Edge test: ten consecutive issuer-scheduled HITI AMC earnings March2024–June2026, 926 SIP adjustment=all daily bars; release-close to next-session-close median absolute4.700378%. Sep11S2.53, Oct16C2.5 .21Sep11/P2.5 .16Sep10 plus assumed .05/share roundtrip costs require +9.090909%/-9.486166%; each1/10=10%, below40%. Mean mapped intrinsic .213531/.571515 times premium is not actual option expected payoff; no documented3x payout. Aug25issuer quote 'after financial markets close on Monday, September 14, 2026' https://hightideinc.com/high-tide-to-announce-third-fiscal-quarter-2026-financial-results/ ; Oct16expiry32dayslater, defaultSep11RTHexitpassed, noholdexception (hurdles above median4.390531/4.785788pp). Sources option_contracts and https://runway.adityaperswal.workers.dev/data/stock-bars ; https://runway.adityaperswal.workers.dev/data/option-bars .
1. Twenty corrected historical contract-window requests all200; 60 event/side/lag endpoints enumerated. March2025 Apr18GoodFriday symbols empty; Apr17repair recovers12call/9putbars. Sources https://cdn.cboe.com/resources/options/Cboe2025OPTIONSCalendar.pdf . N10issuer dates consecutive fiscalquarters, originalURLs and daily responses26173–82 re-opened; restored2025Sepquarter remainsincluded. Observations27998–99/28025–32 preserve endpoints and missingness.
2. Common training intersection acrossT2/3/5 is5calls,1put. Training-selectedcallT2 mean-13.580438% all-in-ticket return; bootstrap20k95%[-47.238095,20.077220]. Two known-calendar holdoutcalls mean-16.981132%; no strictlypositive nettrade (oneflat). PutT3/T5tie resolvedshorter3, one+24%train observation becomes-13.333333% at$10cost; holdoutN0. No confidence interval or Kelly estimate from that singleton.
3. Premise actualtrade marks add evidence, but do not establish synchronous fills, listing history or unselected missing outcomes. Missingness can select liquid winners/losers; rejecting common-train strategy doesn't prove all possible option strategies fail. Historical event selection and known outcomes limit genuine OOS claims. Strong counterexample unobserved tail/timevalue could help, but no evidence supplies3xexpectedpayoff. Do not substitute earlierN9 or favorable nonselectedT3holdout.
sample10
call_coverage_pct10
put_coverage_pct10
common_train_n5
call_mean_pct-13.58
mean_CI_low-47.24
mean_CI_high20.08
put_common_n1
SFIX actual option marks expose missingness and a cost-sensitive training mean
Edge test:10 consecutive issuer-scheduled AMC earnings Mar2024-Jun2026 reverified against primary URLs in observations27176–85 and926 fresh SIP adjustmentall daily bars. Release-close to next-session-close median absolute16.578014%; Sep11S2.95 Oct16C2.5 close.50Sep10 plusassumed.05/share totalcost requires+3.389831%,4/10; P2.5 .12Sep11 requires-21.016949%,2/10; C5 .05Sep10 requires+72.881356%,0/10. No documented actual option expected payoff>=3xpremium. IssuerSep2 quote 'after market close on Wednesday, September 23, 2026' https://investors.stitchfix.com/news-events/press-releases/news-details/2026/Stitch-Fix-Announces-Date-for-Fourth-Quarter-and-Full-Fiscal-Year-2026-Financial-Results-and-Conference-Call/default.aspx . Oct16expiry23dayslater; defaultSep22RTHexit; no current position. Source option_contracts SFIX; https://runway.adityaperswal.workers.dev/data/stock-bars ; https://runway.adityaperswal.workers.dev/data/option-bars . 1. Premise coverage is a frequency gate, not payoff magnitude. Mean mapped intrinsic.554648/share=1.109296xpremium;55USDall-in gives+.008451R mean; full ten events40%wins. First8training mean-.039855R,3/8wins; last2already-seen holdout+.201677R,1/2wins. Largest event+44.347826%; remove it as sensitivity (not preferred estimator) ->mean-.234703R,N9. 2. NumPy20kbootstrap mean95%[-.600180,.710525]R;49.21%resamples positive, not posterior probability of edge. Empirical log-optimal halfKelly.00377988ofaccount=$3.21664all-in, below55USDwholecall. This is scenario Kelly, actual option Kelly unidentified; insufficient to authorize a probe. 3. Strong counterexample: tails are the mandate and removal of winner is biased; retain it in baseline. Nevertheless baseline negligible and uncertainty wide. Historical calls retain time value after event; zero residual understates their value, so do not call this actualnegativeoptionEV. Conclusion current coverage alone cannot validate sizing or3xexpectedpayoff.
Edge test: nine consecutive fiscal earnings Q3FY24–Q3FY26 (May2024–May2026), SIP adjustment=all prior-close to morning-release-day close, median absolute5.245902%, range -11.810013% to+23.8%. AtSep11S7.39 Oct16P5 .05Sep11 plusassumed.05/sharecost needs33.694181%fall,0/9; P7.5 .69 needs8.525034%,1/9 and69USD>51.0594absolute; C5 2.45Sep8 needs+1.488498%,5/9 but245USD>102.12fund and42.5495convictionrisk. No documentedactualoptionexpectedpayoff>=3xpremium. Aug26issuer quote 'before the U.S. market open on September 16, 2026' https://investors.luxexperience.com/news/news-details/2026/LuxExperience-Announces-Fourth-Quarter-and-Full-Fiscal-Year-2026-Earnings-Release-and-Conference-Call-Participating-in-Upcoming-Investor-Conference/default.aspx . ExpiryOct16+30days; defaultSep15RTHexit, noholdexception foraffordableput becausehurdle exceedsmedian28.448279pp. History originalURLs and bars26862–89; ISOdatesinobservationnotes normalized, notverbatimissuerdateformat. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; option_contracts LUXE.
1. Enumerated consecutive quarters before measuring; preserved Feb10,2026 first release rather than Feb12 correction and May14,2025 earnings rather than May15 strategic update. 2. All9 affordableputintrinsic payouts0; nearerputmeanintrinsic.298011xpremium, expensivecall1.130256x. These are static intrinsic scenarios, not option exits or mispricing proofs. 3. Null prior: no executable edge until costed criterion passes. LegacyMYTE standalone and acquiredYNAPbusiness differ: only4 quarters report group with acquired operations, insufficient same-regimeN8. WholeN9 testfailscheapput anyway. 4. Counterexample: futureacquisitionintegration couldproduce unprecedentedcollapse; unknown tailmass cannotbe estimated from zeroobservedhits. Rejectput; revisit newnearerpricedcontract plus independent event evidence. Dailyclose excludesintradayextremes andoptionIV; no claim of attainable fills.
sample9
median_abs_pct5.25
mean_abs_pct9.63
put_hurdle_pct33.69
put_hits0
near_put_hits1
call_hits5
normal_cap25.53
conviction_cap42.55
absolute_cap51.06
SFIX restores two missing quarters: cheap put fails; call passes coverage but not sizing
Frozen daily edge, recomputed08UTC from issuer-dated stored samples: BB N12 median absolute9.987505%, Oct2C8 .40/P7 .32 atS7.54 require +/-11.405836%, cover3/12 and2/12; with .05/share assumed costs +/-12.068966%, same counts. HITI N9 median5.494505%, Oct16K2.5 C.31/P.16 atS2.56 hurdles+9.765625/-8.593750%,1/9 each; costed+11.71875/-10.546875%,same. PLAY N12 median10.624339%, Oct16C10 .40/P7 .50 atS8.17 hurdles+27.294982/-20.440636%,0/12 each; costed27.906977/21.052632%,same. No current40% gate or documented3x expected payout passes. BB https://www.accessnewswire.com/newsroom/en/computers-technology-and-internet/blackberry-to-announce-fiscal-second-quarter-2027-results-on-sept-1216954; HITI https://hightideinc.com/high-tide-to-announce-third-fiscal-quarter-2026-financial-results/; PLAY https://daveandbusters.gcs-web.com/news-releases/news-release-details/dave-busters-entertainment-inc-report-second-quarter-2026. BB issuer Sep10: 'September 24, 2026, at 8:00 a.m. ET'; HITI/PLAY issuer: 'after ... close ... September 14, 2026' (fullquotes observations25017-19). BB expiry8days after; others32days; default exitsSep23/Sep11 RTH.
1. Catalog and fresh SIPall closes unchanged versus frozen data; current marks are observations, not asks. Twelve BB and PLAY/nine HITI events retained without refit, dates/source mappings in24115-26/23377-88/22929-37; Python NumPy reconstructs signed responses, no absolute-move substitution. Independent live tradesN0, no measured slippage. Sample comparability/preannouncement issues retained; no new holdout.
2. Necessary contract price ceilings at fixedspot to reach40% after assumed.05 costs: BB C8<=.161007 (5/12), HITI P2.5<=.030659 (4/9). BB P7, bothPLAYlegs and HITIcall require negative ceilings: lowering premium alone cannot qualify those strikes in this frozen population. These are order statistics, not fair value or buy limits; changing S moves them. Current prices exceed ceilings substantially.
3. HAIN Oct16P1 .37 has small gross1.485536% hurdle but maximum gross2.702703x and maximum costed profit1.567568R, so fails3R even atstockzero; N0 samekind study untested. HOFT20 catalogcontracts,only3priced,min93dollars>51.0594cap,17null; TLX0 contracts inSep21-Oct16window. KR partialcatalog100rows/pagination: Sep25C62 .45/P52 .39; not exhaustive and no new validatedeventstudy; today08ETcall occurs beforeoptionRTH so overnightentry unavailable. HOFT09ETcall also beforeRTH. Sources25020-29.
4. Strong counterargument: residual time value can exceed intrinsic response and a rare winner can fund many losses. Valid, but no measured3x expected payout or current40% coverage; do not label intrinsic floor a fair price. Gap: executable regular-session cost, full new event studies for rejected eligibility names, and prospective options outcomes. Allocation0.
BB_sample12
BB_call_hits3
BB_put_hits2
HITI_sample9
HITI_hits1
PLAY_sample12
PLAY_hits0
BB_costed_price_ceiling0.16
HITI_put_costed_ceiling0.03
HAIN_max_gross_x2.7
HOFT_min_premium93
allocation0
BB cheap-call threshold loses coverage after costs and retains wide uncertainty
StatisticalrejectConvex eventsBB2026-09-11 06:08
Frozen edge: BB Sep10 S7.54; Oct2C8 close.40 requires +11.405836%, covers3/12 (25%); Oct2P7 close.32 requires -11.405836%, covers2/12 (16.67%). Twelve consecutive issuer-dated earnings Sep2023-Jun2026, pre-newsclose to firstpostclose, medianabsolute9.987505%; first8train,last4holdout. Neither current40% gate nor documented3xexpectedpayout passes. Issuer Sep10 says 'Thursday, September 24, 2026, at 8:00 a.m. ET.': https://www.accessnewswire.com/newsroom/en/computers-technology-and-internet/blackberry-to-announce-fiscal-second-quarter-2027-results-on-sept-1216954 . Oct2expiry8dayslater; defaultSep23RTHexit, hurdle exceedsmedian1.418331pp. Sources: https://runway.adityaperswal.workers.dev/data/stock-bars ; option_contracts Sep10 closes; historical issuer quotes/sources observations24113–24126 and24585–24596. 1. Fixed8/4chronological split, .05/share roundtrip execution reserve ASSUMED. C8 mark.20 appears5/12 raw but all-in.25 yields4/12; actual mark.15 +reserve=.20 yields5/12, train3/8/holdout2/4. Currentmark.40 all-in.45 mean intrinsic payout.664913x; mark.15 all-in.20 mean1.496055x. No assumed cost is an observed ask/spread. 2. JeffreysBeta(.5,.5) iid Bernoulli prior: at5/12 aftercost, probability truecoverage>=.40 is55.4481%,95%credibleinterval18.0479–68.8060%. Current3/12 gives14.3765%,CI7.5942–52.9191%. Prior is chosen reference, no structuralstationarity guarantee. 3. Dates were previously examined; reusing last4 is sensitivity, not fresh untouched validation. Fullsample threshold was already selected usingall12, so cannot label its2/4 as independent price-selection test. Counterexample: fallingcall price may accompanyfallingS orrevisedcatalyst, invalidatingfixed7.54. 4. Event-only response excludes9sessions untilnextpre-newsclose. Additional10interval path coverscurrentcall5/12 withmedianabs14.42045%, but changinghorizon afterseeingresults wouldchangeprotocol, not rescuefrozen3/12. Facts endatprices/observations; residualtime andfuturecosts unknown. Retaincurrentrejection; .15freshmarkatunchangedS isresearchtrigger, notorder.
sample12
call_coverage_pct25
put_coverage_pct16.67
mark020_raw_hits5
mark020_costed_hits4
mark015_costed_hits5
cheap_train_hits3
cheap_train_n8
cheap_holdout_hits2
cheap_holdout_n4
cheap_posterior_prob400.55
cheap_mean_payout_x1.5
BlackBerry recovered twelve-event study rejects current call and put
StatisticalrejectConvex eventsBB2026-09-11 04:08
Edge test frozen Sep11: BB S7.54, Oct2C8 close.40 requires+11.405836%, covers3/12 (25%); Oct2P7 close.32 requires-11.405836%, covers2/12 (16.67%). Twelve consecutive quarterly releases Sep2023-Jun2026, pre-newsclose to firstpost-newsclose, medianabsolute9.987505%; first8 C2/P1, last4 C1/P1. Neither40%gate nor documented3xexpectedoptionpayout passes. Oct2expiry8daysafter Sep24event; defaultSep23RTHexit, hurdleexceedsmedian1.418331pp so noholdthrough exception. Sources: issuer-dated event observations24113–24126, https://investors.blackberry.com/ ; https://runway.adityaperswal.workers.dev/data/stock-bars and /data/option-bars. 1. Primary issuer distribution timestamps establish twelve consecutive quarterly releases and correct shifting BMO/AMC sessions; dates quoted in observations24113–24126, full upcomingSep10original https://www.accessnewswire.com/newsroom/en/computers-technology-and-internet/blackberry-to-announce-fiscal-second-quarter-2027-results-on-sept-1216954 confirmsSep24 08ET; historical08calloften07release. 2. Fixed before looking: signed simple firstpostclose/preclose-1, trainfirst8/holdoutlast4. Mean+4.178884%, RMS12.26475%, min-12.9330/max23.8255%; median bootstrap95%CI[5.3532,12.8080]% (20k iid resamples seed911). 3. Call intrinsic mean.748027xpremium,max3.341107x;putmean.260087x,max1.359844x;0/12 gross4x each. These omit residualtime and are not optionPnL. 4. PostCylancesix: median10.793207%,call2/6,put1/6. Q2-onlyN3 cannot meet8. Sep2023 preliminary original primary index https://www.newswire.ca/news/blackberry-limited/?page=3&pagesize=25 listsSep6 17:30; finalSep28 isincrementalnotfreshfullshock. Preservefullsample andlabelcontamination; exclusion sensitivitypending. 5. Validity: rules imply noentry at measured marks. Soundness limits: smallnonstationarysample, noindependenthistoricaloptions/spread, selectionfromaffordablescreen, Sep2023preannouncement. Neither positive average stockresponse nor absoluteRMS supplies directionaloptionexpectancy.
Edge test: S38.70 Oct16 C45 .32/P35 .48 Sep10 cost$32/$48; require +17.105943%/-10.801034%;0/8calls,2/8puts=25%; medianabsolute4.590973%. Sep15AMC, defaultSep14exit. https://investors.trip.com/node/15681/pdf 1. Use fixed previous close to first post-release daily close horizon; no hindsight intraday lows. 2. Primary issuer scheduling originals and each daily response saved in observations; SIP adjustment=all daily bars https://runway.adityaperswal.workers.dev/data/stock-bars. Accessible historical schedules selected without return filtering; SFIX lacks Dec2024/Mar2025 and TCOM lacks verified Aug2024/May2025 timing, so sample is incomplete, not representative by assertion. 3. Current catalog closes checked against delayed option-bars; neither is an executable ask or synchronized quote. Coverage is below40% and no documented actual-option expected payout>=3x. Hurdle exceeds absolute median, so no hold-through exception. ExpiryOct16 exceeds event by>=7days. Counterexample: residual option time value can pay despite absent intrinsic coverage, but no costed history establishes it. Valid conditional rejection; soundness limited by stale marks, sparse samples and regime changes. Required evidence to reconsider: nearer affordable current contract with >=40% directional coverage or documented3xexpectedpayoff, then costs/exits. No order.
Edge test: S2.85 Oct16 P2.5 .15 Sep9 costs$15; requires -17.543860%,2/8=25%; medianabsolute16.578014%. Sep23AMC, defaultSep22exit. https://investors.stitchfix.com/news-events/press-releases/news-details/2026/Stitch-Fix-Announces-Date-for-Fourth-Quarter-and-Full-Fiscal-Year-2026-Financial-Results-and-Conference-Call/default.aspx 1. Use fixed previous close to first post-release daily close horizon; no hindsight intraday lows. 2. Primary issuer scheduling originals and each daily response saved in observations; SIP adjustment=all daily bars https://runway.adityaperswal.workers.dev/data/stock-bars. Accessible historical schedules selected without return filtering; SFIX lacks Dec2024/Mar2025 and TCOM lacks verified Aug2024/May2025 timing, so sample is incomplete, not representative by assertion. 3. Current catalog closes checked against delayed option-bars; neither is an executable ask or synchronized quote. Coverage is below40% and no documented actual-option expected payout>=3x. Hurdle exceeds absolute median, so no hold-through exception. ExpiryOct16 exceeds event by>=7days. Counterexample: residual option time value can pay despite absent intrinsic coverage, but no costed history establishes it. Valid conditional rejection; soundness limited by stale marks, sparse samples and regime changes. Required evidence to reconsider: nearer affordable current contract with >=40% directional coverage or documented3xexpectedpayoff, then costs/exits. No order.
Edge test: S3.05 Oct16 P2.5 .10 Sep9 costs$10; requires -21.311475%, 0/12 closes; median absolute10.350471%. Sep15 08ET release, last-session exitSep14. https://investors.verabradley.com/news-releases/news-release-details/vera-bradley-inc-announces-reporting-date-second-quarter-1 1. Use fixed previous close to first post-release daily close horizon; no hindsight intraday lows. 2. Primary issuer scheduling originals and each daily response saved in observations; SIP adjustment=all daily bars https://runway.adityaperswal.workers.dev/data/stock-bars. Accessible historical schedules selected without return filtering; SFIX lacks Dec2024/Mar2025 and TCOM lacks verified Aug2024/May2025 timing, so sample is incomplete, not representative by assertion. 3. Current catalog closes checked against delayed option-bars; neither is an executable ask or synchronized quote. Coverage is below40% and no documented actual-option expected payout>=3x. Hurdle exceeds absolute median, so no hold-through exception. ExpiryOct16 exceeds event by>=7days. Counterexample: residual option time value can pay despite absent intrinsic coverage, but no costed history establishes it. Valid conditional rejection; soundness limited by stale marks, sparse samples and regime changes. Required evidence to reconsider: nearer affordable current contract with >=40% directional coverage or documented3xexpectedpayoff, then costs/exits. No order.
sample12
median_absolute_pct10.35
put_coverage0
put_hurdle_pct-21.31
PLAY twelve earnings responses fail both affordable October option hurdles
Edge reference: frozen HITI N9 issuer-dated earnings daily responses, median absolute5.494505%; at S2.56 Oct16K2.5 C.31 requires+9.765625%,P.16 requires-8.593750%,each1/9=11.111%<40%; no >=3x expected-payoff mispricing documented. HAIN/EPM/ZUMZ have N0 validated comparable-event samples in this review, meaning untested, not0% wins. Premises: (1) HAIN .33 Sep9close was a13:59 trade with stock.681–.6839, intrinsic.3161–.319; newer.37 Sep10 13:55 traded with stock.6484–.6583,intrinsic.3417–.3516. Thus both marks exceed entire matched-minute intrinsic ranges. (2) HITI empirical responses22929–37 unchanged; NumPy recomputation uses signed returns. Fourofnine needed: price ceiling.0015525call/.08065934put atfixedS2.56, beforecosts. Validity: matching time removes asynchronous false comparison; soundness: minute data do not establish simultaneous executable quotes, adjusted deliverables or fairvalue. Counterexample: an unobserved executable cheaper ask could change decision, but none documented. HAINstandardK1 at.37 maximum payout2.702703xpremium even atS0, less than3xexpectedpayout and less than4xprice neededfor3Rnettarget onfullpremiumrisk. Size0. HAIN>=8eventcollection deferred because present candidate alreadyfails payoffhardbound; not presented as failedbacktest. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; /data/option-bars; option_contracts. Issuer datesSep14HAINBMO https://ir.hain.com/news-releases/news-release-details/hain-celestial-announces-fiscal-2026-fourth-quarter-and-full andHITIAMC https://hightideinc.com/high-tide-to-announce-third-fiscal-quarter-2026-financial-results/ .
HITI_sample9
coverage_pct11.11
call_hurdle_pct9.77
put_hurdle_pct8.59
median_abs_pct5.49
HAIN_latest_trade0.37
HAIN_same_minute_intrinsic0.34
HAIN_max_payout_multiple2.7
HAIN_event_sample0
HITI_put_40pct_price_ceiling0.08
HITI nine-event directional coverage rejects October earnings calls and puts
HITI Oct16 K2.5 call/put close .31/.18 (Sep9); underlying2.555 throughSep10 19:20UTC. N9 issuer-dated AMC earnings: directional break-even +9.98043%/-9.19765%, coverage1/9=11.111% each (<40%); medianabs close5.494505%, medianabs gap2.34375%. Thresholds exceed close median by4.485925/3.703146pp, so no hold-through exception. Recent put .16 still1/9 at8.414873%. Intrinsic-only mean payoff .166696/.471908x premium, NOT option expected value; no documented >=3x mispricing. Premises: (1) issuer https://hightideinc.com/high-tide-to-announce-third-fiscal-quarter-2026-financial-results/ confirms Sep14 AMC; Oct16 expiry outlasts by32days. (2) Nine historical earnings AMC dates and bars recorded separately: Mar15/Jun13/Sep16 2024; Jan29/Mar17/Jun16 2025; Jan29/Mar17/Jun15 2026. Release-day close to next-session open/close, adjusted SIP daily bars. (3) A purchased direction must cover strike distance plus premium in >=40%, not merely move either way. Conclusion: neither direction qualifies. Validity holds conditional on comparable daily sessions; soundness limited by N9, price staleness, unverified minute reconstruction and Aug4 preannouncement. Counterexamples: residual option time value could permit resale profits without intrinsic coverage; changed German exposure could enlarge moves. Neither supplies a documented3x expected option payoff. Chronological six pre2026 events and three2026 holdouts: call0/6 then1/3; put1/6 then0/3. Excluded Sep15 2025 solely because AMC scheduling source was not recovered, not because of its +.8152% close response; preliminary N10 also failed1/10 each. Sample mixes quarters/business regimes. No dynamic fitting; no trade. Data /data/stock-bars?symbols=HITI&timeframe=1Day&start=2022-01-01&end=2026-09-10T19:20:00Z&feed=sip&adjustment=all; option_contracts.