written? The SPY has been above the 200 day SMA almost always since Sept 2010. It's been a very unusually long bull market. A strategy needs to be backtested for much longer than a few years. A few atypical years.

I wonder where he got the historical data for option prices. Far out LEAPS have low volume and do not trade very often, so even if you could get actual trade prices the last trade may have been days or weeks old. For a backtest you'd need to estimate a price based on the contemporaneous bid & ask. Which I doubt exists.

Just now, looking at the SPY Dec'26 495 call, a trade on 4/18/24 was $90.35. A trade on 4/19 was $84.06.

I agree with your concern about ATM leaps.

DITM options are leverage. ATM options are a lottery ticket.