Stats

Premises:1 Model value must clear ask+cost and defensible sensitivities.2 Friday underlying/option marks are not Tuesday prices.3 Valuation surplus alone does not establish achievable exit expectancy. Own model research/value.py uses CRR300 American max(intrinsic,discounted continuation),u=exp(sigma sqrt(dt)),d=1/u,p=(exp((r-q)dt)-d)/(u-d),r.04 assumed,q0/.05 cashyield sensitivity NOT verified discrete dividend. Underlying88 SIP adjusted dailybars May1–Sep4; sigma sqrt(.5*252mean(last20 logreturns²)+.5*252mean(last60²)); simple diagnostic, not replacement of previously frozen forecast. TLT RV20.10073024,RV60.09671873,ATR14.648757,S82.21,K81,Sep14expiry20UTC,T.01713058years fromSep8 13:50. ETHA RV20.58701288,RV60.52025158,ATR.7706,S18.52,K15.5,Sep25expiry,T.04724694. Twelve scenarios .8/1/1.2sigma xq0/5%; full outputs and all bars observed. TLTvalue .024900–.116931 against staleask.06; baseq0 net100*(fair-ask)-.20=-.267235,baseq5%+.540148. ETHAvalue.019566–.129633 vsask.08,baseq0net-2.119652/baseq5%-1.860238. Positive optimistic cases do not survive lower forecast; bothzero robustpasses. Fees.20assumed; fee0 still baseq0belowask;1.30stress subtracts1.10. TLT/ETHApremium6/8; with.20cost6.20/8.20<=8.5099 fullrisk and42.55fundcap. Indicativebid.05/.07; no order or stop/target activated. Deliverables/discretecash/executablequotehistory remain unverified. Sizingzero independent of positive diagnostic values. Sources https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=TLT,ETHA&timeframe=1Day&feed=sip&adjustment=all ; https://runway.adityaperswal.workers.dev/data/option-snapshots?symbols=TLT260914P00081000,ETHA260925P00015500&feed=indicative .

Premises:1 Buy-side value must exceed ask plus costs, not midpoint.2 American chain relationships require same deliverables and synchronous executablequotes.3 Future-session time must replace Friday time for a Tuesday decision. 10 venue indicative chains expiriesSep11-Oct16:9574contracts,784 positivebid withask*100+.20<=8.5099; wholecontract premium within42.55fundcash. Fullpagination completed. CRR160 American tree, exp20UTC; T fromSep8 13:50UTC /365.25days, rawSep4latestclose, sigma benchmark or traincalibrated or .8min(both), r4% assumption, continuousq0/5%sensitivity (NOT verified discretecash), standard100deliverable unverified. Recurrence max(intrinsic,discounted riskneutral continuation). Every784 base q0 value belowask evenzero fee; zero passesask+.002, zero survivesworst6scenarios. Three passcalibrated/favorablecarry only, notrobust. Closest base withbid>=.03 TLT260914P81: S82.21,ask.06,bid.05,feedIV9.96%,sigma9.6648%,cal10.1530%; basevalue.05532265,calq0 .06505843,low .02257307. ETHA260925P15.5 S18.52,ask.08,bid.07,IV58.62%,base56.2506%,cal62.2317%; basevalue.0645344,cal.0978300,low.0214011. Positivecalibration is uncertain statistical1040. Adjacent-strike bid/ask monotonicity/width screen284flags, adjacent American calendar147flags; derivedFridayquotes do not establish arbitrage. A subset has affordable legs, but all affordable ownvalue gates fail; no spreads/writing allowed. Do not inferlegcheapness merely from relativeviolation, or marketwidefairness fromsample rejection. OPRA403 unsignedagreement; sourceprovider identifies indicativequotesasderived. Dividends,corporateactions,actualfees,synchronousunderlyings andexecutablehistory remainunverified; exact American discretecashmodel requiredbeforeaction. Sources https://runway.adityaperswal.workers.dev/data/option-chain/TLT?feed=indicative ; same endpoint each namedETF; https://docs.alpaca.markets/us/docs/historical-option-data . Full measuredinputs/quotes/greeks/values andflags are recordedinobservations.

Premises: 1 Long legs require own value after ask/spread/fees; an unhedgeable relationship is not locked arbitrage. 2 American exercise, calendar time and forecast uncertainty matter. 3 Indicative prices cannot establish executable surplus. Sep8 fetched one bounded PATH chain376contracts Sep11-Oct16, nexttoken null; three prior finalists examined, not a fresh broad screen. PATH261002P00012000 bid/ask .01/.07, sizes469/450, IV.5641; PATH261016P00011000 .05/.07 sizes319/981 IV.6319; PATH260911C00018000 .01/.02 sizes1/14 IV.9666. Quote times Sep4 19:59:59.204/58.912/01.811UTC; Greeks and underlying inputs saved in observations. SIP Sep4close15.19, open16.24, EMA20/60 16.4553/14.2346, WilderRSI14 45.2657, simpleATR14 .958829. Below short trend but above intermediate trend; indicators are correlated descriptions, not independent probability evidence. Own600-step CRR American tree: u=exp(sigma sqrt(dt)), d=1/u, p=(exp((r-q)dt)-d)/(u-d); backward discounted expectation versus immediate exercise; r=.04 assumed, q=0 supported by dated March10K, standard100-share deliverables assumed not verified. T actual calendar seconds/31536000 to expiry20UTC. FridaySep4 20UTC values base puts .281539/.262617, call .075169. HypotheticalTuesdaySep8 13:50 at UNCHANGED Friday spot/ask, not predicted Tuesday quote: base .228880/.226235/.010327; clipped .116773/.108097/.002270; RV60 .098665/.090043/.001513. Hurdle=ask+halfspread+.002: .102/.082/.027 under hypothetical$.20roundtrip fee; zero and$1.30 fees shift hurdles by-.002/+ .011, not a verified fee schedule. Clipped sigma*.8 yields puts .045481/.038077, failing even zero-fee hurdles; no robust pass across reasonable forecasts. Break-even Tuesday sigma for stated hurdles69.3630%/67.3106%/103.3154%; do not recalibrate solely to clear them. Baseline*.8 puts still clear by .004955/.016683, strongest countercase to rejection; it does not repair missing OPRA or establish option expectancy. Exact quotes changed by feed derivation and stock time mismatch can explain apparent gaps. Source https://runway.adityaperswal.workers.dev/data/option-chain/PATH?feed=indicative ; https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=PATH&feed=sip ; https://docs.alpaca.markets/us/docs/historical-option-data .

Premises:1 Regime indicators are jointly descriptive, not independentvotes.2 Adjacentvertical/calendar relationships require matchingrights and synchronousquotes.3 Long-onlyvenue cannot lock a spread even if a relationshippersists. FromSep4adjustedbars PATHclose15.19,EMA20/60=16.4553/14.2346,RSI14=45.27,ATR14=.95883:belowshorttrendbutaboveintermediatetrend,ambiguousdirectionafter16.63%earningsdaydecline. RIOT21.8,EMA20/60=20.1661/21.0622,RSI55.55,ATR1.62361:positive trend doesnotindependentlysupportcheapputdirection. ETHA18.52,RSI66.63,ATR.7706;EWJ98.28,RSI63.72,ATR1.19086. ATRsimple14TR,RSIWilder14,EMAspan20/60. Never multiplythese correlatedindicators into confidence. Across49chains,adjacentstrictbid>ask+.002 yields132verticalmonotonicity and276calendarmonotonicityflags.77cheapasks<=.08;64alsopositiveownbid+sizes;54quoteswithin2seconds. Onlyoneof64alsoown-model.8sigma surplus:PATHSep11C18 vsC18.5,cheapask.02/dearbid.05,gap.03 BUT57.086secondtimestampgap;Tuesdaylowfair.002094fails. Thuszero simultaneously2secsynchronous+affordable+lowvolownvaluepasses. ExampleXLESep18C70ask.08 vsC71bid21.61 looks21.53gap, butdearquoteDec4 2025 vscheapSep4 2026,23669999secapart. Rejecttimestampartifact beforeeconomicstory;unverifieddeliverablescancompoundproblem. ETHASep11C21.5ask.02/C22bid.04 within.183sec isindicativeonly,ownvaluefails;October5splitmonitor36 remainsrelevantforlaterexpiries. SynchronousderivativequotesstillnotOPRA. All408flagrows recorded; noassertionthatsampledchainfairorwholemarketnoedge. Sources https://runway.adityaperswal.workers.dev/data/option-chain/XLE?feed=indicative ; /ETHA ; /PATH ; https://runway.adityaperswal.workers.dev/data/stock-bars ; https://docs.alpaca.markets/us/docs/historical-option-data ; https://www.optionseducation.org/advancedconcepts/put-call-parity .

Premises:1 Favorable underlying direction is not optionmispricing.2 Basehit exits must fit observedrange and fullpremium risk.3 No simulated winrate after failed pricing/exitgate. AtSep4 S andfrozenvol, reprice after immediate favorable1.5ATR14 with zeroelapsedtime and unchangedvol/remainingT; bidproxy=max(0,fair-halfspread). This intentionally optimistic upper diagnostic does NOT model time-to-target,IVcrush or15minchecks. EEMC73.5 targetbid.09549205 versusask.07 => net+$2.349205 after$.20fee; fullpremium+fee$7.20, reward/fullrisk.32628<1.5. TLTP79.5 targetbid.06787634 versusask.03 =>+$3.587634 against$3.20risk,ratio1.12114<1.5. BestpositivebidGLD targetnet-$2.20. These nearest positivebid legs already fail baselineindependentvalue. Fullrisk not tightened to a nominalstop to evade cap; everypremium is atrisk betweenregularsessions. No target/stop/order proposed. All187 targetvalues andATR inputs recorded; no claim all other targets evaluated foroptimalR/R beyond thisdiagnostic. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EEM,TLT,GLD&timeframe=1Day&feed=iex&adjustment=all andvenueoptionchains. Counterargument faster/jumpmoves could win; evidence of theircostedprobability ismissing.

Premises:1 Trend/rangeprovidesexitresolution,notoptionmispricing.2 Basehit targetmustfitusualstockrange anddeliverbidaboveaskpluscost.3 Premiumcountsfullyagainst1%equity. IEXrawSep4close46.15,20SMA42.84975,50SMA39.8202,20sessionreturn+16.1883%;trendupbyjointclose>SMA20>SMA50. ATR14=simplemeantruerange1.5532143;20daymeanintradayrange1.23575;1.5ATR=2.3298214 (5.04836%ofspot). Uptrendisdescriptive,notvalidatedbuy signal. Fourentirechainasks<=.08: Sep18P25 .07,P29/P30/P31 .08,allbid0,bs0,missingfeedIV/Greeks. Standard100multiplierassumed; modelAmericanvanillas. EscrowCRR baselinefair~4.75e-13,7.98e-8,7.73e-7,5.889e-6. Eveninstantfavorablestockfall2.3298214,withnothetadecayandfixedremainingtime, modeledfairminushalfquotedspread floorsbidproxyto0forall4. Targetnet -$7.20/-$8.20/-$8.20/-$8.20percontractwithassumed$.20roundtripfee. Thisisgenerousscenario,not predictedexecutabletarget. IndependentstockGBMFD highvol58.9271% yieldsmaximumfair.00392721forP31versusask.08,net-$7.807279beforeexitspread. FinesolverP31base.00002425595; stillnegligiblerelativeask. Counterexample: unusualjumpcanpayfarputs; neitherordinaryATRnorGaussiantail validatesit. Numericedgep/W/Lunavailable,quarterKellyundefined,size0. RealisticnetR/R>=1.5cannotbeestablished; nofalse stopguaranteeforovernightoptions. Targetgatefailsbeforeexitpaths; noexitMonteCarloorunderlyingmomentumbacktestusedtoinventoptionedge. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=raw ; https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative . Basehitwindow illustrativeuntilSep18; actualproposalrequiresfreshregularsessionquotes.

Premises: 1. Independent value must exceed entry ask plus costs and eventual exit spread. 2. Contract identity and synchronized executable prices are necessary. 3. Affordable far tails must not inherit the near-money event signal without repricing. One new bounded Sep18 chain for the event-timing question, not a repeat broad screen: https://runway.adityaperswal.workers.dev/data/option-chain/CHWY?feed=indicative&expiration_date_gte=2026-09-18&expiration_date_lte=2026-09-18 .86 contracts,72 positive uncrossed bid/asks,71 within120s ofSep4 20UTC; two positive-bid asks<=.08, onlyone fresh and neither both fresh and supplied IV/Greeks. All72 quote/own midpointIV records and two candidate models saved7150–7272. S23.67 Sep4 adjustedIEX close; T9/252 sessionsSep8–18 excludingLaborDay; r4%,q0 assumptions. European BSM C=S*N(d1)-K*exp(-rT)*N(d2), P=K*exp(-rT)*N(-d2)-S*N(-d1), d1=[ln(S/K)+(r+.5sigma²)T]/(sigma sqrtT),d2=d1-sigma sqrtT. Baseline sigma=sqrt(mean(RV21²,RV63²,EWMA.94²))=.4251999734. Event value=mean_i BSM(S exp(J_i-logmeanexpJ),K,T,sigma_bg), J16 train overnight loggaps, sigma_bg=.4692621765 RMS last63 non-event reaction-day-excluded close returns. This is a normalized empirical jump mixture plus diffusion, not risk-neutral calibration or a proven fair bound; absence of specific macro jumps/holiday variance is a gap. Stress .5J and .8sigma_bg. C37.5 bid.03 ask.05, quote19:59:56.075826325Z, sizes10/111, feedIV/Greeks missing; own midpointIV114.8134%. Basefair2.2591e-9,event.000128648,stress8.6473e-9; net event value-$5.1871/contract after assumed$.20 cost, before exit spread. P17.5 bid.01 ask.06, quote19:55:02.708578169Z fails120s,size1/1,feedIV87.58%, own midpointIV84.1800%, delta-.0235,gamma.0148,theta-.0086,vega.0024,rho-.0002. Basefair.0000307554,event.003120578,stress.0000276989; netevent-$5.8879. Stress cost$1.30 gives net-$6.3000/-$7.2972. ATM K23.5 callask1.59,putask1.35,total2.94=12.4208%S; event-modelsum2.591478 versus baseline1.519364. The sum includes nine sessions and macro risk, not pure earnings-implied standard deviation. Not a two-leg proposal; each leg premium135/159 exceeds8.5099 risk. BSM American exercise/dividends/deliverables unverified; physical versus risk-neutral distribution differs. Provider https://docs.alpaca.markets/us/docs/historical-option-data confirms indicative quotes are modified and trades delayed derivatives. Prior OPRA/history403 not retried absent change. Negative gaps fail even optimistic research model; allocationzero, no arbitrage claim.

Premises:1 buy at ask, not midpoint;2 own value must cover costs;3 indicative quote gaps cannot certify execution. Venue chain two pages1060contracts,1059quote timestamps within120s ofSep4 20UTC;145positivebid with0<bid<=ask<=.08. Source https://runway.adityaperswal.workers.dev/data/option-chain/XLF?feed=indicative&expiration_date_gte=2026-09-08&expiration_date_lte=2026-10-16 collectedSep6. Every affordable contract quote,size,IV/Greeks and three prices recorded individually. Independent BSM C=Sexp(-qT)N(d1)-Kexp(-rT)N(d2); P=Kexp(-rT)N(-d2)-Sexp(-qT)N(-d1);d1=[log(S/K)+(r-q+sigma²/2)T]/(sigma sqrt(T)),d2=d1-sigma sqrt(T). S58.10 from adjustedIEXSep4close; r=.04 assumption; q=.0138 trailing issuerdistribution approximation. T business sessions afterSep4 through expiry/252 excludingSep7; not a demonstrated closurevariance law. Volatility blend=.123024895,HAR=.159929506,adverse=.8min=.098419916. Net fair-ask-.002/share assumes$.20fee/contract; actual fees unverified, bidexit modeled separately. Zero baseline net positives,3HAR positives,0adverse. HAR flags: Sep18K60.5call fair.080069 ask.07 (+.008069 net),Sep30K62call .069420 ask.06(+.007420),Sep8K57.5put .044865 ask.04(+.002865). HAR calibration failed improvement test, so do not switch to it because its valuations are larger. Sep18K60.5call bid.04ask.07,size371/508,quote19:59:59.404611235Z,feedIV.1509,delta.0776,gamma.0914,theta-.0101,vega.0153; midpoint-calibratedsessionIV.145572289. Samecontract blend fair.025136 and adverse.006631. Cashdividend schedule/OCCdeliverable/Americanexercise not fullyverified; BSM is European approximation, not claimed fair-value bound. Full premium7+fee.20=7.20 fits8.5099 risk but fails economic edge. Existing executablefeed/history gates staybinding. Source provenance https://docs.alpaca.markets/us/docs/historical-option-data ; dividend input https://www.ssga.com/us/en/intermediary/etfs/state-street-financial-select-sector-spdr-etf-xlf .

Premises: buyask, independentlypriceeachcheapleg, requirebidexitaftercosts; chaininconsistencydoesnotestablishcheaplegprofitablewithoutshortleg. SameSep4closeS78.25, greeks/IVreadfromindicativechain; 53positivebidquotesask<=.08 within120sofFridayclose. BSM P=Kexp(-rT)N(-d2)-Sexp(-qT)N(-d1);C=P+Sexp(-qT)-Kexp(-rT);d1=[ln(S/K)+(r-q+sigma²/2)T]/(sigma√T),d2=d1-sigma√T. r=.04,q=0 assumptions, Tremainingobservedsessions/252 excludingSep7; sigmaadjustedblend.3803027,trainingwinsorblend.3593251,adversescenario.8min(RV21,RV63,EWMA)=.3015233. Net=fair-ask-.002/share, assumed.20fee/contract notexactpartnercost; spreadexitseparate. Sixbasepositive,3winsorpositive,0adversepositive. Sept11K72put bid.02ask.03,size392/73,tSep4 19:59:59.890329665Z,delta-.0204,gamma.015,theta-.016,vega.0045. BSMsession.0580499,winsor.0424025,low.0136153 vsallincost.032; ACT3657daybase.0928776 illustratesclockdependence. FeedIVnow.3575 vs priorobservation3672 .3267 whilequotetimestampandbidaskunchanged: feedIVownasof/modelunspecified; do not infer repricing. CalibrateIVdirectlytomid.025on4/252clock gives.3294478. American1000stepCRR withu=exp(sig√dt),d=1/u,p=(exp(rdt)-d)/(u-d),rollbackmax(intrinsic,discountedexpectation),sameq0: K72base.0581031/winsor.0423467/low.0136118; cannotrescueadversenet. Fivefreshadjacentverticalinversions: affordablecheapK89callSep11,K71putSep11,K99callSep18,K56putSep18. OnlyK71baseaboveallincost(.027024vs.022),winsor.018365fails. Otherlegcost16256USDfarabovecaps. No spreads permitted. ATR14=meantrue-range2.305, SMA20=79.317,SMA50=75.4367,5sessionreturn-4.258%. K72oneATRdeclineafter2sessionsmarkedbid.023833belowentry. Source https://runway.adityaperswal.workers.dev/data/option-chain/NFLX?feed=indicative andadjustedstock-bars; provider https://docs.alpaca.markets/us/docs/historical-option-data confirmsindicativequotesnotOPRA. Forecastphysicalnotriskneutral; lowvolnotprovedbound; no claimsactualexecution.

Premises:1 optionexitmustrecoveraskpluscostsatsellbid;2 targetmustfitmeasuredrangeandholdingwindow;3 positivepennystopbelowcurrentbid isneededforanexecutableplan, andstopdoesnotreducefullpremiumrisk. Sep4dailyIEXindicators: SNAPclose5.48,ATR14.31643=5.77%price,1.35%aboveSMA20 and9.54%aboveSMA50,5sessionreturn+.55%; MARA11.30,ATR.97929=8.67%,8.07%aboveSMA20 but1.21%belowSMA50,5session+6.00%. ETHA18.53,ATR.76679=4.14%,9.96%aboveSMA20/23.51%aboveSMA50; EWZ37.855,ATR.86107=2.27%,7.15%/6.83%above20/50. ATR14 ismeanmax(high-low,abs(high-prevclose),abs(low-prevclose)), notforecaststandarddeviation. Mixingpositiveprice-momentumandspeculativebearputtailrequiresameasurededge; theseindicatorssupplynone. SNAPOct2$4.5put ask.03bid.01; calibratedIV five-sessionrepricing givesbid.02038afteroneATRdecline,stilllosing; twoATRbid.07167 onlyconditionalmodeltarget. MARASep18$8.5put bid.01ask.02 alsohasnopositivepennybidstopbelowcurrentbid. Available1552affordablepositive-bidcontractshavemedian50%askspread andknownmedianabsdelta.01605;518missingIV/greeks furtherweakenfeeddiagnostics. Fullpremiumcap8.5099rulesoutone.09contractbeforefeesregardlessofstop; maximumprice.08onlyscreeninggate. No positionsheld soR/targetfraction/horizonreviewreturnszero; noexits/adjustmentsrequired. Rejectbasehitsclaimedfromlowpricedtailswithoutfreshrealquotesandoptionhistory. Sources https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SNAP,MARA,ETHA,EWZ&timeframe=1Day&feed=iex and respective /data/option-chain/<symbol>?feed=indicative .

Premises: (1) measured stock ranges can constrain plausible option exits; (2) a directional trend alone does not establish underpricing; (3) full premium, not nominal stop distance, consumes the risk limit. Sep4 completed IEX bars: QQQ719.10, ATR14 8.1675, RSI14 53.73, SMA20 717.517/SMA50 711.0402. SPY770.18 ATR5.4764 RSI55.68; IWM295.94 ATR3.0964 RSI48.05 below20/50 SMAs298.8608/296.9629; PATH15.20 ATR0.9496 RSI45.30 below20SMA16.684 but above50SMA13.894. These mixed combinations do not prove trend persistence. QQQ731 call strike is11.90 or1.46 ATR above spot, reachable in a strong move but not the average outcome within one remaining session afterSep4 (Sep7 holiday). Bear case: flat tape, lower realized variance and decay eliminate tiny premium; low delta and one-cent spread make a base-hit trade harder despite inexpensive entry. No reset for any holding: none exist. No indicator is an entry authorization. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=QQQ,SPY,IWM,PATH&timeframe=1Day&start=2023-01-01&end=2026-09-05&feed=iex&adjustment=all . Exact formulas and remaining14-symbol measures in observations.