Notes

On December 19, 2024, the issuer of LW R92000 reported its earnings. The data was collected on September 20. The pre-close price was adjusted to the same-day close using information from a website. The exact time of the first news about the earnings is not known, and there are gaps in the description that will be filled after checking the pre-open timestamp. On December 19, 2024, the stock prices were as follows: the pre-close price was 74.4, the open price was 62.74, and the close price was 59.44, with a gap of -0.1567204301075269 and a move of -0.2010752688172044. https://investors.lambweston.com/static-files/6d039ad7-9532-40e7-8a35-f2bdcb247771

On 2024-07-24, the issuer of LW R92000 reported its earnings. The stock's preclose price was 73.98, and it opened at 55.63. The stock then closed at 53.09. The gap, which is the difference between the preclose and open prices, was -0.2480400108137335, and the overall move, or change in price, was -0.28237361449040277. This data was collected on September 20 and adjusted from the original source at https://runway.adityaperswal.workers.dev/data/stock-bars. https://investors.lambweston.com/static-files/3a81b9fe-0ad9-47cd-889f-f45c183f75e8

On April 4, 2024, the issuer of LW R92000 reported its earnings. The data was collected on September 20. The preclose price was adjusted to the same-day close using information from a website that provides stock market data. The exact time of the first news about the earnings is not known, but there are some gaps in the information that will be reviewed. On April 4, 2024, the stock prices were as follows: the preclose price was 94.73, the open price was 82.94, and the close price was 76.38, with a gap of -0.12445898870473981 and a move of -0.1937084344980472. https://investors.lambweston.com/static-files/258445cb-83f4-4dc1-b2fc-fc232ca1c5fe

On 2024-01-04, the issuer of LW R92000 reported its earnings. The data was collected on September 20. The preclose price was adjusted to the same-day close using information from a website that provides stock market data. The exact time of the first news about the earnings is not known, and there are some gaps in the information that need to be checked. On 2024-01-04, the stock prices were as follows: the preclose price was 97.96, the open price was 99.72, and the close price was 98.27, with a gap of 0.01796651694569218 and a move of 0.0031645569620253333. https://investors.lambweston.com/static-files/2cd96a38-1e47-494d-af78-0e0eedddf5de

A news scan found the headline 'Sep20 initial 13 date-only end=2026-09-19 SIP requests 403 subscription does not permit recent SIP data; explicit RFC3339 start/end ending2026-09-18T20:00Z returned200 for all13 with931 bars each. IEX diagnostic returned200 but is not mixed with SIP. Requests do not establish reason beyond observed bounds sensitivity.' https://runway.adityaperswal.workers.dev/data/stock-bars

A technical screen of AGNC was completed on September 18. The screen looked at data from September 2020, and ended on September 18 at 20:00Z. It considered 931 data points from January 2023. The screen excluded the current day when looking at the prior 252 days. The results for AGNC were: symbol AGNC, close price 9.87, high price over 252 days 11.2, no breakout, volume ratio 8.57516707332209, simple moving average over 200 days 10.227055, simple moving average over 50 days 10.611400000000001, average true range over 20 days 0.18494500000000028, realized volatility over 20 days 0.14802471947101972, and momentum over 20 days -0.08611111111111125. https://runway.adityaperswal.workers.dev/data/stock-bars

A technical screen of BNTX was completed on September 18. The screen measured data from September 2020, with an end date of September 18, 2023, at 20:00Z. There were 931 bars of data since January 2023. The prior 252 days of data excluded the current day. The results for BNTX were as follows: the close was 96.06, the high over 252 days was 124, there was no breakout, the volume ratio was 0.8857975626706146, the Simple Moving Average over 200 days was 97.569325, the Simple Moving Average over 50 days was 97.1334, the Average True Range over 20 days was 4.0310500000000005, the Realized Volatility over 20 days was 0.46139914518211306, and the momentum over 20 days was -0.1337361349084678. A Simple Moving Average is a calculation of the average price of a stock over a certain period of time. Average True Range measures price volatility, and Realized Volatility measures the actual price fluctuations. https://runway.adityaperswal.workers.dev/data/stock-bars

A technical screen for NVDA was completed on September 18. The screen measured data from September 20, with an adjustment made to the Session Initialization Protocol, and ended at 20:00Z on September 18. This analysis covered 931 bars of data since January 2023. The prior 252-day period does not include the current day. The results for NVDA are as follows: the symbol is NVDA, the close price is 222.27, the high price over 252 days is 236, there was no breakout, the volume ratio is 1.465421451124309, the Simple Moving Average over 200 days is 198.0214, the Simple Moving Average over 50 days is 214.0672, the Average True Range over 20 days is 6.959749999999998, the Realized Volatility over 20 days is 0.4644403487702502, and the momentum over 20 days is 0.02612991089977368. A Simple Moving Average, or SMA, is a calculation of the average price of a stock over a certain period. Average True Range, or ATR, measures the volatility of a stock. Realized Volatility, or RV, measures the actual volatility of a stock. Momentum measures the rate of change of a stock's price. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"GSK","close":50.22,"high252":60.15,"breakout":false,"volume_ratio":1.741312099580422,"SMA200":51.614,"SMA50":50.849,"ATR20":1.0145000000000004,"RV20":0.24724882669127402,"mom20":-0.03348729792147809} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"COIN","close":194.25,"high252":402.16,"breakout":false,"volume_ratio":2.036072590994995,"SMA200":189.22150000000002,"SMA50":166.66300000000004,"ATR20":13.174744999999996,"RV20":0.9911991905647889,"mom20":0.12647877522616557} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"LW","close":46.67,"high252":65.06,"breakout":false,"volume_ratio":1.4424035148045622,"SMA200":46.0587,"SMA50":50.754400000000004,"ATR20":1.3983249999999992,"RV20":0.2590976942893251,"mom20":-0.12717411632691222} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"BB","close":7.99,"high252":13.59,"breakout":false,"volume_ratio":1.495555823506151,"SMA200":6.1538,"SMA50":8.5168,"ATR20":0.35761999999999994,"RV20":0.5713186745848879,"mom20":-0.01842751842751844} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"NOK","close":10.68,"high252":17.4,"breakout":false,"volume_ratio":2.148324118687574,"SMA200":9.763100000000001,"SMA50":10.13368,"ATR20":0.47204499999999994,"RV20":0.6554484525904888,"mom20":0.05221674876847282} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"HOOD","close":119.82,"high252":153.8599,"breakout":false,"volume_ratio":1.6410328044615226,"SMA200":94.900675,"SMA50":103.17500000000001,"ATR20":7.298804999999999,"RV20":0.9906029800443054,"mom20":0.2599369085173502} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"SFIX","close":2.84,"high252":5.94,"breakout":false,"volume_ratio":2.0158832706756296,"SMA200":3.9037,"SMA50":3.5039999999999996,"ATR20":0.12170000000000003,"RV20":0.4125909455689733,"mom20":-0.14970059880239517} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"MSTR","close":153.92,"high252":365.21,"breakout":false,"volume_ratio":1.9995313608887655,"SMA200":137.042375,"SMA50":110.8152,"ATR20":9.913484999999998,"RV20":1.1187902045487788,"mom20":0.3695168609306876} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"INTC","close":108.6,"high252":142.35,"breakout":false,"volume_ratio":1.872698309949248,"SMA200":77.155875,"SMA50":97.0935,"ATR20":5.060950000000001,"RV20":0.6104227591492847,"mom20":0.17876913057635946} https://runway.adityaperswal.workers.dev/data/stock-bars

Measured Sep20 from SIP adjustment=all, explicit end Sep18T20:00Z; 931 bars since Jan2023. Prior252 excludes current day. {"symbol":"MRNA","close":154.04,"high252":176.66,"breakout":false,"volume_ratio":0.7794756565192656,"SMA200":60.251324999999994,"SMA50":98.16660000000002,"ATR20":12.170190000000002,"RV20":0.8988653602901251,"mom20":0.15541554155415538} https://runway.adityaperswal.workers.dev/data/stock-bars

A news scan found the headline 'CAG R91908 nearer-put monitoring threshold'. This refers to a specific trading event for CAG, where on September 18, the bid price for Oct16P15 was $0.42 and the ask price was $0.62 at 19:59:59.920Z. Additionally, the prices for Oct9P15 were $0.33 and $0.72, and for Oct9C15.5, the prices were $0.27 and $0.58, all of which were above the $30 USD ticket cap. The price at S15.13 and the N11 close median were 2.0644096%. The gross median ceiling for Oct16P15 was 0.182345, and the net after assumed 0.02 friction was 0.162345. The P80 gross 4x ceiling was 0.1725619. It was noted that thresholds were not attainable quotes. The CAG date was September 30, with an issuer number of 122962. A local collector test was conducted on September 19 at 08:11, which resulted in no orders, marked as END 3/3. https://runway.adityaperswal.workers.dev/data/option-chain/CAG?feed=indicative

A news scan found the data line: Training 9 holdout 2, pre-event features, null mean absolute error 0.41221019 percentage points, momentum simple moving average correlation 0.81084352. The data included the following features: momentum 20 days, distance from simple moving average 50 days, realized volatility 20 days, and volume ratio. A list of results was found, including the feature momentum 20 with a correlation of 0.20530312358288083, the feature distance from simple moving average 50 with a correlation of -0.039806400030160734, the feature realized volatility 20 with a correlation of 0.026106648384342766, and the feature volume ratio with a correlation of 0.5813723892538876. Each feature had a coefficient, test prediction, and test mean absolute error percentage points, which were: for momentum 20, coefficients -0.010051597979586241 and 0.20802555608388995, test predictions -0.045557053941388044 and -0.0037710031346381402, and test mean absolute error percentage points 1.6770923487381457, for distance from simple moving average 50, coefficients -0.009070499809649841 and -0.04032181871462291, test predictions -0.00437596997655368 and -0.010650737475581248, and test mean absolute error percentage points 0.7259485665507276, for realized volatility 20, coefficients -0.014052927765274486 and 0.024245605966424062, test predictions -0.004820512368271064 and -0.0031365550217358727, and test mean absolute error percentage points 0.44323459193460296, and for volume ratio, coefficients -0.12862752455529364 and 0.08389556361082724, test predictions -0.03848645339046301 and -0.06875151307437757, and test mean absolute error percentage points 4.520810361807079. https://runway.adityaperswal.workers.dev/data/stock-bars

A news scan found the following data line: Close-reaction median is 2.064409579%, P80 is 5.421331762%, and the maximum is 8.041958042%, with a mean signed value of -0.881869058%. The training set has a median of 2.495543672%, and the holdout set has a median of 0.841087961%. Using a method called bootstrapping, which is a way to estimate uncertainty, with 50,000 independent and identically distributed samples, the median 95% confidence interval is [1.52155537, 5.42133176]%, and the P80 95% confidence interval is [2.06440958, 8.04195804]%. The overnight median is 2.81124498%, and P80 is 5.1240561%, which is a distinct time period. Excluding October 2025, the median for the next 10 periods is 1.98285204%, and P80 is 4.5825399%. The current cost for period 14 is 0.23, and for period 15 is 5.13, with a breakeven point of 8.988764%, and signed coverage of 0 out of 11. https://runway.adityaperswal.workers.dev/data/stock-bars

The fund had a 30 USD stock exposure per 1000 book, with 10 basis points fees and 10 basis points slippage on each side, from 2024 to 2025 for training and 2026 for holdout. There was no option profit and loss, and short diagnostic was not traded. The results were as follows: for long direction with 5 lag, the return was -0.4328 and drawdown was 0.7213 during the training era, with a 50 win rate and 8 samples, and the return was 0.0869 and drawdown was 0.1386 during the holdout era, with a 100 win rate and 2 samples. For short direction with 5 lag, the return was 0.2422 and drawdown was 0.2501 during the training era, with a 50 win rate and 8 samples, and the return was -0.1354 and drawdown was 0.2093 during the holdout era, with a 0 win rate and 2 samples. https://runway.adityaperswal.workers.dev/data/stock-bars

The fund has a 30 USD stock exposure out of a 1000 book, with 10 basis points fees and 10 basis points slippage on each side. The training period is from 2024 to 2025 and the holdout period is 2026. There is no option profit and loss, and short diagnostics are not traded. The results are as follows: for a long direction with a lag of 3, the return is -0.3426 and the drawdown is 0.5887 during the training period, with a win rate of 37.5 and a sample size of 8. In the holdout period, the return is 0.0151 and the drawdown is 0.0587, with a win rate of 50 and a sample size of 2. For a short direction with a lag of 3, the return is 0.1516 and the drawdown is 0.2503 during the training period, with a win rate of 50 and a sample size of 8. In the holdout period, the return is -0.0632 and the drawdown is 0.1157, with a win rate of 50 and a sample size of 2. https://runway.adityaperswal.workers.dev/data/stock-bars

The fund had a 30 USD stock exposure out of a 1000 book, with 10 basis points fees and 10 basis points liquidity cost, or slip, on each side of the trade, from 2024 to 2025 for training and 2026 for holdout. There were no option profits or losses. A short diagnostic was not traded. The results were as follows: for a long position with a 1 period lag, the return was -0.34807064890436906 and the drawdown was 0.49912153249627167, with a win rate of 33.33333333333333 percent, based on 9 samples during the training period, and a return of -0.07436439759600191 and a drawdown of 0.0743643975960051, with a win rate of 0 percent, based on 2 samples during the holdout period. For a short position with a 1 period lag, the return was 0.13303285494987982 and the drawdown was 0.18135063836151044, with a win rate of 66.66666666666666 percent, based on 9 samples during the training period, and a return of 0.02656625870674816 and a drawdown of 0.005997000000013131, with a win rate of 100 percent, based on 2 samples during the holdout period. https://runway.adityaperswal.workers.dev/data/stock-bars

A news scan found the headline 'CAG R91908 50000-path-per-scenario put simulation'. This is a simulation of a trading scenario. The simulation started on September 21 and ended on October 16, with an event on September 30. The simulation used empirical data from 11 close reactions to replace normal event day data. The Black-Scholes Model, or BSM, was used with a pre-IV of 0.3516 and post-IV of 22.5, 35, and 50 percent volatility. The interest rate was 4 percent, the premium was 0.23, the stop was 0.115, and the target was 0.69. Daily checks were made with a round trip cost of $1 and an exit friction of $0.01 per share. The initial BSM was 0.168158, which differs from the ask of 0.23. The scenarios were not calibrated to live odds. The simulation results were as follows: for a volatility of 0.225, the mean dollars was -12.330348315506978, the 5th percentile was -23.24046798397167, the win percentage was 5.822, the stop percentage was 93.92399999999999, and the target percentage was 5.0520000000000005. For a volatility of 0.35, the mean dollars was -6.1651577969990825, the 5th percentile was -20.426758276083017, the win percentage was 13.888, the stop percentage was 85.97, and the target percentage was 13.464. For a volatility of 0.5, the mean dollars was 0.12447433246189027, the 5th percentile was -21.2576392480981, the win percentage was 21.959999999999997, the stop percentage was 78.006, and the target percentage was 21.866. https://runway.adityaperswal.workers.dev/data/option-chain/CAG?feed=indicative