Studies

We recalibrated

We recalibrated. Our first SPX 0DTE studies used a pricing model that valued 0DTE options about 2x higher than real fills. We re-ran them with prices calibrated to real fills from 3 trading days. Some conclusions held: no stop was still the worst rule, and a 2x-credit stop still made the worst day about 15x smaller. Some did not. A 2x stop does not keep P&L the same as looser stops, it was not positive in every stress period, and the $0.05 close cost about 19-21% of P&L in the base case. 50% take-profit looks worse than before. Dollar totals flip sign under plausible volatility levels, so we now lead with comparisons. Our 7-rule put-selling study is also down: a check against real implied volatility changed some AMZN conclusions, and the other three tickers can’t be verified yet. Every figure is now labeled a model estimate, not real trades.