Stats

A test of HITI option prices, called edge testing, was done on ten consecutive earnings reports from March 2024 to June 2026. The test used 926 daily price changes, and the median absolute change was 4.700378%. On September 11, the price of a call option with a strike price of $2.53 was $0.21, and on October 16, the price of a call option with a strike price of $2.5 was $0.21. To make a profit, the option would need to increase by 9.090909% or decrease by 9.486166%. The mean intrinsic value of the option was 0.213531 times the premium, which is not the actual expected payoff of the option. The issuer of the option, High Tide Inc, announced that it would release its financial results after the financial markets close on Monday, September 14, 2026. The option expires on October 16, 32 days later. The test used data from option contracts and stock prices. There are three main points to consider: 1. A simulation was run using NumPy with a seed of 91308, which selected five training call returns, 20 opportunities, and 20,000 paths, with a starting cash amount of $102.12 and a fixed exposure of $25. The results showed that 94.36% of the series lost money, and the median maximum drawdown was 74.862%. 2. The simulation assumed that the returns were independent and identically distributed, which ignores changes in liquidity and regime. The results are scenarios, not forecasts, and do not take into account extra catastrophe probability. 3. The test found that the mean return of the call option was negative, which implies a long-only half Kelly size of 0. A counterexample of a large unseen win could change the expectancy, but without a documented probability, it does not justify a size. The premium cap bounds one loss, and repeated affordable tickets can deplete the book. At the actual fund amount of $102.12, the account caps are $25.5297 and $42.5495, with an absolute value of $51.0594 and a maximum of three open positions. Monthly costs of $349.01 were excluded.

An edge test was conducted on Stitch Fix, analyzing 10 consecutive issuer-scheduled AMC earnings from March 2024 to June 2026. The test used a fresh 926 SIP adjustment, considering all daily bars, and found a median absolute return of 16.578014% from release-close to next-session-close. The test also considered various options, including a Sep 11 S 2.95 and an Oct 16 C 2.5, with a catalog price of 0.50 on Sep 10 and an assumed round-trip cost of 0.05 per share. This required a return of 3.389831% for 4 out of 10 trades, and 72.881356% for 0 out of 10 trades. A news scan found the headline that Stitch Fix announced its fourth-quarter and full-fiscal-year 2026 financial results and conference call date, which is scheduled to take place after market close on Wednesday, September 23, 2026. The test used historical primary URLs and date quotes from 91306 event observations. The sources used were option contracts SFIX, https://runway.adityaperswal.workers.dev/data/stock-bars, and https://runway.adityaperswal.workers.dev/data/option-bars. The test was conducted with a NumPy seed of 913061, 20k paths, and 20 opportunities, starting with a fund of 102.12. The results showed that a hypothetical constant 25 USD all-in exposure scales six T3 training net returns, with a stop funding below 25. The test also considered separate 91306 iid/circular block 3 bootstrap rows, and added a hypothetical full all-in loss probability to the baseline. The results showed that the baseline includes all observed winners, but neither favorable bootstrap nor operator licenses risk. A counterexample was also considered, which showed that a positive unobserved tail could improve expectancy.

A test was done on Stitch Fix, which is a company that trades under the ticker SFIX. This test looked at what happened to the stock price after the company announced its earnings, which is a report that shows how well the company did financially. The test checked 10 times when the company announced its earnings from March 2024 to June 2026. It found that the stock price changed by a median of 16.578014% after these announcements. The test also looked at what would happen if someone bought a call option, which is a type of investment that gives the buyer the right to buy a stock at a certain price, on certain dates. For example, if someone bought a call option on September 10, they would need the stock price to go up by 3.389831% for the investment to be profitable. The test found that this did not happen in most cases. The company announced that it would release its financial results on September 23, 2026. The test also simulated what would happen if someone invested in the stock 20,000 times, with each investment starting with $102.12 in cash. It found that in most cases, the investment would lose money, with a median loss of 47.12. The test also looked at what would happen if the stock price went up by a certain amount, and found that it would need to go up by 52.542373% for the investment to be profitable. The test used a model called Black-Scholes to estimate the value of the investment, and found that the estimated value was lower than what would be needed for the investment to be profitable. The test concluded that there was no evidence to support a certain investment strategy, and that more research was needed to determine the best course of action.

A fund manager analyzed LUXE, a stock, for potential trading opportunities. The manager tested the stock's performance over nine consecutive fiscal quarters from May 2024 to May 2026. The test showed that the stock's price changed by a median of 5.245902% after each earnings release, with a range of -11.810013% to 23.8%. To determine if buying a put option, a type of insurance against stock price drops, was a good idea, the manager calculated that the stock would need to fall by 33.694181% for the option to be profitable, which happened in 0 out of 9 cases. The manager also found that there was no documented case where the payoff from the option was more than three times the premium, or cost, of the option. The manager used a computer simulation to model the potential outcomes of buying the option, assuming a 50% stock collapse with probabilities of 5%, 10%, and 15%. The results showed that the gross payoff, or profit, would be 1.305, 2.610, and 3.915 times the premium, respectively. However, the manager noted that these results were based on hypothetical assumptions and not actual forecasts. The manager concluded that the option was not a good investment opportunity, as the potential payoff was not sufficient to justify the risk. A news scan found the headline 'LuxExperience Announces Fourth Quarter and Full Fiscal Year 2026 Earnings Release and Conference Call Participating in Upcoming Investor Conference' on the company's website. The manager used data from a website called runway.adityaperswal.workers.dev to analyze the stock's performance.

A test of Stitch Fix stock, ticker SFIX, showed that a small put option would still lose value even under stress, without considering any potential exit strategies. The test looked at 10 consecutive earnings reports from AMC, from March 2024 to June 2026, and found that the median absolute change in stock price was 16.578014%. The test considered two options: a put option with a strike price of 2.5, expiring on October 16, and a call option with a strike price of 2.95, expiring on September 11. The test assumed a cost of 0.05 per share and required a return of -21.016949% to -3.389831% to break even. The call option passed the test, but the premium of 50 USD exceeded the conviction risk of 42.5495. The put option failed, with no expected payoff greater than 3 times the premium. A news scan found the headline that Stitch Fix announced its fourth quarter and full fiscal year 2026 financial results and conference call, to be held after market close on Wednesday, September 23, 2026. The test used data from option contracts and stock bars, and historical sources recorded 26537 to 46. The test used a NumPy seed of 913 and 20,000 independent and identically distributed paths, with 20 opportunities and a starting fund of 102.12. The test mapped 10 stock event moves to intrinsic value, with zero residual value, and found a mean intrinsic value of 0.767735 times the premium, with a net return of -0.458069. The test also considered a hypothetical put target of 0.48, which would require a 31.5254% stock fall, and a hypothetical call target of 2.00, which would require a 52.5424% stock rise. Neither target was defended as an order. The test illustrated the granularity of the results, with 3 out of 17 all-in tickets resulting in a 49.94% fund loss, despite a 6.0% account gain.

An edge test was conducted on nine issuer-dated AMC earnings from February 2024 to June 2026, using daily release-close to next-session close data from the Securities Information Processor, which is a system that collects and disseminates real-time trade and quote data. The median absolute change was 5.543964% and the mean change was -0.908716%. On September 11, the stock price was $39.02, and on October 16, the call option price was $0.30 and the put option price was $0.40. Assuming a $0.05 per share roundtrip reserve, the required return would be 16.222450% for the call option and -11.455664% for the put option, but none of the nine tests met this requirement, and only one of the nine tests met the requirement with a probability of 11.11%, which is below the 40% threshold. Without the reserve, two of the nine tests met the requirement. The option expiry date was October 16, 31 days after the issuer's scheduled earnings release on September 2. According to the company's website, the earnings release is scheduled for 'Tuesday, September 15, 2026, U.S. Time, after the market closes.' The hurdles exceeded the median by 10.678486% and 5.911700%, and there was no exception to the no-hold rule. The sources of the data were option contracts and a website. The corrected data includes May 19, 2025, and August 26, 2024, and the old forecast is retained separately. The following are the details of the tests: 1. A test was conducted using NumPy with a seed of 91208, 100,000 paths, 20 sequential tickets, and a 3% current equity all-in cost for each ticket, which is a type of investment cost that includes all expenses. The test included a fixed $0.05 cost but excluded the remaining 31-day time value, implied volatility, and bid-ask spread, which are all factors that affect option prices. The test was a scenario only and not a forecast of actual option returns. 2. The test results showed that the mean intrinsic value of the call option was 0 times the premium, and all nine intrinsic values were zero, while the mean intrinsic value of the put option was 0.361051 times the premium, with a maximum of 2.191156 times the premium. The optimized expected log grid half Kelly was 0 for both, which is a type of investment strategy. The authorized quantity was 0, and the terminal median was -45.620566% for the call option and -35.189597% for the put option. The profit was 0.006%, and the median drawdown was 35.221370%. The test assumed independent and identically distributed data, but this assumption underestimates the risk of clustered misses. There was no calibrated actual stop or target odds, which are used to limit losses. 3. The account balance was $850.99, and the fund balance was $102.12, which is a type of investment fund. The normal premium was 3% or $25.5297, the high conviction premium was 5% or $42.5495, and the absolute premium was 6% or $51.0594. The maximum open positions were three, and the cost of each position was $5. The call tickets with a cost of $5 each were $105, which is greater than the fund balance, and the put tickets were $135, which is also greater than the fund balance. At most, two such cash-funded positions were allowed, but the actual number was 0. The profit shortfall was $349.01, which was never used as a model input.

The automated trading fund manager performed an edge test on ten issuer-dated scheduled AMC earnings from March 2024 to June 2026. The test found that the median absolute change in stock price was 4.700378% and the signed mean change was -3.027709%. As of September 11, the stock price was $2.53, and the October 16 call option was priced at $0.21, while the put option was priced at $0.16. To break even, the stock price would need to increase by 9.090909% or decrease by 9.486166%. The manager also considered an old frozen position, which had a median return of 5.494505%. The manager did not find any documented expected option payoff. The source of the data was option_contracts and https://runway.adityaperswal.workers.dev/data/stock-bars. The issuer announced that it would release its third fiscal quarter 2026 financial results after markets close on September 14, 2026. The manager simulated various scenarios, including a NumPy seed of 91206 and 100,000 paths each side, and found that the hurdles exceeded the new median. The manager also found that the closes were not executable asks and the intrinsic value was not the actual option profit and loss. The manager ran three scenarios: a call option with a mean intrinsic value of $0.213531, a put option with a mean intrinsic value of $0.571515, and a scenario with full residual 32-day option value and IV spreads absent. The manager found that the call option had a maximum return of 1.588571 times the premium and the put option had a maximum return of 2.155093 times the premium. The manager also found that the worst-case scenario for the call option was a loss of 72.988% of the book and the worst-case scenario for the put option was a loss of 22.568% of the book. The manager approved a size of 0 for the trade and had a monthly shortfall of $349.01. The fund had $102.12 and the account had $850.99. The normal size for the trade was 3% of the fund, which was $25.5297, and the conviction size was 5% of the fund, which was $42.5495.

The edge test analyzed 11 issuer-dated morning earnings from January 2024 to July 2026, looking at US ADR daily prices before and after the release. The median absolute change was 5.864627%, with a range of -8.474903% to 11.444479%. For example, on September 11, the price was 11.13, and on October 30, the call option with a strike price of 13 had a price of 0.45, which would need a 21.293801% increase to be profitable, considering a roundtrip cost of 0.05 per share. However, none of the options met the required criteria, with 0 out of 11 being profitable, and the premium cap was exceeded in some cases. The test also found that there was no documented option payoff that was three times the expected payoff. The expiry date of October 30 was eight days after the issuer's date, and the default exit was on October 21. The sources used for this analysis include Nokia's financial calendar and option contracts data. The test results showed that the intrinsic mapping was not the actual option profit and loss. The test was run with a numpy seed of 91204 and 100,000 resamples. The results showed that all 11 intrinsic values were zero, and a hypothetical scenario with 27 dollar premiums plus 5 dollar costs each would result in a loss of 100%. The test also found that the full premium was at risk, with a normal account size of 25.5297 and a conviction account size of 42.5495. The model used was a half Kelly model with a negative expected net, and the approved size was 0. The test also considered a countercase where an unobserved large jump or residual value may pay, but this was not enough to waive the mandate of a 40% or 3x gate.

A test of Conagra Brands, or CAG, showed that from July 2024 to July 2026, the median absolute change in the stock price on mornings when the company announced its earnings was 2.064410%. On September 11, the stock price was $14.60, and on October 9, the price of a call option, or a contract to buy the stock at a certain price, was $15.5. To buy this option would require a return of 8.904110% or 7.876712%, including a cost of 0.05%. The test also looked at a put option, or a contract to sell the stock at a certain price, which would require a return of -4.041096% or -5.136986%. A news scan found the headline that Conagra Brands would release its fiscal 2027 first-quarter earnings on September 30, 2026. Another company, Lamb Weston, or LW, would release its earnings on October 6, 2026. The test also showed that the median change in the stock price of LW from July 2024 to July 2026 was 13.153864%. The test used a method called intrinsic value, which means the value of the stock based on its actual worth, not its market price. The results of the test were not good, with a mean, or average, loss of 1.498726 USD per share, which is 2.724957 times the current premium, or price, of the option. The test also showed that buying a put option on CAG would not be a good idea, with a 40% chance of losing money and no expected payoff. The test used historical data from option contracts and stock prices, but the results are not executable, meaning they cannot be used to make actual trades. The test also used a method called resampling, which means creating new sets of data from existing data, to simulate different scenarios. The results of the test were that the mean terminal value, or the value of the stock at the end of the test, was 107.7455, with 88.596% of the scenarios losing money, and 47.218% of the scenarios losing all three times. The test also showed that each ticket, or option contract, would require a return of more than 5% to be profitable, even with an old price. The test was deliberately not current, and did not include residual time, changing volatility, spreads, correlated returns, and 15-minute exits. The result was that the size of the trade was approved to be 0, meaning that buying a put option on CAG would not be a good idea.

The fund manager is analyzing the risk of a $50 all-in ticket, which is stressing the small fund. The manager is looking at intrinsic-only scenarios, but notes that these are not forecasts of option outcomes. The manager is testing the edge of the fund's risk using various calculations, including median absolute percentages and required returns. The manager is also looking at the earnings dates of various companies, including BB, HITI, and GIS, and the corresponding option contracts. The manager notes that the closes are not executable prices and that the intrinsic proxy excludes residual time. The manager is using various tools, including NumPy and historical data, to stress test the fund's dependence on various events. The results of the stress test show a high probability of loss and a significant median drawdown. The manager is also analyzing the fund's allocation and notes that a $50 all-in ticket would account for 27.98% of the fund, while three $150 tickets would account for 83.94% of the fund. The manager concludes that the intrinsic-only expected net return is negative and that the actual Kelly criterion is unidentified without option outcomes.

A news scan found the headline that BlackBerry will announce fiscal second-quarter 2027 results on September 12. The company, referred to as the issuer, will release its earnings on Thursday, September 24, 2026, at 8:00 a.m. ET, which is 8 days after the October 2 option expiry. The current option price is $0.40, which requires an 11.405836% increase in the stock price to reach the target, covering 3 out of 12, or 25%, of the possible scenarios. Alternatively, the option price could decrease by 11.405836% to reach the target, covering 2 out of 12, or 16.67%, of the possible scenarios. The stock's historical earnings show a median absolute change of 9.987505% from the pre-earnings close to the first post-earnings close. The current 40% gate, or threshold, does not pass, and the documented 3x expected payout does not occur. The sources of this information include stock bars data and historical issuer quotes. To analyze this, a counterfactual European Black-Scholes model, which is a type of financial model, was used with a dividend of 0 and 22 calendar days to October 2. The implied volatility, or the expected volatility of the stock, was solved from a single September 10 mark and stock price, which was not observed. The results show that the current option price of $0.40 implies an expected volatility of 79.2860%, while a price of $0.15 implies an expected volatility of 43.4344%. A baseline of 30%, 50%, or 80% was assumed, and the event variance, which is a measure of the uncertainty of the stock's price, was preserved before the announcement and removed at the first post-close. The analysis also rescaled each historical 10-interval stock path from $7.54 and found that the target daily close was greater than or equal to 4 times the premium plus $0.05, which gives a 3 times return net of assumed cost against premium risk. The results show that the current option price of $0.40 with a baseline of 30% or 50% does not meet the target, while a cheaper option price of $0.15 with a baseline of 30% meets the target in 2 out of 12 scenarios before the exit and 5 out of 12 scenarios after the exit. However, these are path-scenario frequencies, not executable exit odds or historical option backtest results. The assumed implied volatility decay can flip the mean, and the calibration to the mark is not validation. There is no documented 3x expected payout and no hold-through override from this model.

A stress test on BB whole-contract shows that cheap premiums still expose the small fund to clustered losses. The test looked at BB Sep10 S7.54 and Oct2C8 close at 0.40, which requires a 11.405836% increase, covering 3 out of 12 periods, or 25%. It also looked at Oct2P7 close at 0.32, which requires an 11.405836% decrease, covering 2 out of 12 periods, or 16.67%. The test used 12 consecutive issuer-dated earnings from Sep2023 to Jun2026, with a median absolute change of 9.987505%. The current 40% gate and documented 3x expected payout did not pass. The issuer announced that it will release its fiscal second-quarter 2027 results on September 12. The test used data from various sources, including stock bars and historical issuer quotes. It also used a simulation with 30,000 paths and 20 sequential counterfactual one-contract tickets. The simulation showed that the fund would lose money 97.58667% of the time and would not be able to complete 20 tickets 96.64333% of the time. The test also looked at hypothetical scenarios with different premium prices and found that the fund would still be at risk of losses. The log utility optimization of intrinsic net payoffs gave a current half Kelly of 0 and a hypothetical cheap half Kelly of 8.09373%. The test also found that the book concentration would be 33.57395% despite the account cap.

A test was done on September 11 to see how the value of BlackBerry stock would change. The stock price was $7.54 on September 11 and the price of a call option to buy the stock at $8 on October 2 was $0.40. This option would be profitable if the stock price increased by 11.405836% to cover the cost of the option for 3 out of 12 months, which is 25% of the time. The price of a put option to sell the stock at $7 on October 2 was $0.32, which would be profitable if the stock price decreased by 11.405836% to cover the cost of the option for 2 out of 12 months, which is 16.67% of the time. The test looked at 12 quarterly releases of news from September 2023 to June 2026 and found that the median absolute change in stock price was 9.987505%. The test also found that neither the 40% gate nor the documented 3x expected option payout was met. The option expires on October 2, which is 8 days after a major event on September 24. The test used a European Black-Scholes model to value the options, which is a way of calculating the value of an option, and assumed that the interest rate and dividend were 0. The test also assumed different levels of volatility, which is a measure of how much the stock price is expected to change, and found that the mean gross payout for the call option was 0.7999 to 1.4841 times the premium, and for the put option was 0.2878 to 0.8956 times the premium. However, no scenario gave a 3x mean or a 4x single-event gross target. The test used 20,000 paths and a maximum of 20 whole-contract tickets, and found that the median final cash was $106.6357 and the fund drawdown was 46.2201% for the call option, and $16.6977 and 90.6565% for the put option. The strongest countercase is persistent high post-event volatility and pre-event rally, but this is not measured with historical option executions. A cheap-threshold scenario is recorded separately, but this is not permission to substitute today's larger premium.

An edge test was conducted on several stocks, including PLAY, VRA, SFIX, and TCOM, with specific option contracts. The test required a certain percentage return for each stock, with results showing that all failed to meet the 40% threshold. The test used historic event close returns mapped to current stock prices, with put intrinsic value calculated as the maximum of the strike price minus the next stock price, or zero, divided by the premium. The test also used a residual time value that was not modeled, so the results are a stress floor and not the expected traded option price. The test was run with 10,000 independent and identically distributed paths, a 3% equity premium compounded, and no option fees or serial dependence. The results showed that none of the stocks had a documented actual option expected payout of 3 times or more. The test also used a grid log utility with a full Kelly criterion of 0 for all floor distributions, and a half Kelly criterion of 0. The results showed that SFIX had one scenario with a gross return of 5.1653 times, but the mean return was 0.95357 times, which was insufficient. The current allocation is 0, and the account has an absolute premium cap of 51.0594, a normal cap of 25.5297, and a conviction cap of 42.5495. The results also showed that three premiums of 51.0594 would exactly use 18% of the cap, so a strictly less amount should be used if the absolute caps ever bind.

A test of the stock MLKN found that its intrinsic stress has zero half-Kelly, which is a measure of the optimal fraction of a portfolio to invest in a stock, and its residual option value remains unmodeled, meaning it is not accounted for. The test looked at the stock's price on September 9 and 10, and found that it would require a -17.211538% move to reach the option's strike price of 17.5. The test also looked at the stock's past earnings close moves, and found that the median absolute move was 10.745876%, with only 12.5% of the moves being covered by the option, which is a low coverage rate. The test also found that the option's premium, or price, was 0.28, and that the stock's price would need to be at or below 16.38 for the option to be in the money, which is only 1/8 of the historical closes. The test used a bootstrap simulation, which is a statistical method, with 10,000 paths and a 3% equity premium compounded, and found that the median return was -28.12351%, and the 5th percentile return was -45.62057%, with a profit odds of 9.38%. The test also found that the half-Kelly fraction, which is the optimal fraction of a portfolio to invest in a stock, was zero, and that the option's price would need to be at least 1.12 for it to be a good investment, but this price is not supported by the data. The test used data from the option contracts and stock bars from the website https://runway.adityaperswal.workers.dev/data/stock-bars, and the issuer's dates 23055/23066–73.

A news scan found the headline about High Tide Inc. announcing its third fiscal quarter 2026 financial results. The HITI Oct16 K2.5 call/put closed at.31/.18 on Sep9. The underlying stock price was 2.555 through Sep10 19:20UTC. The issuer-dated AMC earnings had a directional break-even point of +9.98043% and -9.19765%. The coverage was 1/9, which is 11.111% each, less than 40%. The median absolute close was 5.494505% and the median absolute gap was 2.34375%. The thresholds exceeded the close median by 4.485925 and 3.703146 percentage points, so there was no hold-through exception. A recent put was.16 and still 1/9 at 8.414873%. The intrinsic-only mean payoff was.166696/.471908 times the premium, which is not the option expected value. The premises of the analysis were to scale each of the 9 historical next-session stock close returns to 2.555, compute the call or put value, divide by the reference premium, and subtract 1. This is the intrinsic liquidation floor with time value discarded, not the actual 30+ day remaining option price or expiry return. The analysis used NumPy seed 910 and 10,000 independent and identically distributed bootstrap paths of 20 tickets, with a 3% current equity premium each. The search for fractions 0-6% in 0.01 percentage point steps maximizing mean log growth resulted in 0 for both. The intrinsic sample mean returns were -83.3304% for the call and -52.8092% for the put. The median series returns were -40.0481% and -27.7979%, with a 5th percentile of -44.3359% and -35.8266%. The profit odds were 0% and 0.01%. The analysis notes that residual time value could overturn these figures, so these are rejection stress scenarios, not proof of fair option value. The empirical mandated coverage of 11.1% and missing option value evidence independently reject the option, so the size is 0. One actual call was $31, which is 3.643% of equity, and one actual put was $18, which is 2.115% of equity. The full premium absolute ceiling was $51.0594, the normal 3% was $25.5297, and the high conviction 5% was $42.5495. The primary event is the announcement of High Tide Inc.'s third fiscal quarter 2026 financial results, and the data and nine primary history dates are in the statistical analysis 2301.