Best fool proof way to sell options is to really leverage up with commodity options. Sell ATM calls on natty gas on January 1st and ATM FCOJ calls same time. Really can't lose. Ask Cordier and Mortimer and Randolph Duke about it.
That's the curve at expiration. Not many options are held to expiration, with most traders preferring to close out their position before then. The more interesting graph is how it change over time.
Call on XYZ with strike 25, and the price is currently 30. Buying back the option costs the writer $500. Waiting until expiration costs the writer $3,000, which he needs to use to buy 100 shares. Letting an option expire requires way more collateral. It only makes sense if you have gobs of shares on hand, or gobs of cash to buy on close. The loss is the same, but the collateral is higher. (note that this is less a problem for futures options, which don't transact the underlying, and instead deliver a future).
options both long and short have unfavorable distributions. You ideally want to build strategies that build portfolios that take these skewed distributions and make them a more normal with some positive skewness.
I don't have data prior to 2018... would need to buy it from CBOE. But this includes the periods of volatility in Feb/Apr/Oct/Dec 2018 and the 2020 crash. The VIX calculation can be applied to any underlying but only SPX returns are negatively correlated to volatility over long periods. So when call IV > VIX EWMA, the program writes SPY calls, and when put IV < VIX EWMA, it writes puts.