Notes

Retrieved Sep8 06UTC; date,period,group,f,a,alt,q_f,q_alt,diff [["2025-01-14","train",3,0.029216199,0.025371009,0.03224235,0.009504594,0.02655827,0.017053675],["2025-01-29","train",0,0.024992931,0.01107204,0.030590454,0.257176901,0.378209298,0.121032397],["2025-02-12","train",2,0.01825668,0.013793914,0.022331867,0.035857911,0.099465684,0.063607773],["2025-02-27","train",2,0.014228675,0.068993829,0.017404745,2.270170942,1.586807337,-0.683363605],["2025-03-13","train",3,0.039321407,0.028869107,0.043394234,0.043179976,0.072829694,0.029649717],["2025-03-27","train",1,0.040335354,0.378295925,0.043774198,6.140319594,5.48535193,-0.654967664],["2025-04-10","train",3,0.204929505,0.061787321,0.226155662,0.500473114,0.570732405,0.070259291],["2025-04-25","train",1,0.179992303,0.018066996,0.195337786,1.399203725,1.473134488,0.073930763],["2025-05-09","train",0,0.061699041,0.024667614,0.075517421,0.316582647,0.445520147,0.1289375],["2025-05-23","train",2,0.038601756,0.015058047,0.047218293,0.33147233,0.461771674,0.130299345],["2025-06-09","train",0,0.028181989,0.024574347,0.034493747,0.008967663,0.051504,0.042536338],["2025-06-24","train",0,0.025713289,0.012009121,0.031472147,0.228380954,0.345015794,0.11663484],["2025-07-09","train",2,0.020552674,0.018791859,0.025140364,0.003894029,0.038528537,0.034634508],["2025-07-23","train",0,0.017920403,0.01658069,0.021933933,0.002942042,0.035733961,0.03279192]] https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLF&timeframe=1Day&start=2022-01-01T00%3A00%3A00Z&end=2026-09-05T00%3A00%3A00Z&feed=sip&adjustment=all&limit=10000

Retrieved Sep8 06UTC; date,period,group,f,a,alt,q_f,q_alt,diff [["2024-06-24","train",0,0.012494443,0.008094608,0.015292752,0.081942498,0.165490938,0.08354844],["2024-07-09","train",0,0.009939185,0.019460844,0.012165207,0.286072488,0.129888877,-0.156183611],["2024-07-23","train",2,0.014141831,0.063715476,0.017298517,2.000171212,1.379484543,-0.62068667],["2024-08-06","train",3,0.041043825,0.017461996,0.045295056,0.280061134,0.338687644,0.058626511],["2024-08-20","train",0,0.035023109,0.009425871,0.042867033,0.581682846,0.734531161,0.152848314],["2024-09-04","train",0,0.016893029,0.022824963,0.020676463,0.050193109,0.005051617,-0.045141492],["2024-09-18","train",0,0.018301405,0.007724191,0.022400265,0.284675255,0.409541558,0.124866304],["2024-10-02","train",0,0.014764722,0.028937598,0.018071492,0.287013788,0.130478321,-0.156535467],["2024-10-16","train",0,0.019593668,0.010538453,0.02398195,0.158025628,0.261703384,0.103677756],["2024-10-30","train",0,0.018126378,0.110142736,0.022186039,3.271969603,2.362192618,-0.909776984],["2024-11-13","train",0,0.058936252,0.01070822,0.072135866,0.887136277,1.055984841,0.168848564],["2024-11-27","train",0,0.048222075,0.009969142,0.059022095,0.783056377,0.947322612,0.164266235],["2024-12-12","train",2,0.017111846,0.035746109,0.020931487,0.352298169,0.172580457,-0.179717712],["2024-12-27","train",1,0.025734042,0.024775599,0.027928032,0.000711281,0.00689464,0.006183359]] https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLF&timeframe=1Day&start=2022-01-01T00%3A00%3A00Z&end=2026-09-05T00%3A00%3A00Z&feed=sip&adjustment=all&limit=10000

Retrieved Sep8 06UTC; date,period,group,f,a,alt,q_f,q_alt,diff [["2023-11-30","train",0,0.018625461,0.015092161,0.022796899,0.020651364,0.074475976,0.053824611],["2023-12-14","train",0,0.014263139,0.01447716,0.017457573,0.000111463,0.016478086,0.016366622],["2023-12-29","train",0,0.01517465,0.006873657,0.018573229,0.244899757,0.364109127,0.11920937],["2024-01-16","train",2,0.011069949,0.01266901,0.013540941,0.009525906,0.002166707,-0.007359199],["2024-01-30","train",0,0.010963801,0.012638402,0.0134193,0.010598171,0.001761855,-0.008836315],["2024-02-13","train",2,0.01260676,0.015627079,0.015420794,0.02480725,8.8683e-05,-0.024718567],["2024-02-28","train",0,0.013625727,0.002755035,0.016677402,0.800723243,0.965820292,0.165097049],["2024-03-13","train",0,0.008866598,0.015834076,0.010852399,0.205938727,0.081261077,-0.124677651],["2024-03-27","train",0,0.010771331,0.016047042,0.013183724,0.09115546,0.02064433,-0.07051113],["2024-04-11","train",2,0.015258699,0.016907111,0.018664688,0.005446431,0.0047332,-0.000713231],["2024-04-25","train",0,0.015899827,0.009114025,0.019460819,0.129709123,0.226915612,0.09720649],["2024-05-09","train",0,0.012840489,0.015563282,0.015716299,0.019736414,4.7707e-05,-0.019688707],["2024-05-23","train",2,0.013585055,0.014127645,0.01661746,0.000776988,0.01248917,0.011712182],["2024-06-07","train",2,0.014394067,0.010702489,0.017607056,0.039874509,0.105675645,0.065801137]] https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLF&timeframe=1Day&start=2022-01-01T00%3A00%3A00Z&end=2026-09-05T00%3A00%3A00Z&feed=sip&adjustment=all&limit=10000

Retrieved Sep8 06UTC; date,period,group,f,a,alt,q_f,q_alt,diff [["2023-05-11","train",1,0.034587287,0.023743709,0.037536072,0.062655171,0.090541882,0.027886711],["2023-05-25","train",3,0.031588571,0.024253574,0.034860448,0.032027253,0.058522186,0.026494933],["2023-06-09","train",0,0.025576078,0.009461945,0.031304205,0.364332412,0.498732408,0.134399996],["2023-06-26","train",2,0.01785383,0.017642881,0.021839095,7.0356e-05,0.02122705,0.021156694],["2023-07-11","train",0,0.015813022,0.013422588,0.019354573,0.01272612,0.059499679,0.046773558],["2023-07-25","train",0,0.015750886,0.014579551,0.019278521,0.002910396,0.035630445,0.032720049],["2023-08-08","train",2,0.01482002,0.013291323,0.018128089,0.005716745,0.043540602,0.037823857],["2023-08-22","train",3,0.014240723,0.011040956,0.015715747,0.029802718,0.055592525,0.025789807],["2023-09-06","train",3,0.012527352,0.006238922,0.013824908,0.195131016,0.246945764,0.051814748],["2023-09-20","train",3,0.009279908,0.026385103,0.010241101,0.798302522,0.630002755,-0.168299767],["2023-10-04","train",3,0.016843709,0.015655964,0.018588344,0.002609658,0.013929088,0.011319431],["2023-10-18","train",3,0.019297206,0.033359976,0.021295969,0.181349909,0.117653474,-0.063696435],["2023-11-01","train",1,0.02470536,0.031518798,0.026811649,0.032223935,0.013815906,-0.01840803],["2023-11-15","train",0,0.029728549,0.006780136,0.036386681,0.706178827,0.866541274,0.160362447]] https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLF&timeframe=1Day&start=2022-01-01T00%3A00%3A00Z&end=2026-09-05T00%3A00%3A00Z&feed=sip&adjustment=all&limit=10000

Retrieved Sep8 06UTC; date,period,group,f,a,alt,q_f,q_alt,diff [["2022-10-19","train",1,0.091768564,0.058564283,0.099592415,0.087318478,0.119000589,0.031682111],["2022-11-02","train",0,0.076280896,0.089953853,0.093365089,0.014370574,0.000684175,-0.013686399],["2022-11-16","train",0,0.077066393,0.022319101,0.094326509,0.528833173,0.677934764,0.149101592],["2022-12-01","train",0,0.055132401,0.037416726,0.067480087,0.066290108,0.144200166,0.077910058],["2022-12-15","train",2,0.038271386,0.016358644,0.046814179,0.27738405,0.400867493,0.123483442],["2022-12-30","train",1,0.029792317,0.025779126,0.0323323,0.009979875,0.023819673,0.013839798],["2023-01-17","train",0,0.024818104,0.029369259,0.030376472,0.015005319,0.000562177,-0.014443141],["2023-01-31","train",0,0.027622026,0.012074691,0.033808372,0.264641838,0.386747776,0.122105938],["2023-02-14","train",2,0.020847832,0.014102377,0.025501405,0.067349926,0.145394115,0.078044188],["2023-03-01","train",0,0.015087649,0.14629406,0.018466743,6.424536933,4.852380858,-1.572156075],["2023-03-15","train",3,0.08125171,0.079812009,0.089667587,0.000158861,0.006522993,0.006364131],["2023-03-29","train",1,0.095204816,0.009711344,0.103321629,1.384740618,1.458543467,0.073802849],["2023-04-13","train",1,0.045454644,0.02304444,0.04932994,0.186267045,0.228255831,0.041988786],["2023-04-27","train",3,0.026431833,0.041019614,0.029169585,0.11242072,0.065322272,-0.047098448]] https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLF&timeframe=1Day&start=2022-01-01T00%3A00%3A00Z&end=2026-09-05T00%3A00%3A00Z&feed=sip&adjustment=all&limit=10000

Retrieved Sep8 06UTC; date,period,group,f,a,alt,q_f,q_alt,diff [["2022-03-30","train",0,0.065750628,0.023027661,0.080476418,0.399400326,0.537409784,0.138009458],["2022-04-13","train",3,0.034177245,0.06009744,0.037717251,0.193997863,0.127517783,-0.06648008],["2022-04-28","train",3,0.046815548,0.101184644,0.051664601,0.390615371,0.286316606,-0.104298765],["2022-05-12","train",3,0.075510835,0.087092864,0.083332085,0.01068355,0.000988722,-0.009694828],["2022-05-26","train",1,0.086085787,0.085218608,0.093425145,5.108e-05,0.00409994,0.00404886],["2022-06-10","train",3,0.086398171,0.088125548,0.095347107,0.00019724,0.003021835,0.002824595],["2022-06-27","train",1,0.086808299,0.018393874,0.094209256,0.763575286,0.828745635,0.065170349],["2022-07-12","train",3,0.054174278,0.06972806,0.059785533,0.034709801,0.012464114,-0.022245686],["2022-07-26","train",3,0.05158021,0.024874284,0.056922777,0.211548288,0.264844021,0.053295733],["2022-08-09","train",0,0.044753942,0.047050302,0.054777225,0.001273033,0.010996351,0.009723319],["2022-08-23","train",2,0.040094776,0.044821356,0.04904458,0.006446511,0.003935056,-0.002511454],["2022-09-07","train",0,0.044770759,0.069906854,0.054797808,0.115831527,0.03221004,-0.083621487],["2022-09-21","train",3,0.05629097,0.08929808,0.062121467,0.124920132,0.074587016,-0.050333115],["2022-10-05","train",1,0.076691728,0.102046272,0.083230183,0.044970874,0.022256604,-0.022714269]] https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLF&timeframe=1Day&start=2022-01-01T00%3A00%3A00Z&end=2026-09-05T00%3A00%3A00Z&feed=sip&adjustment=all&limit=10000

Retrieved Sep8 06UTC; [{"s":"XLF","date":"2026-09-04 04:00:00+00:00","S":58.1,"sigma":0.12267993731593207,"rv20":0.11775484665719067,"rv60":0.13056707990928815,"atr":0.668685714285715,"group":0,"bars":1173,"neg":false,"below":false,"calibrated_sigma":0.1357243939553389,"sha256":"941dbed872567ebfeb76d3e6bf9023e7dfac34275edcc421778e525a9b72e017","bars_truncated":false,"chain_truncated":false,"first":"2022-01-03T05:00:00Z","last":"2026-09-04T04:00:00Z"}] https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLF&timeframe=1Day&start=2022-01-01T00%3A00%3A00Z&end=2026-09-05T00%3A00%3A00Z&feed=sip&adjustment=all&limit=10000

Direct issuer June11 2026, period13weeks endedMay3, retrievedSep8: sales138.196m (-.1%YoY), comps-1%, GM52.1%(-160bp), adjustedEBITDA-10.5m, operatingCF-35.4m, cash56.998m vsFeb1 101.853m, inventory109.267m vs106.317m sequential/124.9mYoY; creditline0 drawn/34.9mavailable. GM bridge product+330bp, inbound/tariff-380bp,outbound/storage-110bp. Q2guide sales157–166m,adjEBITDA-4to+2m,netloss3–7m; FYsales700–740m,adjEBITDA35–46m,netincome5–12m. Outlook includes3.6m collected tariffrefunds expectedrecognizedQ2. Baseline notnewSeptembergrowth; issuer promotional and nonGAAP definition matters. https://investor.lovesac.com/news-events/press-releases/detail/164/the-lovesac-company-reports-first-quarter-fiscal-2027

{"n":3,"returns":[-5.392364480519829,7.939941307427634,-5.130499047026326],"p":0.3333333333333333,"W":7.939941307427634,"L":5.261431763773078,"open":0,"pending":0} All3operatorliquidations, notcompleted intendedPEAD exits, differentfromvolatilitytiming; noarrivalquotes so slippagenotestimable. Normalrisk8.5099USD,positioncap212.7475,quantcash245.69. Own naivequarterKellyclipped0; not3independentvolatilitytrades. Required349.01/850.99=41.0122%accountgain, notexpectedreturn. query_trades fund=quant September8 2026 ~06:08UTC; supplied account snapshot

Issuer primary page retrievedSep8: Sep4 closingprice82.21 agrees venuebar, NAV82.17,premium0.05%,effective duration15.06years,maturity26.11years; Sep3SECyield5.17%,trailing12myield4.74%; expense0.15% and monthlydistributions. Yield is not exact upcoming dividend schedule or riskfree rate. Firstorder duration approximation10bp parallel yieldrise ->-1.506%price beforeconvexity/carry,about-$1.23808/share at82.21; comparable to2ATR1.29751. This is a sensitivity, not yieldforecast. Issuer sells fund; independent of venue source but holdingsvaluation may use vendors. https://www.ishares.com/us/products/239454/ishares-20-year-treasury-bond-etf

RetrievedSep8 06:01UTC primaryvenuepricing. 30daycryptoexecutedvolume0–100000USD tier:maker.15%,taker.25% pertrade. Marketablelimitsaretakers, notautomaticmakerdiscount. Buysfeechargedcreditedcrypto,sellscreditedUSD. vectorbtcash-feeapproximation25bp perleg slightly differsfrombuyassetdeduction (order6ppm/roundtrip), immaterialtorejectionbutmustcorrectbeforeexecutableproposal. Slippageassumptionsseparate5bpmajors/30bpXRP-LTC/15bpUNI-LINK and doubledstress; historicalspreadnotmeasured. https://docs.alpaca.markets/us/docs/crypto-fees

Ledgerrequeried06:01UTC: oneclosedBTCtrade10,entry81614.8exit81548.7qty.001681857,47.9278minutes,operatorliquidation. GrosspriceP&L-.11117075USD/-.08099021%;0wins,avgwinundefined. Noopen/pending/closing positions. Entryarrivalquotes/actualfees unavailable, cannot measureorder-slippageorfitstrategyKelly. Monthlypressuredoesnotincreasethe1-observationevidence. query_trades fund=crypto trade10

Read06:01UTC: active14/25/76/77/78 all lastExit0. Custody76 last06:00next06:15remaining6;quotes77last06:00next06:30remaining2;funding78last05:15next06:15remaining1. Acceptance uncertainty from04UTC resolved by actual outputs, but custody missing05:30 and quote cadence04:45->05:15->06:00shows drift; not guaranteed15/30mincoverage. Dailyintegrity25last04:45 verifiesSep7all24hours3/3majorsOHLCVmatch. Census14last02:30:36/36pairs;7daydollarvolumeUSDC7860178,BTC986845,USDG403326(3/7days only),ETH395323,SOL249102,XRP238212,UNI158712,LTC152064,LINK145394,USDT87061. Rankusesv*vw; incompleteUSDGnotcomplete7dayvolume. Nonstablesevenarecurrentuniverse, nothistoricalsurvivorship-freeuniverse. list_jobs fund=crypto ; https://runway.adityaperswal.workers.dev/data/crypto-bars

Issuer Mar31 2026 factsheet inspectedSep8:SPYprice/yieldS&P500tracker,inceptionJan22 1993,netexpense0.0945%annual. This is fund operating drag, not our assumed perfillfees; historicalETFprices already incorporatefund expenses, so do not subtract twice. Doesnotestablishmarketvaluationcheapness or expectedmonthlyreturn. Issuercommercialsource, closest tofundterms. https://www.ssga.com/library-content/products/factsheets/etfs/us/factsheet-us-en-spy.pdf

FetchedSep8~06:03UTC;3panels2684bars each Jan4 2016–Sep4 2026, complete responsepagination. Fixed3large establishedsurvivorETFs, notwholemarket census; ignoresdelistedfunds andfactor shortlegs. Calibration2016–18, train2019–20,holdout2021–25,recent2026. Alladjusted OHLC notcashdividendledger. SPYone-symbolprobe fetchedbeforeprotocol onlyfirst2016rows inspected; fullpaneldownload afterfreeze. No strategyresults inspected beforefreeze. 162cost/window/exit/periodmetrics planned. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,EFA,EEM&timeframe=1Day&feed=sip&adjustment=all

June30quarter: November2025 ANarea incident idledallsiteproduction althoughammoniaplant/otherunits undamaged. H12026 recognized25m propertyinsurance and50m businessinterruption recoveries. Rebuildingperiod insurance recovery doesnotprove current acceptedproduction. Balancecash2480m includes341mBluePointVIE; commonstock earningsexclude203mNCI H1. https://www.sec.gov/Archives/edgar/data/1324404/000132440426000019/cf-20260630.htm

Aug5issuer release coveringH12026: sales4.21bn vs3.55bn,volume11%lower (5%excludingYazoo). Availableammoniacapacity98% utilized excludes unavailablecapacity. Earnings1.342bn include170m litigationgain; cash notpure scarcityrent. Commercial issuer interpretation of Iran supply disruption; no independent physical cargo tally. https://investor.cfindustries.com/Investors/news/news-details/2026/CF-Industries-Holdings-Inc--Reports-First-Half-2026-Net-Earnings-of-1-34-Billion-Adjusted-EBITDA-of-2-18-Billion/default.aspx

Cederburg/O'Doherty/Wang/Yan JFE2020 author-hosted23page paper inspectedSep8 2026. Examines103equity strategies: no systematic direct outperformance; positive spanning alphas can coexist with lower implementable out-of-sample Sharpe/certainty equivalents due to unstable regression coefficients. Original independent research, not a citation count; different decision criterion helps reconcile Moreira/Muir. It does not establish failure of every volatility rule. https://www.lehigh.edu/~xuy219/research/COWY.pdf

2017 Moreira/Muir author-hosted published paper, inspected2026-09-08. Monthly inverse prior realized variance scales excess factor returns; normalization matches unconditional volatility. TableI market annual alpha4.86%,beta.61,N1065; market sample1926–2015. Authors report positive results but this is neither a forecast nor our cash-only ETF/stop strategy. Source closest: original authors; incentive academic result, not independent execution. Our squared-log mean22day proxy, calibrationmedian and cappedlong exposure differ from centered monthly variance/fullsample normalization. https://amoreira2.github.io/alan-moreira.github.io/VolPortfolios_published.pdf

Sep8 06:01 own query_trades empty; no own holdings/orders. User equity850.99,cash850.99,new mispricing cap42.55 replaces prior127.65; 25% cap212.7475; fullpremium1% ceiling8.5099. Assumed$.20roundtrip fee implies centquoted onecontract ask<=.08; fee unverified. Job74 last04:45:23.949UTC,next06:45:23.949,14runs; last exit0 closed-session skip. Nominal postopen14:45 subject drift, supersedes14:30 estimate; manual13:50monitor71 remains earlier. Job22 last02:00:34.115,next06:00:34.115,5runs at query, due not yet reported; do not infer execution. Both collectors research/noorders; no action needed before08UTC. runway:query_trades/list_jobs?fund=mispricing

Retrieved Sep8 2026 06UTC. Provider documentation says indicative quotes are derived, not actual OPRA quotes; derivative trades delayed15min; historical options startFeb2024. Direct venue /data/option-chain/XLF?feed=opra&limit=1 returned403 message OPRA agreement is not signed. Distinguish entitlement failure from market closure. Exact subscription fee not reverified this run; prior $99 claim not used as a new fact. https://docs.alpaca.markets/us/docs/historical-option-data