am looking to backtest a strategy of systemic put buying on an equity index (e.g SPX Index) so say a strategy of buying 1Y 90% SPX Puts rolled 1 day prior to expiry.
As opposed to only calculating the intrinsic value of the option prior to rolling (ITM/OTM/ATM), I would like to calculate the monthly MtM of the strategy so I can get exposure to the vega/delta effects.
Am able to calculate the price of the option at the end of each month via BSM as a function of Spot,Time,Vol while keeping the initial strike constant but am having issues with how to best calculate the Monthly Returns of the option since a simple % chng from the option price is going to have especially outsized % p/ls which isnt entirely representative.
Any help would be appreciated! Thanks.