Notes

{"symbol":"XLB","bars":1332,"date":"2026-09-18 04:00:00+00:00","repair":false,"close":49.76,"sma200":49.94445,"atr20":0.7849999999999995,"high20":53.94,"r21":-0.04820198928844688,"r63":-0.03152977812378366,"r126":0.05580309781455539,"r252":0.12021611886537586,"avg":0.02407186231692518,"p90":0.10242204395726381,"windows":1255,"worstgap":-0.032136105860113395,"sma_distance":-0.003693103037474721,"high_drawdown":-0.07749351130886173,"eligible":false,"rank":null,"size":0,"stop":48.19,"target":54.856520907313445,"g":0.1,"stress":0}; accessed Sep21 00UTC; SIP adjustment=all, provider primary market feed; adjusted close is NOT raw executable quote. No repair triggered in this vintage. https://runway.adityaperswal.workers.dev/data/stock-bars

{"symbol":"XLF","bars":1332,"date":"2026-09-18 04:00:00+00:00","repair":false,"close":55.66,"sma200":53.26344999999999,"atr20":0.7054999999999996,"high20":58.39,"r21":-0.028282122905027962,"r63":0.046240601503759304,"r126":0.1499999999999999,"r252":0.04880346711889949,"avg":0.054190486429407686,"p90":0.11839449899401085,"windows":1255,"worstgap":-0.03914373088685008,"sma_distance":0.044994269053168834,"high_drawdown":-0.046754581263915074,"eligible":true,"rank":4,"size":0,"stop":54.248999999999995,"target":62.24983781400664,"g":0.1,"stress":0}; accessed Sep21 00UTC; SIP adjustment=all, provider primary market feed; adjusted close is NOT raw executable quote. No repair triggered in this vintage. https://runway.adityaperswal.workers.dev/data/stock-bars

{"symbol":"XLV","bars":1332,"date":"2026-09-18 04:00:00+00:00","repair":false,"close":167.75,"sma200":154.58825000000002,"atr20":2.1585000000000036,"high20":175.15,"r21":-0.041483343808925155,"r63":0.13206910514239434,"r126":0.15841447413852627,"r252":0.2487902925630907,"avg":0.12444763200877154,"p90":0.10626814878798006,"windows":1255,"worstgap":-0.026399635867091376,"sma_distance":0.08514068824765131,"high_drawdown":-0.04224950042820441,"eligible":true,"rank":3,"size":86.66,"stop":163.433,"target":185.57648195918364,"g":0.1,"stress":11.106454086438156}; accessed Sep21 00UTC; SIP adjustment=all, provider primary market feed; adjusted close is NOT raw executable quote. No repair triggered in this vintage. https://runway.adityaperswal.workers.dev/data/stock-bars

{"symbol":"XLE","bars":1332,"date":"2026-09-18 04:00:00+00:00","repair":false,"close":63.93,"sma200":54.98775,"atr20":1.2579999999999998,"high20":65.78,"r21":0.011550632911392356,"r63":0.20463538722442065,"r126":0.09826490293763945,"r252":0.47372060857538023,"avg":0.19704288291220817,"p90":0.20623380761303578,"windows":1255,"worstgap":-0.0579319636241159,"sma_distance":0.16262258412100872,"high_drawdown":-0.02812404986318029,"eligible":true,"rank":2,"size":86.66,"stop":61.414,"target":77.11452732070137,"g":0.1158639272482318,"stress":13.489459580485923}; accessed Sep21 00UTC; SIP adjustment=all, provider primary market feed; adjusted close is NOT raw executable quote. No repair triggered in this vintage. https://runway.adityaperswal.workers.dev/data/stock-bars

{"symbol":"XLK","bars":1332,"date":"2026-09-18 04:00:00+00:00","repair":false,"close":189.38,"sma200":162.04685,"atr20":3.140499999999997,"high20":189.59,"r21":0.0324374420759963,"r63":-0.008429760720456647,"r126":0.37301529761473207,"r252":0.4043752317389693,"avg":0.20034955267731025,"p90":0.18371503840112063,"windows":1255,"worstgap":-0.06256806256806269,"sma_distance":0.16867436793742052,"high_drawdown":-0.001107653357244609,"eligible":true,"rank":1,"size":86.66,"stop":183.099,"target":224.1719539724042,"g":0.12513612513612538,"stress":13.792109398828321}; accessed Sep21 00UTC; SIP adjustment=all, provider primary market feed; adjusted close is NOT raw executable quote. No repair triggered in this vintage. https://runway.adityaperswal.workers.dev/data/stock-bars

As Sep20 research, Sep18 indicative quotes: MLKN S20.66 Oct16P17.5 ask.63 bid.17 OI1; P20ask1.43bid.73OI9; C25ask.52bid0OI2. All fail50USD premium and/or liquidity. TJGC option_contracts Sep29–Oct30 returnsempty; no executable contract inferred from stock breakout. SFIXP2.5ask.28bid.03OI166spread89.29%,median16.578/P8031.414/hurdle21.831/P801.972x; LW P40ask.48bid.33OI312spread31.25%,median10.0174/P8020.1075/hurdle15.3203/P805.65455x. OI metadata is lagged, quotes indicative not confirmed OPRA. option_contracts + https://runway.adityaperswal.workers.dev/data/option-chain/MLKN?feed=indicative

Issuer Jun30 results for May31 period: revenue11.0bn -1%, Direct4.1bn -7%, wholesale6.6bn +4%, margin49.2% includes approximately900bp expected IEEPA recovery986m. Subtracting900bp gives approximately40.2%, not official adjusted metric. EPS.72 includes.52 recovery. Cash/investments9.0bn; full-year operating cash includes approximately.3bn tariff receipts; do not call entire986m cash received. Management source, not independent demand corroboration. https://www.sec.gov/Archives/edgar/data/320187/000032018726000076/q4fy26exhibit991er.htm

{"events":[{"date":"2023-09-28","reaction":"2023-09-29","pre":83.6,"post":89.19,"move":0.06686602870813396},{"date":"2023-12-21","reaction":"2023-12-22","pre":114.67,"post":101.11,"move":-0.11825237638440744},{"date":"2024-03-21","reaction":"2024-03-22","pre":94.69,"post":88.15,"move":-0.0690674833667757},{"date":"2024-06-27","reaction":"2024-06-28","pre":88.81,"post":71.06,"move":-0.19986488008107195},{"date":"2024-10-01","reaction":"2024-10-02","pre":84.41,"post":78.7,"move":-0.0676460135055088},{"date":"2024-12-19","reaction":"2024-12-20","pre":73.39,"post":73.24,"move":-0.0020438751873552707},{"date":"2025-03-20","reaction":"2025-03-21","pre":68.75,"post":65,"move":-0.054545454545454564},{"date":"2025-06-26","reaction":"2025-06-27","pre":60.23,"post":69.38,"move":0.15191764901212013},{"date":"2025-09-30","reaction":"2025-10-01","pre":67.5,"post":71.83,"move":0.06414814814814807},{"date":"2025-12-18","reaction":"2025-12-19","pre":63.94,"post":57.2,"move":-0.10541132311542067},{"date":"2026-03-31","reaction":"2026-04-01","pre":51.8,"post":43.77,"move":-0.15501930501930494},{"date":"2026-06-30","reaction":"2026-07-01","pre":40.62,"post":42.61,"move":0.048990645002461974}],"median":0.06835674843614226,"p80":0.1451845944865776,"hurdle":0.11208110391439026,"p80payoff":1.645504950218374,"median_price_ceiling":-1.0826518630325865,"p80multiple":3.5010743621667535} S35.51, ask.47,bid.39, spread17.0213%, OI294 asSep17 from option_contracts, quoteSep18 not live. Latest6 median8.47797%,P8015.19176%,P80multiple4.00978; full12 median6.83567%,P8014.51846%,multiple3.50107. strike9.8845%OTM. Oct1 issuer release/Oct9expiry8days later. Both full-sample gates fail. https://runway.adityaperswal.workers.dev/data/option-chain/NKE?feed=indicative

{"date":"2026-06-30","reaction":"2026-07-01","pre":40.62,"post":42.61,"move":0.048990645002461974} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://www.sec.gov/Archives/edgar/data/320187/000032018726000076/q4fy26exhibit991er.htm

{"date":"2026-03-31","reaction":"2026-04-01","pre":51.8,"post":43.77,"move":-0.15501930501930494} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://www.sec.gov/Archives/edgar/data/320187/000032018726000026/q3fy26exhibit991er.htm

{"date":"2025-12-18","reaction":"2025-12-19","pre":63.94,"post":57.2,"move":-0.10541132311542067} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://investors.nike.com/investors/news-events-and-reports/investor-news/investor-news-details/2025/NIKE-Inc--Reports-Fiscal-2026-Second-Quarter-Results/

{"date":"2025-09-30","reaction":"2025-10-01","pre":67.5,"post":71.83,"move":0.06414814814814807} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://investors.nike.com/investors/news-events-and-reports/investor-news/investor-news-details/2025/NIKE-Inc--Reports-Fiscal-2026-First-Quarter-Results/default.aspx

{"date":"2025-06-26","reaction":"2025-06-27","pre":60.23,"post":69.38,"move":0.15191764901212013} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://investors.nike.com/investors/news-events-and-reports/investor-news/investor-news-details/2025/NIKE-Inc--Reports-Fiscal-2025-Fourth-Quarter-and-Full-Year-Results/

{"date":"2025-03-20","reaction":"2025-03-21","pre":68.75,"post":65,"move":-0.054545454545454564} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://investors.nike.com/investors/news-events-and-reports/investor-news/investor-news-details/2025/NIKE-Inc--Reports-Fiscal-2025-Third-Quarter-Results/

{"date":"2024-12-19","reaction":"2024-12-20","pre":73.39,"post":73.24,"move":-0.0020438751873552707} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://investors.nike.com/investors/news-events-and-reports/investor-news/investor-news-details/2024/NIKE-Inc.-Reports-Fiscal-2025-Second-Quarter-Results/

{"date":"2024-10-01","reaction":"2024-10-02","pre":84.41,"post":78.7,"move":-0.0676460135055088} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://www.sec.gov/Archives/edgar/data/320187/000032018724000062/q1fy25exhibit991er.htm

{"date":"2024-06-27","reaction":"2024-06-28","pre":88.81,"post":71.06,"move":-0.19986488008107195} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://investors.nike.com/investors/news-events-and-reports/investor-news/investor-news-details/2024/NIKE-Inc.-Reports-Fiscal-2024-Fourth-Quarter-and-Full-Year-Results/

{"date":"2024-03-21","reaction":"2024-03-22","pre":94.69,"post":88.15,"move":-0.0690674833667757} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://investors.nike.com/investors/news-events-and-reports/investor-news/investor-news-details/2024/NIKE-Inc.-Reports-Fiscal-2024-Third-Quarter-Results/

{"date":"2023-12-21","reaction":"2023-12-22","pre":114.67,"post":101.11,"move":-0.11825237638440744} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://investors.nike.com/investors/news-events-and-reports/investor-news/investor-news-details/2023/NIKE-Inc.-Reports-Fiscal-2024-Second-Quarter-Results/

{"date":"2023-09-28","reaction":"2023-09-29","pre":83.6,"post":89.19,"move":0.06686602870813396} Primary issuer release; AMC alignment corroborated by after-close results calls; exact first publication minute not audited. Price source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all downloaded Sep20 for completed sessions through Sep18. Event sample not option fills. https://www.sec.gov/Archives/edgar/data/320187/000032018723000048/q1fy24exhibit991er.htm

{"backtests":[{"side":"longonly","part":"train","slip":0.0005,"return":-8.687715331788674,"drawdown":15.04054398454806,"win rate":36.36363636363637,"sample":11,"intended_n":11},{"side":"longonly","part":"holdout","slip":0.0005,"return":-2.7202521456751243,"drawdown":2.720252145675117,"win rate":0,"sample":2,"intended_n":2},{"side":"longonly","part":"train","slip":0.0015,"return":-10.67465131202989,"drawdown":16.550702552967177,"win rate":36.36363636363637,"sample":11,"intended_n":11},{"side":"longonly","part":"holdout","slip":0.0015,"return":-3.1085943555867632,"drawdown":3.108594355586758,"win rate":0,"sample":2,"intended_n":2},{"side":"shortonly","part":"train","slip":0.0005,"return":5.055074132314689,"drawdown":7.517598902038292,"win rate":63.63636363636363,"sample":11,"intended_n":11},{"side":"shortonly","part":"holdout","slip":0.0005,"return":2.267859522780668,"drawdown":1.8368089358923312,"win rate":100,"sample":2,"intended_n":2},{"side":"shortonly","part":"train","slip":0.0015,"return":2.782262986111823,"drawdown":8.744034309327919,"win rate":63.63636363636363,"sample":11,"intended_n":11},{"side":"shortonly","part":"holdout","slip":0.0015,"return":1.8679636921403584,"drawdown":2.0360333603284264,"win rate":100,"sample":2,"intended_n":2}],"simulation":{"paths":50000,"trades":20,"train_n":11,"mean_pnl_one":-22.39062781154433,"win_count":2,"mean_return":-0.5207122746870774,"P05_final_equity":282.07894137863786,"P50_final_equity":537.916365265723,"P95_final_equity":871.319368496733,"P95_maxDD":0.7224057732747327,"halfKelly":0,"holdout_mean_pnl":16.53473048382123}} Simulation train-only mapped event intrinsic with full premium losses and .02 cost, repeated20times for shape illustration; not permitted hold-through at current hurdle and not actual option payoff, not sizing authorization. https://runway.adityaperswal.workers.dev/data/stock-bars

{"assumptions":{"paths":50000,"seed":92008,"spot":7.99,"strike":8.5,"ask":0.43,"halfspread":0.025,"rate":0.04,"RV20":0.5713186745848879,"total_variance":0.03596272476346943,"event_variance":0.023443079856587064,"sample":247,"sample_mean":0.001762988042941893,"calendar_days":[3,4,5],"event_exit":"Sep23"},"scenarios":[{"event_var_mult":0.75,"mean_pnl":-11.052724178428203,"P05":-31.345377203696298,"P95":30.181889939771715,"win_pct":20.094,"stop_pct":35.758,"target_pct":0.848,"time_pct":63.39399999999999,"halfKelly":0},{"event_var_mult":1,"mean_pnl":-5.723939340658928,"P05":-29.171550340469132,"P95":36.61975916332048,"win_pct":28.398,"stop_pct":19.392,"target_pct":0.9979999999999999,"time_pct":79.61,"halfKelly":0},{"event_var_mult":1.25,"mean_pnl":-0.9359116872094665,"P05":-26.89931465674305,"P95":42.194803276438805,"win_pct":37.438,"stop_pct":10.286,"target_pct":1.346,"time_pct":88.368,"halfKelly":0}]} Unvalidated European call repricing, constant remaining event variance, iid sampled non-event daily log returns, three daily checkpoints, not actual executable15min paths. https://runway.adityaperswal.workers.dev/data/stock-bars ; https://runway.adityaperswal.workers.dev/data/option-chain/BB?feed=indicative