Overnight carry: can an option buyer capture Nifty's next-day gap by buying near the close?
Built 2026-10-21 17:26 IST. Research only, not advice. Companion to last30-carryover. Data: Nifty 1-min spot (Upstox) and 1-min weekly option prices for expiries 2024-10-03 → 2026-10-06 (S3 analyticsdata123 options/1m, including the live/2026-10-06 file). 498 entry days from 2024-08-23 to 2026-09-30.
Plain-language summary
Verdict: FAIL. Buying an option near the close and selling it at the next day's open does not capture the overnight gap after costs. Of 1440 rule variants, 0 passed the robustness filter (profitable in both train and test halves, better than 95% of random same-size entry sets, at least 20 trades).
- Data note (frozen closing window): the index is flat-filled 15:15–close on all 54 sessions since 2026-08-03 (NSE closing auction). Re-run with real index bars only (option bars were real): overnight and day-before-expiry verdicts unchanged (FAIL). details.
- Holding overnight costs money every day. Buy the ATM option at 15:25 (nearest weekly that doesn't expire that day) and sell at the 09:16 close the next day: CE every day averages -14.7 pts/trade (win 36%), PE every day -5.4 (win 40%), straddle every day -20.1 (win 16%). Before slippage and costs the moves are CE -7.6, PE +1.7 and straddle -6.0 pts. Even though Nifty gaps up about 60% of days, the CE loses before costs. That is overnight time decay plus the option losing its time value at the open, which the gap doesn't make up. Exiting on the 09:15 open, or using ITM, next-weekly, 15:20 or 15:28, changes the size of the loss but never makes it a profit.
- Day direction (up day → CE, down day → PE): -7.6 pts/trade over 497 trades (train -743, test -3015). It beats the random baseline (percentile 82 of 100), so the day-direction effect on the gap is real, but it is far too small to pay for the option's overnight decay plus 6 pts slippage.
- last30 direction, fade, and the combos all lose with any meaningful number of trades. The only profitable families are the tiny ones: last30 above +0.5% at entry (8–13 trades) and down day with last30 above +0.3% (2–7 trades). With 1440 variants tested, 116 beating 95% of random is about what chance alone would produce (72 expected). The 78 that were also positive in both halves all have fewer than 20 trades.
- Today's setup (21 Oct): at 15:25 you could see a -0.66% day and last30 of +0.24%. The +0.57% only appeared in the 15:29 closing print, after any 15:20–15:28 entry. Historical CE trades with a down day and last30 of +0.1–0.3% at 15:25: n=32, average -15.4 pts, median -15.3, win 34%. The rarer case with last30 above +0.3% at entry made +24.8 pts on average, but that is only 7 trades.
- Fridays and holidays: holding over a weekend or holiday is less bad per trade than a single night (CE -10.4 vs -16.0; PE -2.8 vs -6.2). The market already prices weekend decay into Friday afternoon. It is still negative.
- Look-ahead warning (fixed): a first run used the 15:29 close as the signal for 15:20–15:28 entries. That made last30 momentum look profitable, and it was discarded. All results here use only information available at the entry minute: last30 = price at entry / 14:59 close, day return = price at entry / previous 15:29 close.
- Day before expiry (section): 103 pre-expiry entries. CE every day -29.5, PE +0.7 (p=0.91), straddle -28.7 pts/trade with the contract expiring next day. 1 of 480 variants passed, which is chance level. FAIL. Tomorrow (2026-10-22) is not a pre-expiry day.
Data note: frozen closing window (added 2026-10-21) and corrected numbers
What happened: NSE's Closing Auction Session (CAS) went live in the cash market on 2026-08-03. For F&O stocks, continuous trading ends at 15:15, the auction runs 15:15–15:30 (random close 15:28–15:30), and the official close comes from the auction. The Nifty/Sensex spot value therefore stops moving at 15:15. Upstox (historical and live) fills 15:15–15:27/15:28 with flat O=H=L=C bars, then one bar jumps to the closing print. Those flat bars are not trades. Index options and futures keep trading until 15:40, and their bars are real: on 14 frozen days checked, near-ATM option bars from 15:15 to 15:29 had 0% flat repeats and normal volume.
Scope (Upstox HISTORICAL candles only): Nifty, 54 of 54 sessions from 2026-08-03 to 2026-10-19 (0 before Aug 2026); the last real minute is 15:14 on every one, and the closing print equals the Upstox daily close on all 54. Sensex: 53 of 53 post-Aug sessions (2 print/daily mismatches). Also, Nifty 2022-03-07 09:37–10:21 had flat-filled morning bars, now marked missing. The earlier "26 days" count missed the variant where the jump lands in the 15:28 bar. 2026-10-21 (today) is pending: Upstox has not published historical candles for it yet, intraday-feed bars are not used, and it will be added when historical data is available.
Rule applied (helper /workspace/research/common/clean_close_window.py): frozen and closing-print bars are set MISSING, never filled. last30 = last REAL close / 14:59 close (15:29 on normal days, 15:14 on frozen days). A separate variant runs to the Upstox daily (official) close. Any day missing a needed bar is excluded. For 15:20/15:25/15:28 option entries, the signal and ATM strike use the last real index bar at or before entry (15:14 on frozen days). Option entry bars are checked for flat-fill (none found). Results are also shown with all frozen days excluded.
Verdicts unchanged: overnight carry FAIL; day-before-expiry FAIL. On frozen days the old run read the 15:20/15:25/15:28 index from flat-filled bars. The clean run uses the last real bar (15:14). The option prices were real all along, so the numbers barely move.
| run | variants | positive | beat95 | robust_pass |
|---|
| overnight, previous | 1440 | 283 | 116 | 0 |
| overnight, clean | 1440 | 269 | 99 | 0 |
| overnight, clean, frozen days excluded | 1440 | 268 | 89 | 0 |
| pre-expiry, previous | 480 | 51 | 3 | 1 |
| pre-expiry, clean | 480 | 53 | 5 | 2 |
| pre-expiry, clean, frozen excluded | 480 | 53 | 3 | 1 |
Headline (15:25 ATM, nearest non-same-day weekly, exit 09:16): previous vs clean vs frozen days excluded
| signal | X | trades old | avg old | total old | trades clean | avg clean | total clean | pctile_vs_random | trades excl frozen | avg excl frozen | total excl frozen |
|---|
| CE_all | 0.0 | 498 | -14.7 | -7300.5 | 492 | -14.7 | -7208.4 | | 450 | -13.4 | -6050.4 |
| PE_all | 0.0 | 496 | -5.4 | -2660.9 | 493 | -5.3 | -2625.4 | | 451 | -6.3 | -2855.6 |
| STRADDLE_all | 0.0 | 495 | -20.1 | -9949.5 | 489 | -20.1 | -9838.4 | | 447 | -19.9 | -8910.4 |
| last30_mom | 0.1 | 205 | -13.5 | -2773.2 | 202 | -13.8 | -2779.6 | 17.5 | 197 | -14.2 | -2791.5 |
| last30_fade | 0.1 | 205 | -7.3 | -1492.9 | 204 | -7.0 | -1423.0 | 75.8 | 199 | -6.4 | -1268.4 |
| day_mom | 0.0 | 497 | -7.6 | -3757.5 | 494 | -6.5 | -3221.6 | 89.3 | 452 | -6.5 | -2938.4 |
| day_mom | 0.1 | 441 | -6.7 | -2972.7 | 437 | -5.9 | -2597.5 | 92.3 | 399 | -5.9 | -2345.0 |
| downday_last30up_CE | 0.1 | 39 | -8.2 | -318.8 | 32 | -7.0 | -224.4 | 78.2 | 31 | -7.9 | -244.0 |
Day-before-expiry: variants passing the strict filter on cleaned data
| signal | X | strike | expiry | exit | trades | win_pct | avg | median | total | tot_train | tot_test | pctile_vs_random |
|---|
| last30_fade | 0.1 | ATM | following weekly | 09:15o | 42 | 40.5 | 4.2 | -3.6 | 177.4 | 42.9 | 134.5 | 95.8 |
| last30_fade | 0.1 | ITM1 | following weekly | 09:15o | 41 | 53.7 | 4.3 | 0.5 | 176.8 | 122.8 | 54.0 | 97.4 |
These variants are the same last30-fade (0.1%) family that passed one variant before. With 480 tests, 5 beat 95% of random sets vs about 24 expected by chance. They only work with a 09:15 first-print exit, and every 09:16-or-later exit of the same signal loses. This is WATCH at most, not a rule. With frozen days excluded, 1 variant passes.
Clean CSVs: clean_overnight_summary.csv, …_exclfrozen.csv, clean_pre_overnight_summary.csv, …_exclfrozen.csv, nifty_frozen_days.csv.
Headline: entry 15:25 at that minute's close + 3 pts, ATM, nearest non-same-day weekly, exit next day 09:16 close − 3 pts
Points are per unit, after 3 pts slippage per leg plus ₹40 brokerage, STT, exchange and SEBI fees, stamp duty and GST (lot 25/75/65 by period). X = threshold in %. Signals use only data up to 15:25. Train = entries 2024-08 to 2025-06; test = 2025-07 to 2026-09. "pctile_vs_random" = rank of the total among 2,000 random same-size sets drawn from every-day entries of the same option side(s). avg_raw = average before slippage and costs.
| signal | X | trades | win_pct | avg | median | total | max_dd | avg_raw | tot_2024 | tot_2025 | tot_2026 | tot_train | tot_test | pctile_vs_random | avg_1night | n_weekend_holiday | avg_weekend_holiday | n_fri | avg_fri |
|---|
| CE_all | 0.0 | 498 | 36.1 | -14.7 | -16.2 | -7300.5 | 7323.3 | -7.6 | -924.6 | -2304.5 | -4071.4 | -1806.7 | -5493.8 | | -16.0 | 119 | -10.4 | 95 | -15.9 |
| PE_all | 0.0 | 496 | 39.5 | -5.4 | -11.8 | -2660.9 | 3104.6 | 1.7 | -218.4 | -2372.0 | -70.6 | -1767.8 | -893.1 | | -6.2 | 119 | -2.8 | 95 | 2.0 |
| STRADDLE_all | 0.0 | 495 | 16.2 | -20.1 | -24.2 | -9949.5 | 9949.5 | -6.0 | -1131.0 | -4676.5 | -4142.0 | -3562.6 | -6386.9 | | -22.3 | 119 | -13.2 | 95 | -13.9 |
| last30_mom | 0.1 | 205 | 32.7 | -13.5 | -17.7 | -2773.2 | 2883.6 | -6.5 | -258.1 | -1035.2 | -1479.9 | -1105.8 | -1667.5 | 19.5 | -14.7 | 52 | -10.0 | 40 | 1.3 |
| last30_mom | 0.3 | 36 | 44.4 | -14.2 | -11.3 | -510.8 | 808.2 | -7.1 | 163.4 | -194.2 | -480.0 | -30.0 | -480.8 | 35.2 | -25.8 | 12 | 8.9 | 10 | 12.1 |
| last30_mom | 0.5 | 8 | 50.0 | 15.1 | -2.0 | 121.2 | 245.6 | 22.2 | 13.2 | 61.4 | 46.6 | 91.8 | 29.3 | 88.2 | -12.7 | 3 | 61.5 | 3 | 61.5 |
| last30_fade | 0.1 | 205 | 41.5 | -7.3 | -8.4 | -1492.9 | 1784.1 | -0.2 | 119.5 | -1079.2 | -533.2 | -231.9 | -1261.0 | 74.5 | -9.8 | 52 | 0.1 | 40 | -11.7 |
| last30_fade | 0.3 | 36 | 44.4 | -17.9 | -22.1 | -645.9 | 678.0 | -10.8 | -155.3 | -261.0 | -229.6 | -272.6 | -373.2 | 20.7 | -13.1 | 12 | -27.6 | 10 | -31.9 |
| last30_fade | 0.5 | 8 | 37.5 | -51.0 | -49.9 | -407.9 | 475.4 | -44.0 | 8.2 | -240.4 | -175.7 | -202.7 | -205.2 | 2.1 | -34.8 | 3 | -78.0 | 3 | -78.0 |
| day_mom | 0.0 | 497 | 40.6 | -7.6 | -11.0 | -3757.5 | 4218.8 | -0.5 | 226.1 | -1936.6 | -2047.0 | -742.8 | -3014.7 | 82.0 | -10.7 | 119 | 2.4 | 95 | 11.1 |
| day_mom | 0.1 | 441 | 41.5 | -6.7 | -9.4 | -2972.7 | 3554.7 | 0.3 | 240.1 | -1434.3 | -1778.6 | -620.7 | -2352.1 | 86.0 | -10.0 | 106 | 3.6 | 88 | 12.4 |
| day_mom | 0.3 | 333 | 42.0 | -5.0 | -7.7 | -1655.5 | 2322.6 | 2.1 | 478.1 | -708.4 | -1425.2 | -61.1 | -1594.4 | 93.5 | -10.0 | 82 | 10.3 | 70 | 19.8 |
| day_mom | 0.5 | 231 | 42.9 | -5.2 | -7.7 | -1194.8 | 2224.3 | 1.9 | 385.8 | 34.2 | -1614.8 | 262.7 | -1457.6 | 90.5 | -11.4 | 64 | 11.2 | 53 | 22.6 |
| day_fade | 0.0 | 497 | 35.0 | -12.5 | -15.6 | -6203.9 | 6342.0 | -5.4 | -1369.1 | -2739.9 | -2095.0 | -2831.8 | -3372.1 | 18.9 | -11.5 | 119 | -15.6 | 95 | -25.0 |
| day_fade | 0.3 | 333 | 33.6 | -14.9 | -16.6 | -4959.5 | 4966.8 | -7.9 | -977.8 | -2510.5 | -1471.2 | -2153.2 | -2806.3 | 7.2 | -12.9 | 82 | -21.0 | 70 | -30.6 |
| combo_up_CE | 0.1 | 47 | 27.7 | -27.0 | -23.6 | -1267.4 | 1359.5 | -20.0 | 32.0 | -425.1 | -874.3 | -308.6 | -958.8 | 6.0 | -24.6 | 8 | -38.3 | 8 | -38.3 |
| combo_up_CE | 0.3 | 9 | 44.4 | -7.4 | -0.4 | -66.7 | 175.0 | -0.1 | 91.3 | -175.0 | 17.0 | -15.3 | -51.5 | 65.8 | -7.9 | 3 | -6.5 | 3 | -6.5 |
| combo_up_CE | 0.5 | 2 | 50.0 | -2.0 | -2.0 | -4.0 | 17.2 | 4.9 | 13.2 | -17.2 | 0.0 | 13.2 | -17.2 | 67.3 | 13.2 | 1 | -17.2 | 1 | -17.2 |
| combo_down_PE | 0.1 | 77 | 31.2 | -5.0 | -21.6 | -385.4 | 589.0 | 2.0 | 9.0 | -393.5 | -0.9 | -352.3 | -33.1 | 55.5 | -13.6 | 23 | 15.3 | 18 | 39.2 |
| combo_down_PE | 0.3 | 16 | 25.0 | -34.1 | -47.4 | -545.5 | 638.5 | -27.2 | 0.0 | -98.9 | -446.6 | -129.9 | -415.6 | 2.8 | -56.1 | 5 | 14.4 | 4 | 37.9 |
| combo_down_PE | 0.5 | 4 | 25.0 | -5.4 | -31.3 | -21.6 | 245.6 | 1.6 | 0.0 | 0.0 | -21.6 | 0.0 | -21.6 | 51.2 | -111.7 | 2 | 100.9 | 2 | 100.9 |
| combo_both | 0.1 | 124 | 29.8 | -13.3 | -21.7 | -1652.8 | 1775.2 | -6.3 | 40.9 | -818.5 | -875.2 | -660.9 | -991.9 | 27.1 | -18.3 | 31 | 1.5 | 26 | 15.4 |
| combo_both | 0.3 | 25 | 32.0 | -24.5 | -27.9 | -612.2 | 794.5 | -17.4 | 91.3 | -273.9 | -429.6 | -145.2 | -467.1 | 11.2 | -39.1 | 8 | 6.5 | 7 | 18.9 |
| combo_both | 0.5 | 6 | 33.3 | -4.3 | -19.7 | -25.6 | 245.6 | 2.7 | 13.2 | -17.2 | -21.6 | 13.2 | -38.9 | 62.5 | -70.1 | 3 | 61.5 | 3 | 61.5 |
| downday_last30up_CE | 0.1 | 39 | 43.6 | -8.2 | -12.4 | -318.8 | 408.5 | -0.9 | -206.4 | -32.8 | -79.5 | -256.8 | -62.0 | 76.6 | 1.6 | 12 | -30.3 | 8 | -6.8 |
| downday_last30up_CE | 0.3 | 7 | 85.7 | 24.8 | 19.7 | 173.8 | 36.8 | 32.1 | 6.2 | 79.7 | 87.9 | 49.3 | 124.5 | 95.8 | 46.2 | 3 | -3.6 | 3 | -3.6 |
| downday_last30up_CE | 0.5 | 2 | 100.0 | 73.4 | 73.4 | 146.8 | 0.0 | 80.7 | 0.0 | 78.6 | 68.2 | 78.6 | 68.2 | 97.0 | 73.4 | 0 | | 0 | |
Same, exiting at the 09:15 first-bar open − 3 pts
| signal | X | trades | win_pct | avg | median | total | max_dd | avg_raw | tot_2024 | tot_2025 | tot_2026 | tot_train | tot_test | pctile_vs_random | avg_1night | n_weekend_holiday | avg_weekend_holiday | n_fri | avg_fri |
|---|
| CE_all | 0.0 | 498 | 31.5 | -9.8 | -8.7 | -4865.0 | 4865.0 | -2.7 | -712.6 | -1900.1 | -2252.3 | -1821.7 | -3043.3 | | -10.1 | 119 | -8.6 | 95 | -10.6 |
| PE_all | 0.0 | 498 | 32.9 | -6.8 | -8.4 | -3402.2 | 3603.3 | 0.2 | -337.5 | -2457.1 | -607.5 | -1860.4 | -1541.8 | | -7.1 | 120 | -6.1 | 96 | -3.9 |
| STRADDLE_all | 0.0 | 495 | 14.7 | -16.6 | -16.7 | -8214.9 | 8214.9 | -2.5 | -997.8 | -4357.2 | -2859.9 | -3629.8 | -4585.1 | | -17.2 | 119 | -14.7 | 95 | -14.4 |
| last30_mom | 0.1 | 205 | 33.2 | -10.5 | -10.8 | -2152.4 | 2225.7 | -3.4 | -420.7 | -662.5 | -1069.2 | -981.1 | -1171.4 | 22.1 | -10.0 | 52 | -11.9 | 40 | -3.7 |
| last30_mom | 0.3 | 36 | 30.6 | -10.7 | -9.6 | -383.7 | 572.4 | -3.5 | 46.7 | -114.2 | -316.3 | -24.5 | -359.2 | 39.0 | -21.8 | 12 | 11.7 | 10 | 17.5 |
| last30_mom | 0.5 | 8 | 12.5 | -7.0 | -10.9 | -55.9 | 239.0 | 0.0 | -9.0 | -22.8 | -24.1 | -29.6 | -26.3 | 55.5 | -47.8 | 3 | 61.0 | 3 | 61.0 |
| last30_fade | 0.1 | 205 | 34.1 | -5.8 | -8.1 | -1198.7 | 1502.3 | 1.2 | 153.2 | -995.3 | -356.6 | -433.8 | -764.9 | 79.6 | -7.6 | 52 | -0.7 | 40 | -9.9 |
| last30_fade | 0.3 | 36 | 36.1 | -7.3 | -7.1 | -263.5 | 459.3 | -0.2 | -44.6 | -239.4 | 20.5 | -226.1 | -37.4 | 55.6 | -3.1 | 12 | -15.8 | 10 | -18.7 |
| last30_fade | 0.5 | 8 | 25.0 | -15.8 | -7.1 | -126.2 | 310.4 | -8.7 | 0.8 | -180.9 | 53.9 | -167.6 | 41.4 | 30.2 | 2.2 | 3 | -45.7 | 3 | -45.7 |
| day_mom | 0.0 | 498 | 37.1 | -4.5 | -5.6 | -2227.6 | 2541.3 | 2.6 | 213.6 | -1465.9 | -975.3 | -616.6 | -1611.0 | 96.3 | -6.2 | 119 | 1.1 | 95 | 7.0 |
| day_mom | 0.1 | 441 | 38.1 | -3.9 | -5.0 | -1711.4 | 2074.7 | 3.2 | 248.9 | -1145.5 | -814.8 | -516.0 | -1195.4 | 98.3 | -5.7 | 106 | 1.8 | 88 | 8.1 |
| day_mom | 0.3 | 333 | 39.0 | -3.2 | -4.2 | -1077.7 | 1435.6 | 3.8 | 274.3 | -739.3 | -612.6 | -291.1 | -786.5 | 98.0 | -5.3 | 82 | 3.2 | 70 | 10.5 |
| day_mom | 0.5 | 231 | 40.3 | -2.8 | -3.5 | -655.1 | 1184.5 | 4.2 | 193.4 | -269.5 | -579.0 | -126.5 | -528.6 | 97.4 | -5.5 | 64 | 4.0 | 53 | 13.7 |
| day_fade | 0.0 | 498 | 27.3 | -12.1 | -10.9 | -6039.6 | 6079.8 | -5.1 | -1263.7 | -2891.3 | -1884.6 | -3065.5 | -2974.1 | 2.5 | -11.0 | 120 | -15.7 | 96 | -21.3 |
| day_fade | 0.3 | 334 | 24.0 | -14.5 | -12.4 | -4842.3 | 4842.3 | -7.5 | -862.6 | -2569.8 | -1409.8 | -2422.9 | -2419.4 | 0.3 | -12.8 | 83 | -19.5 | 71 | -25.4 |
| combo_up_CE | 0.1 | 47 | 25.5 | -14.9 | -10.6 | -700.8 | 778.4 | -7.9 | -6.1 | -108.2 | -586.5 | -282.5 | -418.3 | 20.8 | -12.2 | 8 | -28.1 | 8 | -28.1 |
| combo_up_CE | 0.3 | 9 | 33.3 | -1.4 | -2.2 | -12.7 | 87.7 | 5.9 | 50.5 | -56.0 | -7.2 | 21.4 | -34.1 | 74.1 | -0.5 | 3 | -3.2 | 3 | -3.2 |
| combo_up_CE | 0.5 | 2 | 0.0 | -5.6 | -5.6 | -11.2 | 11.2 | 1.3 | -9.0 | -2.2 | 0.0 | -9.0 | -2.2 | 59.9 | -9.0 | 1 | -2.2 | 1 | -2.2 |
| combo_down_PE | 0.1 | 77 | 40.3 | -0.7 | -11.5 | -56.4 | 374.4 | 6.3 | 44.5 | -178.3 | 77.4 | -38.2 | -18.2 | 87.8 | -4.7 | 23 | 8.7 | 18 | 24.8 |
| combo_down_PE | 0.3 | 16 | 37.5 | -13.3 | -19.0 | -212.2 | 453.8 | -6.3 | 0.0 | -21.7 | -190.5 | -11.2 | -200.9 | 26.8 | -35.1 | 5 | 34.8 | 4 | 47.0 |
| combo_down_PE | 0.5 | 4 | 25.0 | -3.5 | -20.6 | -13.8 | 228.7 | 3.5 | 0.0 | 0.0 | -13.8 | 0.0 | -13.8 | 60.7 | -99.5 | 2 | 92.6 | 2 | 92.6 |
| combo_both | 0.1 | 124 | 34.7 | -6.1 | -11.0 | -757.2 | 883.4 | 0.9 | 38.4 | -286.5 | -509.2 | -320.7 | -436.5 | 71.8 | -7.9 | 31 | -0.8 | 26 | 8.5 |
| combo_both | 0.3 | 25 | 36.0 | -9.0 | -9.0 | -224.9 | 453.8 | -1.9 | 50.5 | -77.6 | -197.7 | 10.2 | -235.1 | 48.5 | -22.9 | 8 | 20.5 | 7 | 25.5 |
| combo_both | 0.5 | 6 | 16.7 | -4.2 | -10.3 | -25.0 | 228.7 | 2.8 | -9.0 | -2.2 | -13.8 | -9.0 | -16.0 | 63.0 | -69.3 | 3 | 61.0 | 3 | 61.0 |
| downday_last30up_CE | 0.1 | 39 | 33.3 | -14.9 | -6.6 | -579.3 | 629.6 | -7.6 | -248.4 | -199.3 | -131.6 | -384.5 | -194.9 | 22.4 | -6.4 | 12 | -33.9 | 8 | -18.6 |
| downday_last30up_CE | 0.3 | 7 | 14.3 | -6.3 | -6.0 | -44.2 | 61.3 | 0.9 | 17.1 | -36.5 | -24.8 | -13.9 | -30.3 | 61.9 | -10.2 | 3 | -1.1 | 3 | -1.1 |
| downday_last30up_CE | 0.5 | 2 | 0.0 | -15.5 | -15.5 | -30.9 | 30.9 | -8.3 | 0.0 | -20.6 | -10.3 | -20.6 | -10.3 | 40.9 | -15.5 | 0 | | 0 | |
Today's comparable cases (down day, last30 up at 15:25), CE overnight 15:25 → 09:16
| bucket | n | avg | median | win_pct | total |
|---|
| 0.1..0.3 (today) | 32 | -15.4 | -15.3 | 34.4 | -492.6 |
| >0.3 | 7 | 24.8 | 19.7 | 85.7 | 173.8 |
| day | next_date | day_ret_at_1525 | last30_at_1525 | strike | expiry | entry | exit | pnl | bucket |
|---|
| 2024-09-06 | 2024-09-09 | -1.1 | 0.2 | 24850 | 2024-10-03 | 441.6 | 402.0 | -42.2 | 0.1..0.3 (today) |
| 2024-09-11 | 2024-09-12 | -0.4 | 0.1 | 24950 | 2024-10-03 | 341.4 | 393.4 | 49.4 | 0.1..0.3 (today) |
| 2024-10-01 | 2024-10-03 | -0.1 | 0.1 | 25800 | 2024-10-03 | 83.5 | 5.9 | -79.5 | 0.1..0.3 (today) |
| 2024-10-04 | 2024-10-07 | -0.9 | 0.2 | 25050 | 2024-10-10 | 186.4 | 223.8 | 35.1 | 0.1..0.3 (today) |
| 2024-10-15 | 2024-10-16 | -0.3 | 0.2 | 25100 | 2024-10-17 | 75.4 | 49.7 | -27.7 | 0.1..0.3 (today) |
| 2024-10-25 | 2024-10-28 | -0.8 | 0.3 | 24200 | 2024-10-31 | 167.7 | 176.2 | 6.2 | >0.3 |
| 2024-11-04 | 2024-11-05 | -1.0 | 0.1 | 24000 | 2024-11-07 | 201.8 | 189.2 | -14.8 | 0.1..0.3 (today) |
| 2024-11-13 | 2024-11-14 | -1.0 | 0.2 | 23600 | 2024-11-14 | 101.3 | 78.6 | -24.8 | 0.1..0.3 (today) |
| 2024-11-28 | 2024-11-29 | -1.3 | 0.2 | 23950 | 2024-12-05 | 239.4 | 228.1 | -12.4 | 0.1..0.3 (today) |
| 2024-12-10 | 2024-12-11 | -0.0 | 0.3 | 24600 | 2024-12-12 | 117.5 | 98.3 | -20.0 | 0.1..0.3 (today) |
| 2024-12-18 | 2024-12-19 | -0.4 | 0.1 | 24200 | 2024-12-19 | 84.9 | 9.7 | -75.9 | 0.1..0.3 (today) |
| 2025-01-09 | 2025-01-10 | -0.6 | 0.1 | 23550 | 2025-01-16 | 208.8 | 188.9 | -20.8 | 0.1..0.3 (today) |
| 2025-01-10 | 2025-01-13 | -0.5 | 0.1 | 23450 | 2025-01-16 | 166.0 | 74.3 | -92.5 | 0.1..0.3 (today) |
| 2025-01-21 | 2025-01-22 | -1.3 | 0.1 | 23050 | 2025-01-23 | 147.6 | 132.7 | -15.7 | 0.1..0.3 (today) |
| 2025-02-06 | 2025-02-07 | -0.3 | 0.2 | 23600 | 2025-02-13 | 218.8 | 213.5 | -6.3 | 0.1..0.3 (today) |
| 2025-02-07 | 2025-02-10 | -0.3 | 0.3 | 23550 | 2025-02-13 | 167.1 | 131.1 | -36.8 | >0.3 |
| 2025-02-12 | 2025-02-13 | -0.0 | 0.3 | 23050 | 2025-02-13 | 90.5 | 92.7 | 1.3 | >0.3 |
| 2025-04-07 | 2025-04-08 | -3.0 | 0.8 | 22250 | 2025-04-09 | 299.4 | 379.4 | 78.6 | >0.3 |
| 2025-04-24 | 2025-04-25 | -0.2 | 0.1 | 24250 | 2025-04-30 | 210.9 | 247.8 | 35.8 | 0.1..0.3 (today) |
| 2025-06-13 | 2025-06-16 | -0.5 | 0.3 | 24750 | 2025-06-19 | 157.3 | 164.4 | 6.1 | 0.1..0.3 (today) |
| 2025-07-07 | 2025-07-08 | -0.0 | 0.1 | 25450 | 2025-07-10 | 129.1 | 102.8 | -27.1 | 0.1..0.3 (today) |
| 2025-08-05 | 2025-08-06 | -0.3 | 0.2 | 24650 | 2025-08-07 | 95.8 | 82.9 | -13.6 | 0.1..0.3 (today) |
| 2025-10-24 | 2025-10-27 | -0.3 | 0.2 | 25800 | 2025-10-28 | 104.0 | 155.2 | 50.3 | 0.1..0.3 (today) |
| 2025-10-28 | 2025-10-29 | -0.0 | 0.4 | 25950 | 2025-11-04 | 193.6 | 231.2 | 36.6 | >0.3 |
| 2025-12-01 | 2025-12-02 | -0.1 | 0.1 | 26200 | 2025-12-02 | 58.3 | 21.4 | -37.6 | 0.1..0.3 (today) |
| 2025-12-02 | 2025-12-03 | -0.5 | 0.2 | 26050 | 2025-12-09 | 181.2 | 135.6 | -46.6 | 0.1..0.3 (today) |
| 2025-12-18 | 2025-12-19 | -0.0 | 0.1 | 25800 | 2025-12-23 | 123.1 | 179.7 | 55.6 | 0.1..0.3 (today) |
| 2026-03-02 | 2026-03-04 | -1.2 | 0.2 | 24900 | 2026-03-10 | 257.6 | 96.5 | -162.0 | 0.1..0.3 (today) |
| 2026-03-19 | 2026-03-20 | -2.9 | 0.5 | 23100 | 2026-03-24 | 261.1 | 330.6 | 68.2 | >0.3 |
| 2026-04-02 | 2026-04-06 | -0.0 | 0.1 | 22700 | 2026-04-07 | 252.4 | 197.6 | -56.0 | 0.1..0.3 (today) |
| 2026-04-09 | 2026-04-10 | -1.0 | 0.2 | 23800 | 2026-04-13 | 203.3 | 239.3 | 34.8 | 0.1..0.3 (today) |
| 2026-05-05 | 2026-05-06 | -0.3 | 0.2 | 24050 | 2026-05-12 | 231.7 | 307.6 | 74.7 | 0.1..0.3 (today) |
| 2026-05-18 | 2026-05-19 | -0.0 | 0.2 | 23650 | 2026-05-19 | 98.4 | 112.4 | 13.1 | 0.1..0.3 (today) |
| 2026-05-27 | 2026-05-29 | -0.0 | 0.1 | 23900 | 2026-06-02 | 197.8 | 187.3 | -11.6 | 0.1..0.3 (today) |
| 2026-06-19 | 2026-06-22 | -0.6 | 0.5 | 24050 | 2026-06-23 | 100.0 | 120.7 | 19.7 | >0.3 |
| 2026-06-29 | 2026-06-30 | -0.4 | 0.1 | 23950 | 2026-06-30 | 90.5 | 60.5 | -30.8 | 0.1..0.3 (today) |
| 2026-07-08 | 2026-07-09 | -1.9 | 0.2 | 23900 | 2026-07-14 | 174.3 | 191.1 | 15.7 | 0.1..0.3 (today) |
| 2026-07-23 | 2026-07-24 | -0.5 | 0.2 | 23900 | 2026-07-28 | 126.8 | 62.8 | -64.9 | 0.1..0.3 (today) |
| 2026-08-05 | 2026-08-06 | -0.2 | 0.2 | 24550 | 2026-08-11 | 166.3 | 187.0 | 19.6 | 0.1..0.3 (today) |
Multiple-testing view: every signal family across all 60 variants (3 entries × 2 strikes × 2 expiries × 5 exits)
| signal | X | variants | % variants profitable | median avg pts | median pctile vs random | median trades | variants passing both halves & >95% |
|---|
| combo_both | 0.1 | 60.0 | 0.0 | -13.6 | 26.3 | 123.0 | 0.0 |
| combo_both | 0.3 | 60.0 | 1.7 | -14.9 | 33.9 | 24.5 | 0.0 |
| combo_both | 0.5 | 60.0 | 31.7 | -7.0 | 56.8 | 6.0 | 0.0 |
| combo_down_PE | 0.1 | 60.0 | 11.7 | -5.0 | 52.9 | 76.5 | 0.0 |
| combo_down_PE | 0.3 | 60.0 | 1.7 | -27.5 | 8.2 | 15.5 | 0.0 |
| combo_down_PE | 0.5 | 60.0 | 13.3 | -17.0 | 35.5 | 4.0 | 0.0 |
| combo_up_CE | 0.1 | 60.0 | 0.0 | -27.2 | 7.5 | 46.5 | 0.0 |
| combo_up_CE | 0.3 | 60.0 | 61.7 | 1.9 | 79.4 | 9.0 | 0.0 |
| combo_up_CE | 0.5 | 60.0 | 76.7 | 9.9 | 77.4 | 2.0 | 0.0 |
| day_fade | 0.0 | 60.0 | 0.0 | -11.6 | 25.8 | 488.5 | 0.0 |
| day_fade | 0.3 | 60.0 | 0.0 | -12.4 | 23.2 | 326.5 | 0.0 |
| day_mom | 0.0 | 60.0 | 0.0 | -8.1 | 74.3 | 488.5 | 0.0 |
| day_mom | 0.1 | 60.0 | 0.0 | -7.5 | 78.1 | 432.0 | 0.0 |
| day_mom | 0.3 | 60.0 | 0.0 | -6.7 | 82.6 | 326.5 | 0.0 |
| day_mom | 0.5 | 60.0 | 0.0 | -5.4 | 85.3 | 226.5 | 0.0 |
| downday_last30up_CE | 0.1 | 60.0 | 6.7 | -9.1 | 71.3 | 37.5 | 0.0 |
| downday_last30up_CE | 0.3 | 60.0 | 80.0 | 12.3 | 89.2 | 7.0 | 19.0 |
| downday_last30up_CE | 0.5 | 60.0 | 95.0 | 69.2 | 97.8 | 2.0 | 47.0 |
| last30_fade | 0.1 | 60.0 | 0.0 | -6.4 | 78.0 | 202.0 | 0.0 |
| last30_fade | 0.3 | 60.0 | 1.7 | -13.0 | 33.4 | 36.0 | 0.0 |
| last30_fade | 0.5 | 60.0 | 0.0 | -53.9 | 1.5 | 9.0 | 0.0 |
| last30_mom | 0.1 | 60.0 | 0.0 | -13.6 | 20.3 | 202.0 | 0.0 |
| last30_mom | 0.3 | 60.0 | 0.0 | -13.0 | 39.7 | 35.5 | 0.0 |
| last30_mom | 0.5 | 60.0 | 90.0 | 18.0 | 90.2 | 9.0 | 12.0 |
Top 20 variants by percentile vs random (all failing or tiny-sample)
| signal | X | entry | strike | expiry | exit | trades | win_pct | avg | median | total | tot_train | tot_test | pctile_vs_random | robust_pass |
|---|
| day_mom | 0.1 | 15:20 | ITM1 | nearest(non-0DTE) | 09:15o | 435 | 40.9 | -2.6 | -6.0 | -1146.7 | -412.0 | -734.7 | 99.8 | False |
| day_mom | 0.1 | 15:25 | ATM | next weekly | 09:15o | 422 | 46.0 | -1.7 | -2.4 | -714.4 | 319.2 | -1033.7 | 99.8 | False |
| day_mom | 0.1 | 15:20 | ATM | next weekly | 09:15o | 416 | 45.4 | -1.5 | -2.6 | -644.6 | 367.6 | -1012.3 | 99.7 | False |
| day_mom | 0.0 | 15:20 | ITM1 | nearest(non-0DTE) | 09:15o | 495 | 40.4 | -3.1 | -6.2 | -1549.2 | -560.5 | -988.7 | 99.6 | False |
| downday_last30up_CE | 0.5 | 15:20 | ITM1 | next weekly | 09:20 | 2 | 100.0 | 126.3 | 126.3 | 252.5 | 138.2 | 114.4 | 99.5 | False |
| day_mom | 0.0 | 15:20 | ATM | nearest(non-0DTE) | 09:15o | 496 | 38.7 | -3.7 | -5.6 | -1827.9 | -442.5 | -1385.4 | 99.5 | False |
| downday_last30up_CE | 0.5 | 15:28 | ATM | next weekly | 09:20 | 4 | 100.0 | 63.6 | 63.5 | 254.5 | 64.0 | 190.5 | 99.3 | False |
| day_mom | 0.1 | 15:20 | ATM | nearest(non-0DTE) | 09:15o | 436 | 39.2 | -3.6 | -5.2 | -1569.6 | -403.9 | -1165.6 | 99.2 | False |
| downday_last30up_CE | 0.5 | 15:28 | ITM1 | nearest(non-0DTE) | 09:16 | 4 | 100.0 | 63.2 | 72.7 | 252.7 | 79.5 | 173.1 | 99.2 | False |
| downday_last30up_CE | 0.5 | 15:20 | ATM | next weekly | 09:20 | 2 | 100.0 | 121.0 | 121.0 | 242.0 | 130.2 | 111.8 | 99.2 | False |
| downday_last30up_CE | 0.5 | 15:20 | ATM | next weekly | 09:30 | 2 | 100.0 | 108.1 | 108.1 | 216.3 | 120.9 | 95.4 | 99.2 | False |
| downday_last30up_CE | 0.5 | 15:28 | ITM1 | nearest(non-0DTE) | 09:20 | 4 | 100.0 | 74.8 | 79.1 | 299.1 | 85.8 | 213.3 | 99.2 | False |
| downday_last30up_CE | 0.5 | 15:28 | ATM | next weekly | 09:16 | 4 | 100.0 | 53.3 | 60.5 | 213.2 | 61.3 | 151.9 | 99.2 | False |
| downday_last30up_CE | 0.5 | 15:20 | ATM | nearest(non-0DTE) | 09:20 | 2 | 100.0 | 119.3 | 119.3 | 238.6 | 134.2 | 104.5 | 99.2 | False |
| day_mom | 0.0 | 15:20 | ATM | next weekly | 09:15o | 474 | 44.1 | -2.2 | -3.6 | -1058.5 | 292.1 | -1350.5 | 99.2 | False |
| downday_last30up_CE | 0.5 | 15:28 | ITM1 | next weekly | 09:20 | 4 | 100.0 | 70.6 | 73.8 | 282.6 | 79.4 | 203.2 | 99.2 | False |
| downday_last30up_CE | 0.5 | 15:20 | ITM1 | next weekly | 09:16 | 2 | 100.0 | 101.0 | 101.0 | 201.9 | 129.4 | 72.5 | 99.1 | False |
| downday_last30up_CE | 0.5 | 15:20 | ITM1 | nearest(non-0DTE) | 09:20 | 2 | 100.0 | 127.5 | 127.5 | 255.1 | 144.7 | 110.4 | 99.0 | False |
| day_mom | 0.3 | 15:20 | ITM1 | nearest(non-0DTE) | 09:15o | 329 | 42.2 | -2.7 | -5.7 | -873.0 | -458.3 | -414.7 | 99.0 | False |
| day_mom | 0.3 | 15:25 | ATM | next weekly | 09:15o | 319 | 47.0 | -1.1 | -1.3 | -355.1 | 480.5 | -835.6 | 99.0 | False |
Unconditional CE / PE / straddle, every variant (overnight decay and IV cost)
| signal | entry | strike | expiry | exit | trades | win_pct | avg | median | total | avg_raw | avg_cost | avg_1night | avg_weekend_holiday | avg_fri | tot_train | tot_test |
|---|
| CE_all | 15:20 | ATM | nearest(non-0DTE) | 09:15o | 496 | 33.3 | -10.5 | -8.8 | -5224.3 | -3.5 | 1.1 | -10.7 | -9.9 | -12.4 | -2107.9 | -3116.4 |
| PE_all | 15:20 | ATM | nearest(non-0DTE) | 09:15o | 497 | 33.2 | -7.0 | -8.8 | -3501.9 | -0.0 | 1.0 | -7.7 | -5.1 | -3.0 | -1731.3 | -1770.6 |
| STRADDLE_all | 15:20 | ATM | nearest(non-0DTE) | 09:15o | 494 | 14.6 | -17.5 | -17.9 | -8635.6 | -3.4 | 2.1 | -18.3 | -14.9 | -15.3 | -3748.7 | -4887.0 |
| CE_all | 15:20 | ATM | nearest(non-0DTE) | 09:16 | 496 | 36.1 | -15.2 | -18.4 | -7541.6 | -8.1 | 1.1 | -16.1 | -12.2 | -17.5 | -2059.6 | -5482.0 |
| PE_all | 15:20 | ATM | nearest(non-0DTE) | 09:16 | 495 | 39.6 | -5.6 | -11.6 | -2752.0 | 1.5 | 1.0 | -6.9 | -1.1 | 4.5 | -1691.7 | -1060.3 |
| STRADDLE_all | 15:20 | ATM | nearest(non-0DTE) | 09:16 | 494 | 15.2 | -20.7 | -24.1 | -10235.2 | -6.6 | 2.1 | -23.0 | -13.3 | -13.0 | -3692.8 | -6542.4 |
| CE_all | 15:20 | ATM | nearest(non-0DTE) | 09:20 | 501 | 35.1 | -14.6 | -16.2 | -7322.5 | -7.5 | 1.1 | -15.7 | -11.3 | -17.3 | -2282.7 | -5039.8 |
| PE_all | 15:20 | ATM | nearest(non-0DTE) | 09:20 | 500 | 38.4 | -6.2 | -12.6 | -3082.6 | 0.9 | 1.0 | -7.5 | -1.9 | 3.8 | -1500.9 | -1581.7 |
| STRADDLE_all | 15:20 | ATM | nearest(non-0DTE) | 09:20 | 499 | 17.4 | -20.8 | -24.0 | -10358.1 | -6.7 | 2.1 | -23.1 | -13.2 | -13.4 | -3736.7 | -6621.5 |
| CE_all | 15:20 | ATM | nearest(non-0DTE) | 09:30 | 501 | 33.3 | -16.3 | -21.8 | -8163.2 | -9.2 | 1.1 | -17.1 | -13.7 | -18.9 | -2925.6 | -5237.6 |
| PE_all | 15:20 | ATM | nearest(non-0DTE) | 09:30 | 500 | 38.2 | -4.9 | -12.1 | -2458.5 | 2.1 | 1.0 | -6.1 | -1.1 | 3.5 | -1345.9 | -1112.6 |
| STRADDLE_all | 15:20 | ATM | nearest(non-0DTE) | 09:30 | 499 | 20.2 | -21.2 | -25.5 | -10565.1 | -7.1 | 2.1 | -23.2 | -14.8 | -15.4 | -4214.9 | -6350.2 |
| CE_all | 15:20 | ATM | nearest(non-0DTE) | 09:45 | 503 | 35.4 | -15.8 | -22.7 | -7972.3 | -8.8 | 1.1 | -17.3 | -11.1 | -16.8 | -2683.9 | -5288.3 |
| PE_all | 15:20 | ATM | nearest(non-0DTE) | 09:45 | 501 | 38.1 | -5.3 | -13.9 | -2654.3 | 1.7 | 1.0 | -6.1 | -2.8 | 2.4 | -1588.4 | -1065.9 |
| STRADDLE_all | 15:20 | ATM | nearest(non-0DTE) | 09:45 | 501 | 22.4 | -21.3 | -24.5 | -10687.6 | -7.2 | 2.1 | -23.7 | -13.9 | -14.4 | -4333.4 | -6354.2 |
| CE_all | 15:20 | ATM | next weekly | 09:15o | 476 | 41.0 | -8.2 | -5.8 | -3893.9 | -0.9 | 1.2 | -8.4 | -7.5 | -11.2 | -472.4 | -3421.4 |
| PE_all | 15:20 | ATM | next weekly | 09:15o | 473 | 38.3 | -6.1 | -6.6 | -2897.5 | 1.0 | 1.1 | -6.4 | -5.2 | -1.4 | -1361.1 | -1536.3 |
| STRADDLE_all | 15:20 | ATM | next weekly | 09:15o | 472 | 21.2 | -14.7 | -14.4 | -6944.2 | -0.3 | 2.4 | -15.0 | -13.7 | -12.4 | -1863.4 | -5080.8 |
| CE_all | 15:20 | ATM | next weekly | 09:16 | 475 | 38.7 | -13.3 | -12.2 | -6337.5 | -6.1 | 1.2 | -14.0 | -11.2 | -17.2 | -1216.8 | -5120.6 |
| PE_all | 15:20 | ATM | next weekly | 09:16 | 473 | 40.4 | -4.4 | -8.7 | -2104.8 | 2.7 | 1.1 | -6.2 | 1.3 | 6.0 | -1648.3 | -456.5 |
| STRADDLE_all | 15:20 | ATM | next weekly | 09:16 | 472 | 11.9 | -18.4 | -21.6 | -8690.1 | -4.1 | 2.4 | -20.5 | -11.7 | -11.0 | -2910.4 | -5779.7 |
| CE_all | 15:20 | ATM | next weekly | 09:20 | 478 | 38.5 | -12.5 | -11.9 | -5961.8 | -5.2 | 1.2 | -13.1 | -10.3 | -17.0 | -1444.8 | -4516.9 |
| PE_all | 15:20 | ATM | next weekly | 09:20 | 478 | 39.3 | -5.0 | -9.3 | -2366.6 | 2.2 | 1.1 | -6.8 | 1.0 | 5.9 | -1467.6 | -899.0 |
| STRADDLE_all | 15:20 | ATM | next weekly | 09:20 | 476 | 13.9 | -18.1 | -20.6 | -8638.2 | -3.8 | 2.4 | -20.2 | -11.5 | -10.9 | -2968.3 | -5669.9 |
| CE_all | 15:20 | ATM | next weekly | 09:30 | 478 | 37.7 | -13.8 | -15.1 | -6598.7 | -6.6 | 1.2 | -14.3 | -12.1 | -18.1 | -1812.9 | -4785.8 |
| PE_all | 15:20 | ATM | next weekly | 09:30 | 478 | 40.6 | -4.2 | -10.1 | -2006.6 | 3.0 | 1.1 | -6.0 | 1.5 | 4.9 | -1448.0 | -558.6 |
| STRADDLE_all | 15:20 | ATM | next weekly | 09:30 | 476 | 17.0 | -18.8 | -22.0 | -8948.2 | -4.4 | 2.4 | -20.5 | -13.1 | -13.0 | -3322.2 | -5626.0 |
| CE_all | 15:20 | ATM | next weekly | 09:45 | 479 | 38.2 | -13.9 | -17.3 | -6655.1 | -6.7 | 1.2 | -15.1 | -10.1 | -16.3 | -1760.8 | -4894.2 |
| PE_all | 15:20 | ATM | next weekly | 09:45 | 478 | 40.8 | -4.1 | -9.8 | -1964.3 | 3.0 | 1.1 | -5.5 | 0.4 | 4.2 | -1462.8 | -501.5 |
| STRADDLE_all | 15:20 | ATM | next weekly | 09:45 | 477 | 18.4 | -18.6 | -22.0 | -8887.0 | -4.2 | 2.4 | -20.7 | -11.8 | -12.1 | -3270.3 | -5616.7 |
| CE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:15o | 498 | 34.3 | -11.0 | -8.6 | -5495.2 | -3.9 | 1.1 | -11.9 | -8.3 | -13.9 | -2099.1 | -3396.1 |
| PE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:15o | 498 | 33.9 | -7.3 | -9.6 | -3649.4 | -0.3 | 1.1 | -7.6 | -6.5 | -3.5 | -1989.4 | -1660.0 |
| STRADDLE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:15o | 493 | 16.2 | -17.5 | -18.9 | -8606.5 | -3.3 | 2.2 | -18.9 | -12.8 | -15.6 | -3800.0 | -4806.5 |
| CE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:16 | 496 | 37.5 | -16.3 | -18.4 | -8070.4 | -9.2 | 1.1 | -17.1 | -13.7 | -19.3 | -2112.9 | -5957.5 |
| PE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:16 | 498 | 41.6 | -5.1 | -10.5 | -2539.3 | 2.0 | 1.1 | -6.0 | -2.1 | 3.7 | -1751.6 | -787.7 |
| STRADDLE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:16 | 492 | 14.6 | -20.4 | -24.2 | -10016.0 | -6.2 | 2.2 | -22.7 | -13.1 | -13.2 | -3569.2 | -6446.8 |
| CE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:20 | 500 | 37.4 | -15.7 | -15.7 | -7825.2 | -8.5 | 1.1 | -16.6 | -12.5 | -18.8 | -2392.0 | -5433.2 |
| PE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:20 | 499 | 39.7 | -6.0 | -12.0 | -2971.3 | 1.1 | 1.1 | -6.8 | -3.3 | 2.9 | -1551.9 | -1419.4 |
| STRADDLE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:20 | 495 | 17.6 | -20.4 | -23.4 | -10086.0 | -6.2 | 2.2 | -22.7 | -12.8 | -13.4 | -3566.2 | -6519.8 |
| CE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:30 | 502 | 36.5 | -17.5 | -20.3 | -8790.5 | -10.4 | 1.1 | -18.2 | -15.2 | -20.5 | -3045.0 | -5745.5 |
| PE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:30 | 500 | 39.8 | -4.5 | -11.7 | -2249.4 | 2.6 | 1.1 | -5.2 | -2.2 | 2.9 | -1427.0 | -822.4 |
| STRADDLE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:30 | 497 | 19.9 | -20.8 | -24.9 | -10336.7 | -6.6 | 2.2 | -22.8 | -14.4 | -15.1 | -4110.5 | -6226.2 |
| CE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:45 | 503 | 36.4 | -17.1 | -22.3 | -8616.6 | -10.0 | 1.1 | -18.5 | -12.6 | -18.4 | -2840.9 | -5775.7 |
| PE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:45 | 500 | 41.0 | -5.0 | -14.1 | -2521.1 | 2.0 | 1.1 | -5.2 | -4.4 | 1.2 | -1675.4 | -845.7 |
| STRADDLE_all | 15:20 | ITM1 | nearest(non-0DTE) | 09:45 | 498 | 22.5 | -21.0 | -24.4 | -10447.2 | -6.8 | 2.2 | -23.2 | -13.9 | -14.8 | -4187.3 | -6259.9 |
| CE_all | 15:20 | ITM1 | next weekly | 09:15o | 478 | 38.1 | -11.0 | -8.1 | -5249.1 | -3.7 | 1.3 | -11.7 | -8.8 | -10.8 | -1082.7 | -4166.4 |
| PE_all | 15:20 | ITM1 | next weekly | 09:15o | 475 | 39.8 | -6.2 | -6.7 | -2955.2 | 1.0 | 1.2 | -5.7 | -8.0 | -2.5 | -1338.2 | -1617.0 |
| STRADDLE_all | 15:20 | ITM1 | next weekly | 09:15o | 471 | 18.5 | -15.4 | -14.6 | -7276.5 | -1.0 | 2.5 | -16.2 | -13.1 | -11.2 | -1982.9 | -5293.6 |
| CE_all | 15:20 | ITM1 | next weekly | 09:16 | 474 | 39.0 | -14.6 | -12.6 | -6902.1 | -7.3 | 1.3 | -14.9 | -13.3 | -19.0 | -1468.3 | -5433.8 |
| PE_all | 15:20 | ITM1 | next weekly | 09:16 | 475 | 41.3 | -5.6 | -9.0 | -2642.8 | 1.6 | 1.2 | -6.3 | -3.2 | 4.2 | -1952.6 | -690.3 |
| STRADDLE_all | 15:20 | ITM1 | next weekly | 09:16 | 469 | 11.7 | -18.2 | -20.8 | -8533.1 | -3.7 | 2.4 | -20.0 | -12.1 | -11.5 | -2880.2 | -5652.9 |
| CE_all | 15:20 | ITM1 | next weekly | 09:20 | 479 | 39.0 | -13.4 | -12.6 | -6425.5 | -6.1 | 1.3 | -14.0 | -11.5 | -17.4 | -1619.2 | -4806.3 |
| PE_all | 15:20 | ITM1 | next weekly | 09:20 | 475 | 40.0 | -6.3 | -10.3 | -2978.6 | 0.9 | 1.2 | -6.9 | -4.3 | 3.8 | -1723.3 | -1255.2 |
| STRADDLE_all | 15:20 | ITM1 | next weekly | 09:20 | 472 | 14.2 | -18.0 | -20.8 | -8498.8 | -3.5 | 2.5 | -19.9 | -11.9 | -11.2 | -2914.0 | -5584.8 |
| CE_all | 15:20 | ITM1 | next weekly | 09:30 | 482 | 39.2 | -15.0 | -16.0 | -7207.8 | -7.7 | 1.3 | -15.4 | -13.4 | -18.3 | -2055.1 | -5152.8 |
| PE_all | 15:20 | ITM1 | next weekly | 09:30 | 479 | 40.9 | -5.4 | -10.1 | -2580.4 | 1.8 | 1.2 | -5.9 | -3.7 | 3.2 | -1713.2 | -867.2 |
| STRADDLE_all | 15:20 | ITM1 | next weekly | 09:30 | 475 | 17.7 | -18.7 | -22.2 | -8886.6 | -4.2 | 2.5 | -20.3 | -13.4 | -12.9 | -3396.6 | -5489.9 |
| CE_all | 15:20 | ITM1 | next weekly | 09:45 | 483 | 37.9 | -14.7 | -17.4 | -7094.8 | -7.4 | 1.3 | -15.8 | -11.1 | -16.9 | -1939.4 | -5155.4 |
| PE_all | 15:20 | ITM1 | next weekly | 09:45 | 479 | 42.2 | -5.2 | -10.3 | -2485.9 | 2.0 | 1.2 | -5.3 | -4.8 | 2.3 | -1660.9 | -825.0 |
| STRADDLE_all | 15:20 | ITM1 | next weekly | 09:45 | 475 | 18.9 | -18.5 | -22.0 | -8795.1 | -4.0 | 2.5 | -20.4 | -12.5 | -12.3 | -3297.7 | -5497.4 |
| CE_all | 15:25 | ATM | nearest(non-0DTE) | 09:15o | 498 | 31.5 | -9.8 | -8.7 | -4865.0 | -2.7 | 1.1 | -10.1 | -8.6 | -10.6 | -1821.7 | -3043.3 |
| PE_all | 15:25 | ATM | nearest(non-0DTE) | 09:15o | 498 | 32.9 | -6.8 | -8.4 | -3402.2 | 0.2 | 1.0 | -7.1 | -6.1 | -3.9 | -1860.4 | -1541.8 |
| STRADDLE_all | 15:25 | ATM | nearest(non-0DTE) | 09:15o | 495 | 14.7 | -16.6 | -16.7 | -8214.9 | -2.5 | 2.1 | -17.2 | -14.7 | -14.4 | -3629.8 | -4585.1 |
| CE_all | 15:25 | ATM | nearest(non-0DTE) | 09:16 | 498 | 36.1 | -14.7 | -16.2 | -7300.5 | -7.6 | 1.1 | -16.0 | -10.4 | -15.9 | -1806.7 | -5493.8 |
| PE_all | 15:25 | ATM | nearest(non-0DTE) | 09:16 | 496 | 39.5 | -5.4 | -11.8 | -2660.9 | 1.7 | 1.0 | -6.2 | -2.8 | 2.0 | -1767.8 | -893.1 |
| STRADDLE_all | 15:25 | ATM | nearest(non-0DTE) | 09:16 | 495 | 16.2 | -20.1 | -24.2 | -9949.5 | -6.0 | 2.1 | -22.3 | -13.2 | -13.9 | -3562.6 | -6386.9 |
| CE_all | 15:25 | ATM | nearest(non-0DTE) | 09:20 | 503 | 35.4 | -14.0 | -15.6 | -7046.5 | -6.9 | 1.1 | -15.4 | -9.5 | -15.6 | -2031.0 | -5015.5 |
| PE_all | 15:25 | ATM | nearest(non-0DTE) | 09:20 | 502 | 39.6 | -6.1 | -11.3 | -3039.9 | 1.0 | 1.0 | -6.8 | -3.5 | 1.3 | -1652.4 | -1387.5 |
| STRADDLE_all | 15:25 | ATM | nearest(non-0DTE) | 09:20 | 501 | 19.0 | -20.0 | -22.8 | -10041.0 | -5.9 | 2.1 | -22.3 | -13.0 | -14.3 | -3638.0 | -6403.0 |
| CE_all | 15:25 | ATM | nearest(non-0DTE) | 09:30 | 503 | 33.6 | -15.8 | -20.9 | -7971.8 | -8.8 | 1.1 | -17.1 | -12.0 | -17.4 | -2720.0 | -5251.8 |
| PE_all | 15:25 | ATM | nearest(non-0DTE) | 09:30 | 502 | 38.6 | -4.9 | -12.7 | -2436.4 | 2.2 | 1.0 | -5.5 | -2.8 | 1.0 | -1549.5 | -886.9 |
| STRADDLE_all | 15:25 | ATM | nearest(non-0DTE) | 09:30 | 501 | 20.0 | -20.7 | -23.8 | -10353.2 | -6.6 | 2.1 | -22.5 | -14.8 | -16.4 | -4214.5 | -6138.7 |
| CE_all | 15:25 | ATM | nearest(non-0DTE) | 09:45 | 505 | 34.7 | -15.3 | -22.4 | -7716.8 | -8.2 | 1.1 | -17.2 | -9.3 | -15.2 | -2420.2 | -5296.6 |
| PE_all | 15:25 | ATM | nearest(non-0DTE) | 09:45 | 503 | 39.2 | -5.2 | -13.4 | -2602.4 | 1.9 | 1.0 | -5.4 | -4.4 | -0.1 | -1756.2 | -846.1 |
| STRADDLE_all | 15:25 | ATM | nearest(non-0DTE) | 09:45 | 503 | 23.3 | -20.6 | -23.6 | -10377.4 | -6.5 | 2.1 | -22.8 | -13.6 | -15.3 | -4234.7 | -6142.8 |
| CE_all | 15:25 | ATM | next weekly | 09:15o | 477 | 40.3 | -8.8 | -4.6 | -4176.0 | -1.5 | 1.2 | -9.6 | -6.2 | -10.2 | -616.2 | -3559.8 |
| PE_all | 15:25 | ATM | next weekly | 09:15o | 474 | 39.7 | -5.3 | -5.9 | -2519.4 | 1.8 | 1.1 | -5.1 | -6.0 | -3.0 | -1375.0 | -1144.4 |
| STRADDLE_all | 15:25 | ATM | next weekly | 09:15o | 473 | 22.0 | -14.5 | -13.7 | -6840.6 | -0.1 | 2.4 | -14.9 | -13.2 | -13.0 | -2014.3 | -4826.3 |
| CE_all | 15:25 | ATM | next weekly | 09:16 | 476 | 39.5 | -12.9 | -11.9 | -6150.5 | -5.7 | 1.2 | -14.1 | -9.2 | -15.4 | -1047.3 | -5103.3 |
| PE_all | 15:25 | ATM | next weekly | 09:16 | 474 | 41.4 | -4.5 | -8.1 | -2117.8 | 2.7 | 1.1 | -5.7 | -0.5 | 3.4 | -1812.3 | -305.6 |
| STRADDLE_all | 15:25 | ATM | next weekly | 09:16 | 473 | 12.9 | -18.0 | -21.1 | -8513.6 | -3.6 | 2.4 | -20.0 | -11.5 | -11.8 | -2903.2 | -5610.4 |
| CE_all | 15:25 | ATM | next weekly | 09:20 | 479 | 38.2 | -12.1 | -11.9 | -5787.1 | -4.8 | 1.2 | -13.3 | -8.2 | -15.0 | -1284.8 | -4502.3 |
| PE_all | 15:25 | ATM | next weekly | 09:20 | 479 | 40.7 | -5.0 | -9.2 | -2390.7 | 2.2 | 1.1 | -6.3 | -0.9 | 3.2 | -1664.3 | -726.4 |
| STRADDLE_all | 15:25 | ATM | next weekly | 09:20 | 477 | 14.7 | -17.7 | -20.2 | -8431.1 | -3.3 | 2.4 | -19.7 | -11.2 | -11.6 | -2949.4 | -5481.7 |
| CE_all | 15:25 | ATM | next weekly | 09:30 | 479 | 37.6 | -13.5 | -16.2 | -6489.3 | -6.3 | 1.2 | -14.6 | -10.2 | -16.4 | -1704.8 | -4784.5 |
| PE_all | 15:25 | ATM | next weekly | 09:30 | 480 | 41.2 | -4.2 | -9.4 | -1999.0 | 3.0 | 1.1 | -5.4 | -0.3 | 2.3 | -1656.5 | -342.4 |
| STRADDLE_all | 15:25 | ATM | next weekly | 09:30 | 478 | 17.6 | -18.4 | -21.3 | -8777.2 | -4.0 | 2.4 | -20.0 | -12.9 | -13.9 | -3369.6 | -5407.6 |
| CE_all | 15:25 | ATM | next weekly | 09:45 | 480 | 37.3 | -13.5 | -18.2 | -6498.2 | -6.3 | 1.2 | -15.3 | -8.0 | -14.4 | -1604.5 | -4893.7 |
| PE_all | 15:25 | ATM | next weekly | 09:45 | 480 | 41.0 | -4.1 | -9.3 | -1954.0 | 3.1 | 1.2 | -4.9 | -1.4 | 1.5 | -1649.5 | -304.5 |
| STRADDLE_all | 15:25 | ATM | next weekly | 09:45 | 479 | 19.2 | -18.1 | -20.8 | -8665.8 | -3.7 | 2.4 | -20.1 | -11.4 | -12.9 | -3247.6 | -5418.2 |
| CE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:15o | 497 | 34.8 | -11.2 | -8.3 | -5556.1 | -4.1 | 1.1 | -12.5 | -7.0 | -13.8 | -2035.0 | -3521.2 |
| PE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:15o | 497 | 34.4 | -7.9 | -9.1 | -3903.7 | -0.8 | 1.1 | -8.1 | -7.1 | -4.8 | -2008.0 | -1895.6 |
| STRADDLE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:15o | 491 | 16.1 | -17.6 | -18.3 | -8643.8 | -3.4 | 2.2 | -19.4 | -11.9 | -16.6 | -3588.7 | -5055.1 |
| CE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:16 | 495 | 37.4 | -16.5 | -17.2 | -8186.8 | -9.4 | 1.1 | -17.4 | -13.7 | -20.0 | -2112.8 | -6074.0 |
| PE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:16 | 497 | 41.4 | -5.1 | -10.4 | -2555.7 | 1.9 | 1.1 | -6.1 | -2.0 | 3.6 | -1888.5 | -667.2 |
| STRADDLE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:16 | 490 | 15.5 | -20.0 | -23.8 | -9789.3 | -5.8 | 2.2 | -22.2 | -12.8 | -14.0 | -3523.9 | -6265.3 |
| CE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:20 | 499 | 36.7 | -15.8 | -14.9 | -7901.8 | -8.7 | 1.1 | -16.9 | -12.4 | -19.4 | -2379.5 | -5522.4 |
| PE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:20 | 497 | 41.2 | -5.8 | -11.7 | -2889.7 | 1.3 | 1.1 | -6.7 | -3.1 | 2.8 | -1629.5 | -1260.2 |
| STRADDLE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:20 | 492 | 18.9 | -19.9 | -23.1 | -9798.7 | -5.7 | 2.2 | -22.3 | -12.4 | -14.1 | -3511.2 | -6287.5 |
| CE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:30 | 501 | 36.3 | -17.7 | -22.0 | -8848.7 | -10.5 | 1.1 | -18.5 | -15.1 | -21.1 | -3015.0 | -5833.7 |
| PE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:30 | 498 | 40.4 | -4.4 | -12.3 | -2197.7 | 2.7 | 1.1 | -5.2 | -2.0 | 2.8 | -1483.8 | -713.9 |
| STRADDLE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:30 | 494 | 20.0 | -20.3 | -23.5 | -10051.1 | -6.2 | 2.2 | -22.4 | -14.0 | -15.8 | -4030.1 | -6020.9 |
| CE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:45 | 502 | 36.5 | -17.2 | -22.2 | -8647.2 | -10.1 | 1.1 | -18.7 | -12.4 | -18.9 | -2820.5 | -5826.7 |
| PE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:45 | 498 | 40.4 | -5.0 | -13.6 | -2470.7 | 2.1 | 1.1 | -5.2 | -4.1 | 1.1 | -1721.2 | -749.5 |
| STRADDLE_all | 15:25 | ITM1 | nearest(non-0DTE) | 09:45 | 495 | 23.4 | -20.5 | -23.3 | -10126.1 | -6.3 | 2.2 | -22.7 | -13.3 | -15.1 | -4098.0 | -6028.1 |
| CE_all | 15:25 | ITM1 | next weekly | 09:15o | 477 | 38.8 | -10.3 | -7.4 | -4906.0 | -3.0 | 1.3 | -11.3 | -7.1 | -10.2 | -770.5 | -4135.6 |
| PE_all | 15:25 | ITM1 | next weekly | 09:15o | 476 | 39.9 | -6.8 | -6.7 | -3248.8 | 0.4 | 1.2 | -6.2 | -8.9 | -3.3 | -1626.5 | -1622.2 |
| STRADDLE_all | 15:25 | ITM1 | next weekly | 09:15o | 470 | 21.3 | -14.9 | -14.9 | -6999.5 | -0.4 | 2.5 | -15.6 | -12.7 | -11.8 | -1898.7 | -5100.9 |
| CE_all | 15:25 | ITM1 | next weekly | 09:16 | 472 | 39.6 | -14.6 | -12.0 | -6899.3 | -7.3 | 1.3 | -15.0 | -13.4 | -19.7 | -1353.0 | -5546.3 |
| PE_all | 15:25 | ITM1 | next weekly | 09:16 | 475 | 41.1 | -5.3 | -7.9 | -2530.6 | 1.9 | 1.2 | -6.0 | -3.0 | 4.2 | -1952.8 | -577.8 |
| STRADDLE_all | 15:25 | ITM1 | next weekly | 09:16 | 467 | 12.8 | -17.7 | -20.6 | -8287.4 | -3.3 | 2.5 | -19.5 | -12.0 | -12.3 | -2819.0 | -5468.3 |
| CE_all | 15:25 | ITM1 | next weekly | 09:20 | 479 | 39.5 | -13.4 | -11.5 | -6395.5 | -6.1 | 1.3 | -14.0 | -11.3 | -17.8 | -1500.3 | -4895.2 |
| PE_all | 15:25 | ITM1 | next weekly | 09:20 | 476 | 41.2 | -6.1 | -10.1 | -2899.9 | 1.1 | 1.2 | -6.7 | -4.1 | 3.8 | -1772.0 | -1127.9 |
| STRADDLE_all | 15:25 | ITM1 | next weekly | 09:20 | 472 | 13.1 | -17.4 | -20.3 | -8218.6 | -2.9 | 2.5 | -19.3 | -11.4 | -11.6 | -2832.8 | -5385.8 |
| CE_all | 15:25 | ITM1 | next weekly | 09:30 | 481 | 38.0 | -15.0 | -14.1 | -7221.5 | -7.7 | 1.3 | -15.6 | -13.2 | -18.9 | -1974.0 | -5247.6 |
| PE_all | 15:25 | ITM1 | next weekly | 09:30 | 479 | 41.5 | -5.3 | -10.0 | -2516.8 | 1.9 | 1.2 | -5.8 | -3.4 | 3.3 | -1753.5 | -763.2 |
| STRADDLE_all | 15:25 | ITM1 | next weekly | 09:30 | 474 | 17.1 | -18.1 | -21.3 | -8583.6 | -3.6 | 2.5 | -19.7 | -12.9 | -13.4 | -3286.0 | -5297.6 |
| CE_all | 15:25 | ITM1 | next weekly | 09:45 | 482 | 37.1 | -14.7 | -18.5 | -7087.0 | -7.4 | 1.3 | -15.9 | -10.9 | -17.3 | -1866.5 | -5220.5 |
| PE_all | 15:25 | ITM1 | next weekly | 09:45 | 479 | 42.4 | -5.0 | -10.0 | -2416.4 | 2.1 | 1.2 | -5.3 | -4.4 | 2.5 | -1693.6 | -722.8 |
| STRADDLE_all | 15:25 | ITM1 | next weekly | 09:45 | 474 | 19.8 | -17.9 | -20.9 | -8469.5 | -3.4 | 2.5 | -19.7 | -11.9 | -12.6 | -3188.1 | -5281.3 |
| CE_all | 15:28 | ATM | nearest(non-0DTE) | 09:15o | 498 | 32.9 | -9.3 | -7.5 | -4636.8 | -2.2 | 1.1 | -9.7 | -8.0 | -9.7 | -1613.2 | -3023.6 |
| PE_all | 15:28 | ATM | nearest(non-0DTE) | 09:15o | 498 | 32.3 | -7.2 | -8.1 | -3567.4 | -0.1 | 1.0 | -7.3 | -6.6 | -3.5 | -1978.2 | -1589.1 |
| STRADDLE_all | 15:28 | ATM | nearest(non-0DTE) | 09:15o | 495 | 14.5 | -16.5 | -16.1 | -8154.7 | -2.4 | 2.1 | -17.1 | -14.5 | -13.1 | -3542.0 | -4612.7 |
| CE_all | 15:28 | ATM | nearest(non-0DTE) | 09:16 | 498 | 37.8 | -14.3 | -16.5 | -7114.7 | -7.2 | 1.1 | -15.6 | -10.0 | -14.9 | -1622.5 | -5492.2 |
| PE_all | 15:28 | ATM | nearest(non-0DTE) | 09:16 | 496 | 39.5 | -5.2 | -10.5 | -2601.4 | 1.8 | 1.0 | -6.3 | -1.9 | 3.1 | -1860.0 | -741.5 |
| STRADDLE_all | 15:28 | ATM | nearest(non-0DTE) | 09:16 | 495 | 14.7 | -19.6 | -23.1 | -9707.0 | -5.5 | 2.1 | -22.0 | -12.0 | -11.7 | -3473.3 | -6233.7 |
| CE_all | 15:28 | ATM | nearest(non-0DTE) | 09:20 | 503 | 36.4 | -13.7 | -15.7 | -6867.8 | -6.6 | 1.1 | -15.1 | -9.2 | -14.7 | -1838.0 | -5029.8 |
| PE_all | 15:28 | ATM | nearest(non-0DTE) | 09:20 | 501 | 39.1 | -5.9 | -10.1 | -2935.5 | 1.2 | 1.0 | -6.9 | -2.7 | 2.4 | -1682.3 | -1253.2 |
| STRADDLE_all | 15:28 | ATM | nearest(non-0DTE) | 09:20 | 500 | 16.8 | -19.5 | -23.1 | -9738.6 | -5.4 | 2.1 | -21.9 | -11.9 | -12.3 | -3455.6 | -6283.0 |
| CE_all | 15:28 | ATM | nearest(non-0DTE) | 09:30 | 503 | 35.2 | -15.4 | -19.2 | -7742.7 | -8.3 | 1.1 | -16.6 | -11.6 | -16.4 | -2514.4 | -5228.3 |
| PE_all | 15:28 | ATM | nearest(non-0DTE) | 09:30 | 502 | 38.0 | -4.6 | -13.0 | -2291.8 | 2.5 | 1.0 | -5.4 | -1.9 | 2.2 | -1565.4 | -726.4 |
| STRADDLE_all | 15:28 | ATM | nearest(non-0DTE) | 09:30 | 501 | 19.4 | -19.9 | -23.4 | -9970.2 | -5.8 | 2.1 | -21.9 | -13.5 | -14.2 | -4015.4 | -5954.7 |
| CE_all | 15:28 | ATM | nearest(non-0DTE) | 09:45 | 505 | 34.5 | -14.9 | -21.4 | -7512.0 | -7.8 | 1.1 | -16.7 | -9.1 | -14.3 | -2211.6 | -5300.4 |
| PE_all | 15:28 | ATM | nearest(non-0DTE) | 09:45 | 503 | 38.0 | -5.0 | -13.4 | -2504.8 | 2.1 | 1.0 | -5.4 | -3.7 | 0.9 | -1797.3 | -707.5 |
| STRADDLE_all | 15:28 | ATM | nearest(non-0DTE) | 09:45 | 503 | 22.9 | -20.0 | -23.6 | -10075.0 | -5.9 | 2.1 | -22.3 | -12.8 | -13.4 | -4067.1 | -6007.8 |
| CE_all | 15:28 | ATM | next weekly | 09:15o | 478 | 41.4 | -8.5 | -5.8 | -4048.2 | -1.2 | 1.2 | -8.9 | -7.0 | -10.4 | -490.7 | -3557.5 |
| PE_all | 15:28 | ATM | next weekly | 09:15o | 475 | 37.9 | -5.1 | -5.8 | -2427.4 | 2.0 | 1.1 | -5.5 | -3.8 | -2.7 | -1512.6 | -914.8 |
| STRADDLE_all | 15:28 | ATM | next weekly | 09:15o | 474 | 22.8 | -14.0 | -13.5 | -6618.1 | 0.4 | 2.4 | -14.6 | -11.8 | -12.8 | -2029.9 | -4588.3 |
| CE_all | 15:28 | ATM | next weekly | 09:16 | 475 | 38.7 | -12.7 | -11.6 | -6041.1 | -5.5 | 1.2 | -13.7 | -9.6 | -15.2 | -895.7 | -5145.4 |
| PE_all | 15:28 | ATM | next weekly | 09:16 | 475 | 40.2 | -4.7 | -7.9 | -2213.5 | 2.5 | 1.1 | -6.0 | -0.4 | 3.9 | -1984.5 | -229.0 |
| STRADDLE_all | 15:28 | ATM | next weekly | 09:16 | 472 | 12.5 | -17.9 | -20.3 | -8466.5 | -3.6 | 2.4 | -19.9 | -11.7 | -11.1 | -2896.5 | -5570.0 |
| CE_all | 15:28 | ATM | next weekly | 09:20 | 480 | 38.8 | -11.8 | -11.4 | -5682.1 | -4.6 | 1.2 | -12.9 | -8.4 | -14.7 | -1123.9 | -4558.1 |
| PE_all | 15:28 | ATM | next weekly | 09:20 | 480 | 40.4 | -5.1 | -8.9 | -2443.6 | 2.1 | 1.1 | -6.4 | -0.7 | 3.7 | -1792.4 | -651.1 |
| STRADDLE_all | 15:28 | ATM | next weekly | 09:20 | 478 | 14.2 | -17.5 | -19.6 | -8372.9 | -3.1 | 2.4 | -19.4 | -11.2 | -10.8 | -2916.7 | -5456.2 |
| CE_all | 15:28 | ATM | next weekly | 09:30 | 480 | 40.0 | -13.4 | -15.2 | -6415.5 | -6.1 | 1.2 | -14.3 | -10.4 | -16.0 | -1575.1 | -4840.4 |
| PE_all | 15:28 | ATM | next weekly | 09:30 | 481 | 41.2 | -4.2 | -8.5 | -2023.4 | 2.9 | 1.2 | -5.4 | -0.2 | 2.7 | -1768.2 | -255.2 |
| STRADDLE_all | 15:28 | ATM | next weekly | 09:30 | 479 | 16.3 | -18.2 | -20.8 | -8721.6 | -3.8 | 2.4 | -19.8 | -13.0 | -13.1 | -3351.5 | -5370.1 |
| CE_all | 15:28 | ATM | next weekly | 09:45 | 481 | 37.8 | -13.3 | -17.6 | -6394.4 | -6.1 | 1.2 | -14.8 | -8.3 | -14.1 | -1441.2 | -4953.2 |
| PE_all | 15:28 | ATM | next weekly | 09:45 | 481 | 40.7 | -4.2 | -9.3 | -1998.0 | 3.0 | 1.2 | -5.1 | -1.2 | 2.0 | -1778.7 | -219.4 |
| STRADDLE_all | 15:28 | ATM | next weekly | 09:45 | 480 | 17.9 | -17.9 | -20.8 | -8599.9 | -3.5 | 2.4 | -19.9 | -11.5 | -12.1 | -3213.5 | -5386.4 |
| CE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:15o | 497 | 34.8 | -10.5 | -8.1 | -5202.1 | -3.3 | 1.1 | -11.4 | -7.5 | -12.8 | -1806.8 | -3395.3 |
| PE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:15o | 498 | 34.3 | -7.5 | -8.2 | -3722.3 | -0.4 | 1.1 | -8.0 | -5.9 | -2.7 | -2133.4 | -1588.9 |
| STRADDLE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:15o | 492 | 17.1 | -16.9 | -18.0 | -8321.4 | -2.7 | 2.2 | -18.7 | -11.2 | -13.7 | -3627.6 | -4693.7 |
| CE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:16 | 495 | 38.2 | -15.7 | -16.4 | -7753.8 | -8.6 | 1.1 | -16.5 | -13.2 | -18.8 | -1875.8 | -5878.0 |
| PE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:16 | 498 | 41.0 | -4.8 | -10.5 | -2399.9 | 2.3 | 1.1 | -5.9 | -1.3 | 4.7 | -1856.0 | -543.9 |
| STRADDLE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:16 | 491 | 14.9 | -19.2 | -22.7 | -9416.1 | -5.0 | 2.2 | -21.6 | -11.6 | -11.7 | -3369.9 | -6046.2 |
| CE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:20 | 500 | 38.4 | -14.9 | -16.2 | -7433.4 | -7.7 | 1.1 | -15.8 | -11.9 | -18.2 | -2094.2 | -5339.2 |
| PE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:20 | 499 | 41.5 | -5.5 | -10.4 | -2736.9 | 1.6 | 1.1 | -6.4 | -2.4 | 3.9 | -1587.4 | -1149.5 |
| STRADDLE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:20 | 495 | 17.6 | -19.0 | -22.5 | -9410.3 | -4.8 | 2.2 | -21.4 | -11.2 | -12.0 | -3316.7 | -6093.6 |
| CE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:30 | 502 | 37.6 | -16.7 | -19.2 | -8403.7 | -9.6 | 1.1 | -17.4 | -14.5 | -19.8 | -2758.2 | -5645.5 |
| PE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:30 | 500 | 40.4 | -4.1 | -12.4 | -2072.4 | 2.9 | 1.1 | -5.0 | -1.4 | 4.0 | -1494.4 | -578.0 |
| STRADDLE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:30 | 497 | 19.7 | -19.5 | -23.2 | -9688.8 | -5.3 | 2.2 | -21.6 | -12.7 | -13.4 | -3899.1 | -5789.7 |
| CE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:45 | 503 | 36.8 | -16.4 | -21.5 | -8259.7 | -9.3 | 1.1 | -17.8 | -12.0 | -17.8 | -2568.3 | -5691.5 |
| PE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:45 | 500 | 40.4 | -4.7 | -13.3 | -2353.3 | 2.4 | 1.1 | -5.0 | -3.6 | 2.2 | -1716.7 | -636.7 |
| STRADDLE_all | 15:28 | ITM1 | nearest(non-0DTE) | 09:45 | 498 | 21.9 | -19.7 | -23.2 | -9831.5 | -5.5 | 2.2 | -22.0 | -12.5 | -13.1 | -3966.5 | -5865.0 |
| CE_all | 15:28 | ITM1 | next weekly | 09:15o | 477 | 38.4 | -10.3 | -6.8 | -4927.6 | -3.0 | 1.3 | -11.0 | -8.3 | -11.1 | -665.3 | -4262.3 |
| PE_all | 15:28 | ITM1 | next weekly | 09:15o | 474 | 39.9 | -7.4 | -6.7 | -3529.2 | -0.3 | 1.2 | -5.9 | -12.4 | -4.7 | -1563.2 | -1966.1 |
| STRADDLE_all | 15:28 | ITM1 | next weekly | 09:15o | 469 | 20.9 | -15.6 | -14.7 | -7321.4 | -1.2 | 2.5 | -15.3 | -16.5 | -13.3 | -1731.3 | -5590.1 |
| CE_all | 15:28 | ITM1 | next weekly | 09:16 | 475 | 38.9 | -14.1 | -11.9 | -6697.5 | -6.8 | 1.3 | -14.5 | -12.7 | -18.1 | -1236.1 | -5461.4 |
| PE_all | 15:28 | ITM1 | next weekly | 09:16 | 473 | 41.6 | -5.7 | -8.5 | -2710.4 | 1.4 | 1.2 | -6.1 | -4.4 | 2.7 | -2054.4 | -656.0 |
| STRADDLE_all | 15:28 | ITM1 | next weekly | 09:16 | 469 | 12.4 | -17.5 | -19.9 | -8202.4 | -3.0 | 2.5 | -19.2 | -11.8 | -11.3 | -2791.2 | -5411.2 |
| CE_all | 15:28 | ITM1 | next weekly | 09:20 | 479 | 38.8 | -13.0 | -11.2 | -6220.8 | -5.7 | 1.3 | -13.5 | -11.5 | -17.3 | -1397.9 | -4822.9 |
| PE_all | 15:28 | ITM1 | next weekly | 09:20 | 474 | 41.8 | -6.5 | -9.2 | -3095.9 | 0.6 | 1.2 | -6.8 | -5.5 | 2.5 | -1871.5 | -1224.4 |
| STRADDLE_all | 15:28 | ITM1 | next weekly | 09:20 | 471 | 14.0 | -17.4 | -19.6 | -8195.8 | -2.9 | 2.5 | -19.1 | -11.7 | -11.1 | -2836.3 | -5359.5 |
| CE_all | 15:28 | ITM1 | next weekly | 09:30 | 481 | 39.1 | -14.6 | -14.8 | -7025.4 | -7.3 | 1.3 | -15.0 | -13.4 | -18.5 | -1862.1 | -5163.4 |
| PE_all | 15:28 | ITM1 | next weekly | 09:30 | 477 | 41.7 | -5.6 | -8.5 | -2661.0 | 1.6 | 1.2 | -6.0 | -4.1 | 2.7 | -1877.3 | -783.7 |
| STRADDLE_all | 15:28 | ITM1 | next weekly | 09:30 | 473 | 16.1 | -17.9 | -20.7 | -8489.5 | -3.5 | 2.5 | -19.6 | -12.6 | -12.3 | -3293.6 | -5195.9 |
| CE_all | 15:28 | ITM1 | next weekly | 09:45 | 482 | 38.0 | -14.5 | -17.2 | -6970.5 | -7.2 | 1.3 | -15.5 | -11.0 | -16.8 | -1794.8 | -5175.7 |
| PE_all | 15:28 | ITM1 | next weekly | 09:45 | 477 | 41.7 | -5.3 | -10.1 | -2515.4 | 1.9 | 1.2 | -5.4 | -4.8 | 2.4 | -1803.8 | -711.6 |
| STRADDLE_all | 15:28 | ITM1 | next weekly | 09:45 | 473 | 18.4 | -17.8 | -21.0 | -8439.3 | -3.4 | 2.5 | -19.7 | -11.6 | -11.3 | -3222.3 | -5217.0 |
Day before expiry (signal day = one trading day before the Nifty weekly expiry)
Expiry calendar: Thursday until Aug 2025 and Tuesday from Sep 2025, with holiday weeks moved to the previous trading day (2022-04-13, 2023-01-25, 2023-03-29, 2023-06-28, 2024-04-10, 2024-08-14, 2025-04-09, 2025-04-30, 2025-10-20, 2026-03-02, 2026-03-30, 2026-04-13, 2026-10-19, 2026-11-23). It matches every option-file expiry from 2024-10-03 to 2026-10-06 exactly (0 mismatches); earlier dates use the rule plus the actual trading days in the spot data. Files: expiry_calendar_2022_2026.csv, pre_expiry_days.csv. Tomorrow, Thu 2026-10-22, is NOT a pre-expiry day: the next expiry is Tue 2026-10-27, so the pre-expiry day is Mon 2026-10-26. The last one was Fri 2026-10-16, before the Dussehra-shifted Mon 2026-10-19 expiry.
Day-before-expiry overnight verdict: FAIL. 103 pre-expiry entry days (2024-10-01 to 2026-09-29). Of 480 rule variants, 51 were profitable and 3 beat 95% of random same-size sets drawn from pre-expiry days. Chance alone would give about 24. 1 variant passed the robustness filter, which is about what chance gives across this many tests.
- Holding into expiry day is even more expensive than a normal night. Buy ATM at 15:25 in the contract expiring the next day, sell at the 09:16 close. CE every day: -29.5 pts/trade (win 23%, n=103). PE every day: +0.7 (win 38%, median -12.0; t-test p=0.91; the positive mean comes from a few big down-gap winners). Straddle every day: -28.7 (win 14%). With the following weekly instead, CE is -25.1. The 6 pts of slippage is large against these premiums. Expiring-next-day ATM options cost a median of 79 pts (CE) and 69 pts (PE) at 15:25, so slippage plus costs take about 9–10% of the premium per round trip, vs about 4% for the following weekly (CE 202, PE 161 pts).
- Signals don't fix it. Up day → CE / down day → PE averages -13.1 pts. last30 momentum averages -22.9 and last30 fade -5.0 (0.1% threshold, expiring next day, 09:16 exit). Anything with X=0.3 or 0.5% has at most 8 trades, and most of those variants have 0–2.
- The one "pass": last30 fade at 0.1%, ITM1 following weekly, exit at the 09:15 open. n=42, average +3.2 pts, train +123 (14 trades), test +13 (28 trades, about +0.5 pts per trade), percentile vs random 97. It matches the spot result that last30 reverses at the gap before expiry. But it only works with a 09:15 first-print exit, which is hard to get reliably. The neighbouring variants turn negative (expiring-next-day ITM test -127; any 09:16 exit is about −5 to −7 pts per trade). Treat it as chance, not a rule.
Headline variants (ATM, entry 15:25, exits at the 09:15 open and 09:16 close)
Points per unit after 3 pts slippage per leg plus brokerage and taxes. Signals use only data up to 15:25. Train = 2024-10 to 2025-06, test = 2025-07 to 2026-09. Variants with fewer than 20 trades are small samples and should be ignored.
| signal | X | strike | expiry | exit | trades | win_pct | avg | median | total | max_dd | avg_raw | avg_cost | n_train | tot_train | n_test | tot_test | pctile_vs_random | robust_pass |
|---|
| CE_all | 0.0 | ATM | expiring next day | 09:15o | 103 | 24.3 | -16.8 | -10.9 | -1727.9 | 1727.9 | -9.9 | 0.9 | 38.0 | -609.3 | 65.0 | -1118.6 | | False |
| PE_all | 0.0 | ATM | expiring next day | 09:15o | 103 | 29.1 | -6.4 | -8.9 | -662.6 | 822.9 | 0.5 | 0.9 | 38.0 | -212.0 | 65.0 | -450.6 | | False |
| STRADDLE_all | 0.0 | ATM | expiring next day | 09:15o | 103 | 9.7 | -23.2 | -21.7 | -2390.5 | 2447.6 | -9.4 | 1.8 | 38.0 | -821.3 | 65.0 | -1569.2 | | False |
| combo_both | 0.1 | ATM | expiring next day | 09:15o | 27 | 22.2 | -24.5 | -18.7 | -662.0 | 662.0 | -17.6 | 0.9 | 9.0 | -220.8 | 18.0 | -441.2 | 7.2 | False |
| combo_both | 0.3 | ATM | expiring next day | 09:15o | 5 | 20.0 | -23.5 | -59.5 | -117.6 | 308.5 | -16.6 | 0.9 | 0.0 | 0.0 | 5.0 | -117.6 | 16.4 | False |
| combo_both | 0.5 | ATM | expiring next day | 09:15o | 2 | 50.0 | 13.7 | 13.7 | 27.5 | 187.4 | 20.8 | 1.0 | 0.0 | 0.0 | 2.0 | 27.5 | 84.6 | False |
| day_fade | 0.0 | ATM | expiring next day | 09:15o | 103 | 20.4 | -13.4 | -12.9 | -1380.1 | 1380.1 | -6.5 | 0.9 | 38.0 | -617.4 | 65.0 | -762.7 | 34.5 | False |
| day_fade | 0.3 | ATM | expiring next day | 09:15o | 64 | 21.9 | -13.9 | -12.5 | -892.4 | 896.3 | -7.0 | 0.9 | 20.0 | -302.9 | 44.0 | -589.4 | 35.0 | False |
| day_mom | 0.0 | ATM | expiring next day | 09:15o | 103 | 33.0 | -9.8 | -8.4 | -1010.4 | 1287.8 | -2.9 | 0.9 | 38.0 | -203.9 | 65.0 | -806.5 | 68.0 | False |
| day_mom | 0.1 | ATM | expiring next day | 09:15o | 86 | 32.6 | -12.6 | -7.2 | -1082.0 | 1193.1 | -5.7 | 0.9 | 29.0 | -306.2 | 57.0 | -775.8 | 42.5 | False |
| day_mom | 0.3 | ATM | expiring next day | 09:15o | 64 | 32.8 | -12.7 | -6.7 | -814.7 | 965.6 | -5.8 | 0.9 | 20.0 | -258.3 | 44.0 | -556.3 | 44.5 | False |
| day_mom | 0.5 | ATM | expiring next day | 09:15o | 43 | 34.9 | -16.1 | -3.9 | -691.1 | 737.3 | -9.2 | 0.9 | 9.0 | -205.5 | 34.0 | -485.6 | 26.1 | False |
| downday_last30up_CE | 0.1 | ATM | expiring next day | 09:15o | 7 | 28.6 | -28.1 | -29.0 | -196.9 | 224.0 | -21.0 | 1.1 | 4.0 | -195.0 | 3.0 | -1.9 | 22.8 | False |
| downday_last30up_CE | 0.3 | ATM | expiring next day | 09:15o | 1 | 0.0 | -4.3 | -4.3 | -4.3 | 4.3 | 2.5 | 0.8 | 1.0 | -4.3 | 0.0 | 0.0 | 64.5 | False |
| last30_fade | 0.1 | ATM | expiring next day | 09:15o | 45 | 40.0 | -0.2 | -2.8 | -8.1 | 274.4 | 6.8 | 1.0 | 16.0 | 128.7 | 29.0 | -136.8 | 94.7 | False |
| last30_fade | 0.3 | ATM | expiring next day | 09:15o | 8 | 62.5 | 13.3 | 6.5 | 106.3 | 148.8 | 20.4 | 1.1 | 2.0 | -10.3 | 6.0 | 116.7 | 92.5 | False |
| last30_fade | 0.5 | ATM | expiring next day | 09:15o | 2 | 50.0 | 36.3 | 36.3 | 72.6 | 119.8 | 43.4 | 1.1 | 0.0 | 0.0 | 2.0 | 72.6 | 95.6 | False |
| last30_mom | 0.1 | ATM | expiring next day | 09:15o | 45 | 20.0 | -25.7 | -18.9 | -1156.5 | 1163.6 | -18.8 | 0.9 | 16.0 | -461.9 | 29.0 | -694.6 | 2.2 | False |
| last30_mom | 0.3 | ATM | expiring next day | 09:15o | 8 | 12.5 | -32.1 | -41.8 | -257.0 | 422.8 | -25.1 | 1.0 | 2.0 | -25.1 | 6.0 | -231.9 | 9.1 | False |
| last30_mom | 0.5 | ATM | expiring next day | 09:15o | 2 | 50.0 | 13.7 | 13.7 | 27.5 | 187.4 | 20.8 | 1.0 | 0.0 | 0.0 | 2.0 | 27.5 | 83.2 | False |
| CE_all | 0.0 | ATM | following weekly | 09:15o | 101 | 31.7 | -13.9 | -7.8 | -1399.7 | 1425.6 | -6.7 | 1.1 | 36.0 | -354.1 | 65.0 | -1045.6 | | False |
| PE_all | 0.0 | ATM | following weekly | 09:15o | 101 | 40.6 | -1.3 | -4.8 | -136.0 | 651.0 | 5.7 | 1.1 | 36.0 | -161.8 | 65.0 | 25.8 | | False |
| STRADDLE_all | 0.0 | ATM | following weekly | 09:15o | 101 | 14.9 | -15.2 | -14.1 | -1535.6 | 1535.6 | -1.0 | 2.2 | 36.0 | -515.9 | 65.0 | -1019.7 | | False |
| combo_both | 0.1 | ATM | following weekly | 09:15o | 27 | 18.5 | -20.4 | -13.0 | -549.5 | 559.5 | -13.2 | 1.2 | 9.0 | -175.6 | 18.0 | -373.9 | 4.8 | False |
| combo_both | 0.3 | ATM | following weekly | 09:15o | 5 | 20.0 | -23.5 | -23.6 | -117.7 | 226.4 | -16.4 | 1.2 | 0.0 | 0.0 | 5.0 | -117.7 | 9.8 | False |
| combo_both | 0.5 | ATM | following weekly | 09:15o | 2 | 50.0 | -26.6 | -26.6 | -53.1 | 173.6 | -19.3 | 1.3 | 0.0 | 0.0 | 2.0 | -53.1 | 11.4 | False |
| day_fade | 0.0 | ATM | following weekly | 09:15o | 101 | 33.7 | -7.8 | -10.4 | -785.4 | 832.0 | -0.7 | 1.1 | 36.0 | -260.7 | 65.0 | -524.7 | 49.8 | False |
| day_fade | 0.3 | ATM | following weekly | 09:15o | 63 | 34.9 | -6.1 | -11.6 | -385.4 | 552.7 | 1.0 | 1.1 | 19.0 | -150.9 | 44.0 | -234.5 | 61.2 | False |
| day_mom | 0.0 | ATM | following weekly | 09:15o | 101 | 38.6 | -7.4 | -4.6 | -750.2 | 868.0 | -0.3 | 1.1 | 36.0 | -255.1 | 65.0 | -495.1 | 52.4 | False |
| day_mom | 0.1 | ATM | following weekly | 09:15o | 85 | 40.0 | -7.6 | -3.7 | -643.6 | 701.0 | -0.4 | 1.1 | 28.0 | -199.7 | 57.0 | -443.9 | 52.2 | False |
| day_mom | 0.3 | ATM | following weekly | 09:15o | 63 | 42.9 | -7.3 | -1.4 | -458.7 | 558.4 | -0.1 | 1.1 | 19.0 | -169.9 | 44.0 | -288.8 | 54.5 | False |
| day_mom | 0.5 | ATM | following weekly | 09:15o | 43 | 48.8 | -8.8 | -0.1 | -377.7 | 521.9 | -1.6 | 1.1 | 9.0 | -66.1 | 34.0 | -311.5 | 43.5 | False |
| downday_last30up_CE | 0.1 | ATM | following weekly | 09:15o | 5 | 40.0 | -17.1 | -3.6 | -85.4 | 94.8 | -9.8 | 1.3 | 2.0 | -32.0 | 3.0 | -53.5 | 39.2 | False |
| downday_last30up_CE | 0.3 | ATM | following weekly | 09:15o | 1 | 100.0 | 0.5 | 0.5 | 0.5 | 0.0 | 7.6 | 1.1 | 1.0 | 0.5 | 0.0 | 0.0 | 67.2 | False |
| last30_fade | 0.1 | ATM | following weekly | 09:15o | 43 | 39.5 | 3.3 | -4.2 | 142.3 | 172.5 | 10.5 | 1.2 | 14.0 | 42.9 | 29.0 | 99.4 | 94.7 | False |
| last30_fade | 0.3 | ATM | following weekly | 09:15o | 8 | 37.5 | 3.6 | -2.5 | 28.8 | 152.0 | 11.0 | 1.4 | 2.0 | -9.2 | 6.0 | 38.1 | 83.7 | False |
| last30_fade | 0.5 | ATM | following weekly | 09:15o | 2 | 50.0 | 13.0 | 13.0 | 26.0 | 142.0 | 20.4 | 1.4 | 0.0 | 0.0 | 2.0 | 26.0 | 90.0 | False |
| last30_mom | 0.1 | ATM | following weekly | 09:15o | 43 | 23.3 | -17.6 | -13.0 | -756.0 | 772.4 | -10.4 | 1.2 | 14.0 | -189.8 | 29.0 | -566.2 | 6.2 | False |
| last30_mom | 0.3 | ATM | following weekly | 09:15o | 8 | 37.5 | -21.3 | -17.7 | -170.5 | 286.1 | -14.0 | 1.3 | 2.0 | 6.8 | 6.0 | -177.3 | 17.2 | False |
| last30_mom | 0.5 | ATM | following weekly | 09:15o | 2 | 50.0 | -26.6 | -26.6 | -53.1 | 173.6 | -19.3 | 1.3 | 0.0 | 0.0 | 2.0 | -53.1 | 12.3 | False |
| CE_all | 0.0 | ATM | expiring next day | 09:16 | 103 | 23.3 | -29.5 | -27.9 | -3036.8 | 3036.8 | -22.6 | 0.9 | 38.0 | -888.8 | 65.0 | -2148.0 | | False |
| PE_all | 0.0 | ATM | expiring next day | 09:16 | 103 | 37.9 | 0.7 | -12.0 | 76.5 | 601.3 | 7.7 | 0.9 | 38.0 | -25.1 | 65.0 | 101.6 | | False |
| STRADDLE_all | 0.0 | ATM | expiring next day | 09:16 | 103 | 13.6 | -28.7 | -31.6 | -2960.3 | 3057.0 | -14.9 | 1.8 | 38.0 | -914.0 | 65.0 | -2046.4 | | False |
| combo_both | 0.1 | ATM | expiring next day | 09:16 | 27 | 18.5 | -24.3 | -23.3 | -655.7 | 655.7 | -17.4 | 0.9 | 9.0 | -265.5 | 18.0 | -390.2 | 19.4 | False |
| combo_both | 0.3 | ATM | expiring next day | 09:16 | 5 | 20.0 | -33.4 | -77.7 | -166.8 | 385.4 | -26.5 | 0.9 | 0.0 | 0.0 | 5.0 | -166.8 | 10.1 | False |
| combo_both | 0.5 | ATM | expiring next day | 09:16 | 2 | 50.0 | 20.5 | 20.5 | 41.0 | 183.0 | 27.5 | 1.0 | 0.0 | 0.0 | 2.0 | 41.0 | 75.7 | False |
| day_fade | 0.0 | ATM | expiring next day | 09:16 | 103 | 27.2 | -15.7 | -20.7 | -1615.6 | 1615.6 | -8.8 | 0.9 | 38.0 | -432.1 | 65.0 | -1183.5 | 42.4 | False |
| day_fade | 0.3 | ATM | expiring next day | 09:16 | 64 | 25.0 | -17.6 | -20.3 | -1123.4 | 1123.4 | -10.6 | 0.9 | 20.0 | -189.8 | 44.0 | -933.6 | 36.5 | False |
| day_mom | 0.0 | ATM | expiring next day | 09:16 | 103 | 34.0 | -13.1 | -15.5 | -1344.7 | 1669.7 | -6.2 | 0.9 | 38.0 | -481.8 | 65.0 | -862.8 | 59.6 | False |
| day_mom | 0.1 | ATM | expiring next day | 09:16 | 86 | 32.6 | -15.9 | -14.7 | -1366.6 | 1501.3 | -9.0 | 0.9 | 29.0 | -524.2 | 57.0 | -842.3 | 41.0 | False |
| day_mom | 0.3 | ATM | expiring next day | 09:16 | 64 | 34.4 | -12.6 | -12.0 | -803.7 | 1022.7 | -5.7 | 0.9 | 20.0 | -318.1 | 44.0 | -485.5 | 60.7 | False |
| day_mom | 0.5 | ATM | expiring next day | 09:16 | 43 | 39.5 | -14.0 | -8.4 | -602.3 | 737.0 | -7.1 | 0.9 | 9.0 | -225.1 | 34.0 | -377.1 | 51.1 | False |
| downday_last30up_CE | 0.1 | ATM | expiring next day | 09:16 | 7 | 28.6 | -33.4 | -30.8 | -234.1 | 234.1 | -26.3 | 1.1 | 4.0 | -178.8 | 3.0 | -55.3 | 41.1 | False |
| downday_last30up_CE | 0.3 | ATM | expiring next day | 09:16 | 1 | 100.0 | 1.3 | 1.3 | 1.3 | 0.0 | 8.2 | 0.8 | 1.0 | 1.3 | 0.0 | 0.0 | 76.8 | False |
| last30_fade | 0.1 | ATM | expiring next day | 09:16 | 45 | 31.1 | -5.0 | -11.8 | -226.4 | 517.6 | 2.0 | 1.0 | 16.0 | 161.6 | 29.0 | -388.0 | 84.8 | False |
| last30_fade | 0.3 | ATM | expiring next day | 09:16 | 8 | 25.0 | -17.0 | -31.9 | -135.9 | 296.1 | -9.9 | 1.1 | 2.0 | -78.0 | 6.0 | -57.9 | 45.8 | False |
| last30_fade | 0.5 | ATM | expiring next day | 09:16 | 2 | 50.0 | -6.7 | -6.7 | -13.4 | 134.1 | 0.4 | 1.0 | 0.0 | 0.0 | 2.0 | -13.4 | 76.5 | False |
| last30_mom | 0.1 | ATM | expiring next day | 09:16 | 45 | 22.2 | -22.9 | -24.4 | -1032.6 | 1032.6 | -16.0 | 1.0 | 16.0 | -367.4 | 29.0 | -665.2 | 17.5 | False |
| last30_mom | 0.3 | ATM | expiring next day | 09:16 | 8 | 37.5 | -24.1 | -41.6 | -192.5 | 478.3 | -17.0 | 1.0 | 2.0 | 67.2 | 6.0 | -259.7 | 34.2 | False |
| last30_mom | 0.5 | ATM | expiring next day | 09:16 | 2 | 50.0 | 20.5 | 20.5 | 41.0 | 183.0 | 27.5 | 1.0 | 0.0 | 0.0 | 2.0 | 41.0 | 76.0 | False |
| CE_all | 0.0 | ATM | following weekly | 09:16 | 101 | 26.7 | -25.1 | -16.7 | -2539.4 | 2574.7 | -18.0 | 1.1 | 36.0 | -562.9 | 65.0 | -1976.5 | | False |
| PE_all | 0.0 | ATM | following weekly | 09:16 | 101 | 42.6 | 0.8 | -6.3 | 84.0 | 498.9 | 7.9 | 1.1 | 36.0 | -222.5 | 65.0 | 306.5 | | False |
| STRADDLE_all | 0.0 | ATM | following weekly | 09:16 | 101 | 4.0 | -24.3 | -23.4 | -2455.4 | 2455.4 | -10.1 | 2.2 | 36.0 | -785.3 | 65.0 | -1670.1 | | False |
| combo_both | 0.1 | ATM | following weekly | 09:16 | 27 | 25.9 | -19.7 | -16.7 | -531.5 | 546.3 | -12.5 | 1.2 | 9.0 | -209.4 | 18.0 | -322.1 | 24.1 | False |
| combo_both | 0.3 | ATM | following weekly | 09:16 | 5 | 40.0 | -27.5 | -70.1 | -137.4 | 342.9 | -20.3 | 1.1 | 0.0 | 0.0 | 5.0 | -137.4 | 11.4 | False |
| combo_both | 0.5 | ATM | following weekly | 09:16 | 2 | 50.0 | 12.1 | 12.1 | 24.1 | 181.3 | 19.4 | 1.3 | 0.0 | 0.0 | 2.0 | 24.1 | 68.1 | False |
| day_fade | 0.0 | ATM | following weekly | 09:16 | 101 | 33.7 | -10.7 | -12.0 | -1084.2 | 1126.8 | -3.6 | 1.1 | 36.0 | -111.5 | 65.0 | -972.8 | 59.2 | False |
| day_fade | 0.3 | ATM | following weekly | 09:16 | 63 | 30.2 | -12.1 | -12.0 | -762.3 | 789.6 | -5.0 | 1.1 | 19.0 | -11.6 | 44.0 | -750.7 | 51.1 | False |
| day_mom | 0.0 | ATM | following weekly | 09:16 | 101 | 35.6 | -13.6 | -9.3 | -1371.2 | 1491.4 | -6.5 | 1.1 | 36.0 | -673.9 | 65.0 | -697.3 | 41.9 | False |
| day_mom | 0.1 | ATM | following weekly | 09:16 | 85 | 35.3 | -14.6 | -9.1 | -1236.8 | 1301.3 | -7.4 | 1.1 | 28.0 | -582.0 | 57.0 | -654.8 | 34.5 | False |
| day_mom | 0.3 | ATM | following weekly | 09:16 | 63 | 38.1 | -13.2 | -7.6 | -829.7 | 896.3 | -6.0 | 1.1 | 19.0 | -418.1 | 44.0 | -411.6 | 43.6 | False |
| day_mom | 0.5 | ATM | following weekly | 09:16 | 43 | 41.9 | -11.4 | -4.4 | -489.9 | 651.1 | -4.3 | 1.1 | 9.0 | -166.4 | 34.0 | -323.6 | 55.8 | False |
| downday_last30up_CE | 0.1 | ATM | following weekly | 09:16 | 5 | 40.0 | -10.9 | -15.9 | -54.7 | 54.7 | -3.6 | 1.3 | 2.0 | -11.8 | 3.0 | -42.9 | 74.8 | False |
| downday_last30up_CE | 0.3 | ATM | following weekly | 09:16 | 1 | 100.0 | 4.0 | 4.0 | 4.0 | 0.0 | 11.1 | 1.1 | 1.0 | 4.0 | 0.0 | 0.0 | 76.1 | False |
| last30_fade | 0.1 | ATM | following weekly | 09:16 | 43 | 37.2 | -7.2 | -3.7 | -309.1 | 395.4 | 0.0 | 1.2 | 14.0 | -103.6 | 29.0 | -205.5 | 72.5 | False |
| last30_fade | 0.3 | ATM | following weekly | 09:16 | 8 | 37.5 | -13.2 | -14.6 | -105.8 | 265.2 | -5.9 | 1.4 | 2.0 | -79.9 | 6.0 | -25.9 | 48.1 | False |
| last30_fade | 0.5 | ATM | following weekly | 09:16 | 2 | 50.0 | -13.5 | -13.5 | -27.0 | 136.7 | -6.1 | 1.4 | 0.0 | 0.0 | 2.0 | -27.0 | 62.0 | False |
| last30_mom | 0.1 | ATM | following weekly | 09:16 | 43 | 30.2 | -14.7 | -16.0 | -630.3 | 645.1 | -7.5 | 1.2 | 14.0 | -130.4 | 29.0 | -499.9 | 39.6 | False |
| last30_mom | 0.3 | ATM | following weekly | 09:16 | 8 | 50.0 | -16.9 | -29.2 | -134.8 | 401.4 | -9.5 | 1.3 | 2.0 | 61.0 | 6.0 | -195.9 | 39.6 | False |
| last30_mom | 0.5 | ATM | following weekly | 09:16 | 2 | 50.0 | 12.1 | 12.1 | 24.1 | 181.3 | 19.4 | 1.3 | 0.0 | 0.0 | 2.0 | 24.1 | 69.0 | False |
Top 10 variants by percentile vs random (nearly all small samples)
| signal | X | strike | expiry | exit | trades | win_pct | avg | median | total | max_dd | avg_raw | avg_cost | n_train | tot_train | n_test | tot_test | pctile_vs_random | robust_pass |
|---|
| last30_fade | 0.1 | ITM1 | expiring next day | 09:15o | 45 | 46.7 | 2.3 | -0.8 | 101.3 | 324.5 | 9.3 | 1.1 | 16.0 | 228.7 | 29.0 | -127.4 | 97.0 | False |
| last30_fade | 0.1 | ITM1 | following weekly | 09:15o | 42 | 52.4 | 3.2 | 0.3 | 135.6 | 175.0 | 10.5 | 1.3 | 14.0 | 122.8 | 28.0 | 12.8 | 96.8 | True |
| last30_fade | 0.5 | ATM | expiring next day | 09:15o | 2 | 50.0 | 36.3 | 36.3 | 72.6 | 119.8 | 43.4 | 1.1 | 0.0 | 0.0 | 2.0 | 72.6 | 95.6 | False |
| last30_fade | 0.1 | ATM | following weekly | 09:15o | 43 | 39.5 | 3.3 | -4.2 | 142.3 | 172.5 | 10.5 | 1.2 | 14.0 | 42.9 | 29.0 | 99.4 | 94.7 | False |
| last30_fade | 0.1 | ATM | expiring next day | 09:15o | 45 | 40.0 | -0.2 | -2.8 | -8.1 | 274.4 | 6.8 | 1.0 | 16.0 | 128.7 | 29.0 | -136.8 | 94.7 | False |
| last30_fade | 0.5 | ATM | following weekly | 09:30 | 2 | 50.0 | 15.4 | 15.4 | 30.8 | 104.1 | 22.8 | 1.4 | 0.0 | 0.0 | 2.0 | 30.8 | 93.2 | False |
| last30_fade | 0.5 | ATM | expiring next day | 09:30 | 2 | 50.0 | 13.7 | 13.7 | 27.3 | 127.7 | 20.7 | 1.1 | 0.0 | 0.0 | 2.0 | 27.3 | 92.7 | False |
| last30_fade | 0.3 | ATM | expiring next day | 09:15o | 8 | 62.5 | 13.3 | 6.5 | 106.3 | 148.8 | 20.4 | 1.1 | 2.0 | -10.3 | 6.0 | 116.7 | 92.5 | False |
| downday_last30up_CE | 0.3 | ITM1 | expiring next day | 09:45 | 1 | 100.0 | 37.6 | 37.6 | 37.6 | 0.0 | 44.6 | 0.9 | 1.0 | 37.6 | 0.0 | 0.0 | 92.0 | False |
| downday_last30up_CE | 0.3 | ITM1 | following weekly | 09:45 | 1 | 100.0 | 33.5 | 33.5 | 33.5 | 0.0 | 40.7 | 1.2 | 1.0 | 33.5 | 0.0 | 0.0 | 91.5 | False |
Unconditional PE (ATM): is it really above zero?
| cfg | n | mean | t_p | wilcoxon_p | boot_CI_lo | boot_CI_hi | top3_share_of_total |
|---|
| ('15:25', 'ATM', 0, '09:15o') | 103 | -6.4 | 0.183 | 0.000 | -15.3 | 2.7 | |
| ('15:25', 'ATM', 0, '09:16') | 103 | 0.7 | 0.911 | 0.247 | -11.7 | 14.1 | 9.4 |
| ('15:25', 'ATM', 0, '09:20') | 103 | 0.6 | 0.932 | 0.239 | -11.4 | 13.7 | 12.7 |
| ('15:25', 'ATM', 0, '09:30') | 103 | 4.0 | 0.565 | 0.650 | -8.7 | 17.5 | 1.8 |
| ('15:25', 'ATM', 0, '09:45') | 103 | 0.0 | 0.996 | 0.354 | -12.2 | 13.3 | 180.5 |
| ('15:25', 'ATM', 1, '09:15o') | 101 | -1.3 | 0.778 | 0.149 | -10.4 | 8.8 | |
| ('15:25', 'ATM', 1, '09:16') | 101 | 0.8 | 0.885 | 0.519 | -10.6 | 12.9 | 7.6 |
| ('15:25', 'ATM', 1, '09:20') | 101 | 0.7 | 0.903 | 0.654 | -10.2 | 12.0 | 8.6 |
| ('15:25', 'ATM', 1, '09:30') | 101 | 3.9 | 0.506 | 0.637 | -7.9 | 15.6 | 1.4 |
| ('15:25', 'ATM', 1, '09:45') | 101 | 1.3 | 0.810 | 0.985 | -9.7 | 12.7 | 3.7 |
Full grid (540 variants: 2 strikes × 2 expiries × 5 exits × all signals): pre_overnight_summary.csv; trades: pre_overnight_trades_1525_ATM.csv.
Day before expiry + large late move
The combination test (pre-expiry day AND a large late-session move, 6 fixed definitions, spot and option-buyer trades, plus a list of every qualifying day) is on the last30-carryover page: Day before expiry + large late move. Verdict: FAIL.
Method notes
- Expiry: the nearest weekly expiring after the entry day (no same-day expiry), or the one after it ("next weekly"). Option files begin with the 2024-10-03 expiry, so Aug–Sep 2024 entries use that contract (3–6 weeks out).
- Strike: ATM = spot at the entry minute rounded to 50. ITM1 = 50 pts in the money. The strike is held unchanged overnight.
- Fills: entry = close of the entry-minute option bar (or the last bar within 3 minutes); exit = 09:15 bar open (first bar by 09:17) or the close of the 09:16/09:20/09:30/09:45 bar.
- Coverage: no option data after the 2026-10-06 expiry is cached, so October 2026 entries (including today) cannot be traded in the backtest. Entries 2024-08-23 → 2026-09-30 (Oct 2 was a holiday).
- Robust pass = train total > 0, test total > 0, better than 95% of random sets, and at least 20 trades.
Files
results/: overnight_summary.csv (all 1,620 variants), overnight_trades_1525_ATM_nearest.csv, today_comparables_*.csv. The discarded look-ahead run is kept only on the box and in S3, labelled DO_NOT_USE.