2026-07-30 to 2026-08-28 · 21 sessions
The cheap far-out rung is a lottery ticket, and the ticket got cheaper
Attaching a low-priced far-from-the-money contract to our highest-conviction calls. Forward evidence confirms it: a decent peak on the way, and nothing at all at the bell.
In simple words
What happened
Thirteen percent of entries finished above water. The typical entry peaked at +32.8% and then expired at nothing. An earlier in-sample study had put the typical peak at +93%, so the forward evidence is not merely consistent with the original refusal — the attractive half of the story got smaller when tested out of sample.
Who would pay?
A low-priced contract far from the current price is convex: it can multiply many times over on a fast move. If the conviction call is right often enough, the occasional large multiple should pay for the many that expire worthless.
How it was tested
Every time the highest-conviction call fired, the cheap rung it names was recorded with the price actually payable to a buyer — the offer, not the midpoint — and then graded twice: at its best point along the way, and at the closing bell.
What would prove it wrong?
The median entry ends at -98.7%. Not "down a lot" — effectively nothing. The average across all 30 is -2.1% on the buyer’s price, so the occasional multiple does not pay for the rest.
Leader-collapsed evidence
What each setup actually did
30 independent top-conviction sleeve entries, plus 19 from two related lanes, all resolved
| Lane | Entries | Finished green | Mean at bell | Median at bell | Median peak | Decision |
|---|---|---|---|---|---|---|
| TOPCONVAttached to the top-conviction index call | 30 | -2.1% | -98.7% | 13% | In-sample peak was +93%, forward +32.8% | REFUSED |
| PUTUNWAttached to the put-unwind opposing play | 9 | -50.4% | -99.0% | 22% | Context only | REFUSED |
| CALLUNWAttached to the call-unwind opposing play | 10 | +60.3% | -98.4% | 30% | Positive mean, -98% median — a lottery | REFUSED |
What we keep
Learnings
- 01
A positive average with a -98% median is the signature of a lottery, not an edge. Report both or the instrument is being misdescribed.
- 02
A peak is not a result. The typical entry really did trade +33% higher at some point, and a holder who did nothing still finished with nothing. Any claim built on a peak has to say what rule would have captured it.
- 03
The out-of-sample peak came in at about a third of the in-sample one. When the flattering half of a finding shrinks on new data and the unflattering half does not, that is the ordering you should expect and it is worth stating.
- 04
Being right about direction and being paid are different questions. These rungs hang off the system’s highest-conviction calls and still expire worthless in the median case, because the contract chosen cannot survive the path.