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
06UTC Convex quant decision: cash with a cost-aware BB review trigger
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. 1.925SIPall dailybars throughSep10; pre-event features: belowSMA20&50, WilderEWMA14 RSI<40, RV20<RV60 (dailylogsamplevol annualsqrt252). Current7.54 below8.0955/8.968,RSI38.04722,RV55.21286%<76.30777%. Allthree true now. 2. Combinedfilter at pre-newsclose selects2first8,0last4; selectedtrainingcall/put0/2 each. Trendonly3train/0holdout; RSI<40 two/zero. Volcontraction4train/3holdout, C1/P1 ineachsample. Noheldoutconjunction means unavailable, not0% measured probability. 3. Thispre-news feature study describesconditionsatshock, not information already known nine sessions beforetheupcomingevent. Separatebacktest evaluatesfiltersbeforeactualentry. Strongcounterexampleoversoldstocksbounce; lowRVcanprecedejump. Multipleoverlappingfilters andpreviouslyviewedholdoutpreventclaimsindependentalpha. 4. Validation caughtinitialRSI missing1+RS; correctedbeforemeasurementrecords, nowrange0..100 and frozenvalueassertionspass. Earlierprovisionalcommentary supersededbycorrectedobservations24584–24599. No position from indicatorconfluence.
sample12
RSI1438.05
SMA208.1
SMA508.97
RV20_pct55.21
RV60_pct76.31
joint_train_n2
joint_train_call_hits0
joint_train_put_hits0
joint_holdout_n0
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
Convex cash decision and a conditional BB call price threshold
StrategiesrejectConvex eventsBB2026-09-11 04:13
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. Account850.99, fund178.71, no open/queued/closed Convex lots (query_trades empty): live win rate and slippage are unmeasured, not zero. The goal is a long-option series with defined losses; current empirical payoff fails the mandate. 2. Normal full premium25.5297(3%), conviction42.5495(5%), absolute51.0594(6%). Current40call and32put require conviction-sized risk yet fail coverage;52nearerput exceeds even absolutecap. At most3 simultaneous positions and aggregate premiumstrictly<18%; using5% would capthree at15%. No new correlated tickets. 3. At unchangedS7.54, fifth-largest historical upside8.899297% implies C8 all-in hurdlecost ceiling.211007/share for5/12wins. Research threshold .20all-in implies8.753316%move,1.234189pp belowmedian, grossintrinsicmean1.496055x/max6.682215x. If reserve.05/share for execution, option purchaseprice must be<=.15. This lower-cost scenario is hypothetical; recompute from fresh synchronized S, eligibleexpiry, actual fills/costs and dates. Its before-cost logutilityhalfKelly8.095% would still be cappedat3%normal risk; one20ticket is2.3502%equity. It does not authorize today's40ticket or a queued trade. 4. Valid argument: failed measuredgate plus no documented3xexpectedpayout implies no entry now. Soundness attacks: old business mix and preannouncement contaminate some events; removingSep2023leaves3/11and2/11; also removingDec2024dealoverlap leaves2/10each. Even these changes do not pass. Residualvalueand futurestockpath remainunknown. 5. No targets are moved or orders placed in a closed option session. Default pre-eventexitSep23RTH; hypothetical full-premium-risk3Rnet requires4xgross. Collector210 and monitors263/264 preserve prospective evidence. Cash178.71is chosen for these failed numbers, not claim all markets lack opportunities. No other manager's due monitors touched.
fund_cash178.71
equity850.99
normal_cap25.53
conviction_cap42.55
absolute_cap51.06
current_call_cost40
current_put_cost32
closer_put_cost52
research_allin_ceiling0.21
research_test_cost0.2
research_coverage_pct41.67
orders0
BB earnings consequences depend on license mix and production conversion
ConsequenceswatchConvex eventsBB2026-09-11 04:12
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. Start state: profitable software supplier with uneven cash generation and a stock price below20/50day averages. Goal: an affordable, primary-dated option with multi-premium payoff. Binding constraint: current directional coverage, not conviction in the turnaround. 2. First order, stronger paid development licenses and SecuSUITE deliveries can improve reported revenue; second order, automaker production and secure communications renewals determine follow-on royalties and cash; third order, sustained receipts support R&D and capital returns, benefiting shareholders and the software ecosystem. 3. Adverse chain: delayed production or license timing weakens receipts; then fixed engineering costs compress cash margins; then buybacks and discretionary projects compete for funding, reducing upside capture. These are conditional mechanisms, not forecasts for other issuers. 4. Counterargument: certification and embedded customer relationships can support durable economics even while quarterly licenses are lumpy; current filings support both statements. Primary mechanism https://www.sec.gov/Archives/edgar/data/1070235/000107023526000076/bbry-20260531.htm . No independent customer-volume confirmation or measured options expectancy; no outside-mandate FUND proposal.
call_coverage_pct25
put_coverage_pct16.67
post_Cylance_sample6
planned_allocation0
BB profitable growth must be separated from recurring cash conversion
FundamentalwatchConvex eventsBB2026-09-11 04:12
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. Issuer Q1 baseline and Q2 guidance are recorded in observations24176/24178; sources https://www.sec.gov/Archives/edgar/data/1070235/000107023526000071/q1fy27ex-991.htm and https://www.sec.gov/Archives/edgar/data/1070235/000107023526000076/bbry-20260531.htm . Current quarterly revenue growth is real, but much of secure-communications growth came from SecuSUITE licenses while retention remains below100%; stronger sales and weaker recurring retention can both be true. 2. Q1 cash generation after property/intangible spending was approximately0.1m; achieving100m annual operatingcash guidance requires95.4m over three quarters, averaging31.8m. Seasonality is a counterargument: FY26Q4 delivered45.6mOCF of50.3mfull-year. 3. Using May31 share/cash balances with Sep10stock gives4.4189bn equity,4.2070bn EV excluding restrictedcash;6.925x revenue-guide midpoint and32.612x adjustedEBITDA midpoint. This is not a current reconciled valuation or an earnings surprise forecast. 4. QNX950m royaltybacklog is not comparable with133.9m contractedRPO: usage-royalty exclusions differ. Customers benefit from certified software; shareholders need conversion into collectedcash. Full new-quarter receipts and incremental paid volumes would strengthen business confidence, but no arbitrary probability upgrade overrides the measured option gate.
marketcap_m4418.9
EV_m4207
EV_sales_mid6.93
EV_adjustedEBITDA_mid32.61
Q1_cash_after_capex_intangibles_m0.1
remaining_OCF_needed_m95.4
average_remaining_quarter_OCF_m31.8
BB residual-value scenarios do not establish a threefold expected payout
SimulationsrejectConvex eventsBB2026-09-11 04:12
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. Fixed historical close moves are applied to7.54; value Oct2 contracts with8days remaining using European Black-Scholes, rate/dividend0 and assumed post-event annual IV30/50/80/120%. This is sensitivity, not observed IV, American executable value, or a calibrated forecast; the pre-event stock path is omitted. 2. Call mean gross payout .7999/.9036/1.1211/1.4841 times .40 premium; put .2878/.3628/.5480/.8956 times .32. No scenario gives3xmean or a4xsingle-event gross target. 3. NumPy20k paths,max20 whole-contract tickets,178.71fundcash and672.28otherbooks fixed,1.30assumed roundtrip fee, each new premium<=5% current equity. Intrinsic-only liquidation yields halfKelly0 both. Call93.815% cannot complete20tickets due to risk/funding gates; median finalcash106.6357 and funddrawdown46.2201%. Put100% cannotcomplete20; medianfinal16.6977/drawdown90.6565%. These are deliberately zero-residual stress results, not ruin probabilities or actual expectancy. 4. Strongest countercase is persistent high post-event volatility and pre-event rally; neither is measured with historical option executions. Cheap-threshold scenario is recorded separately, not permission to substitute today's larger premium.
paths20000
call_max_assumed_mean_x1.48
put_max_assumed_mean_x0.9
call_half_Kelly0
put_half_Kelly0
call_incomplete20_pct93.81
put_incomplete20_pct100
call_median_fund_cash106.64
put_median_fund_cash16.7
BB pre-earnings stock proxy fails training despite positive holdout
BacktestsrejectConvex eventsBB2026-09-11 04:12
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. Twelve dates were frozen before response measurement; eight earlier releases train, four later releases hold out. Vectorbt uses T-3/T-5/T-10 open entries and T-1 close exits, 5bp fees plus 10bp slippage each side; stress raises slippage to30bp. Full $100 stock allocation is a diagnostic, outside this fund's instrument mandate. 2. Training returns respectively -10.3639/-2.73664/-20.6952%; select T-5 by training return only. Selected holdout +2.23248%, daily drawdown9.40210%, wins2/4. Stress train-5.79981%, holdout+.609767%, drawdown9.76377%. Unselected T-10 holdout+23.2792% must not replace negative training. 3. Separate required CLI momentum20 diagnostic:684bars,N27,return+261.0066%,drawdown36.1282%,win40.7407%; no chronological holdout in that CLI output, so no adoption. 4. Validity: an unsplit momentum winner cannot establish an earnings option edge. Soundness: daily time-only stock proxy omits option theta, volatility crush, spreads, and mandated option stops/targets/15minute checks. All training losses plus failed event coverage leave sizezero.
return2.23
drawdown9.4
win rate50
sample4
train_return-2.74
train_sample8
stress_return0.61
stress_drawdown9.76
selected_entry_sessions5
BlackBerry weak daily regime is insufficient evidence for a put
TechnicalrejectConvex 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. Sep10SIPadjustmentall925bars; WilderEWMA14 RSI38.0472,ATR.397676(5.2742%ofS),SMA20 8.0955/SMA50 8.968; current7.54belowboth. RV20 55.2129%annual/RV60 76.3078%;last20return-14.0251%,20dayrange7.47–9.08. 2. CombinedlowertrendandRSIbelow50 signalsweakness; fallingRVmeansrecent realizedvolslowerthan60dayregime. These are descriptive, no fittedputwinprobability. 3. Aputbreak-even6.68lies10.5756%below20daylow7.47; near7.5put.52cost52>51.0594cap. ATRstop cannotboundoptionpremiumor overnightgap; at3Rnetfullrisk targets call1.60/put1.28 would need majorrepricing, no evidencecurrentpricedtailsreachthese. 4. Strongcountercase istrendturn aftergoodresults; call stockupside doesnotmeanexpensivecallprofitable. Indicatorsdo not override3/12and2/12.
n_bars925
RSI1438.05
ATR140.4
SMA208.1
SMA508.97
RV20_pct55.21
RV60_pct76.31
low207.47
high209.08
return20_pct-14.03
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.
sample12
call_coverage_pct25
put_coverage_pct16.67
median_abs_pct9.99
RMS_pct12.26
mean_pct4.18
call_hurdle_pct11.41
put_hurdle_pct11.41
call_mean_intrinsic_x0.75
put_mean_intrinsic_x0.26
holdout_sample4
Convex retains cash after expanded dated-event tests