S-B QQQ put spread, exploration

Paper trading, not investment advice. Every account and book on these pages trades paper money: the Alpaca paper accounts DAILY ($1,000,000 from Sep 30, 2026), INTRA1 ($100,000 from Sep 30, 2026) and INTRA2 ($100,000 from Sep 30, 2026); the simulated books SIM-TT ($100,000 from Sep 29, 2026), SIM-V2B ($100,000 from Sep 28, 2026) and SIM-V2B-TOM ($100,000 from Sep 28, 2026), filled at the official close; and market-analysis's ledgers, one contract per position against a $100,000 reporting equity. No real money is at stake. Positions, trades and P&L are published the same day, as the engines record them, with each number's source and cost model labelled. Nothing here is a recommendation to buy, sell or hold any security, and nothing is tailored to you. Each strategy is a pre-registered experiment, read once on a date or at a trade count fixed in advance; until then its record says little either way. I may hold or have held positions in securities shown here. Markets can and do lose money.

The exploration twin of S-B's QQQ put spread: the champion's rules with the gate ignored, one contract each week its legs pass the champion's other rules, with the gate's verdict on each position. It exists so the gate itself can be graded: S-B's exploration positions entered with the gate on against those entered with it off, all four exploration books together. It never counts toward the champion's record, its limit of three open or its go or no-go.

Gate, recorded, not applied: VIX3M above VIX (G1) and VXN above its median of the 20 sessions before (G2), both on the prior close; ON, or OFF with the condition or conditions that failed (OFF:G1, OFF:G2 or OFF:G1,G2). A missing value still means no entry.
Entry: each week whatever the gate says, under the champion's other rules: the last session of the week, each leg priced at its average traded price from 15:00 to 16:00 ET; of the expiries that traded that day, the Friday one (the Thursday before a Friday holiday) nearest 21 calendar days out, between 7 and 30.
Strikes: short put at S(1 − m), long put at S(1 − 2m), with S QQQ's price at the day's last option print and m = VXN/100 × √(DTE/365), DTE the calendar days to expiry and VXN at that day's close; each the strike nearest its target, within 0.25m × S of it, that printed at least 5 contracts from 15:00. If a leg has no such strike in that expiry, there is no entry that week. S and m are taken at the end of the day, up to an hour after the prices the legs are entered at; S-B's specification accepts this gap.
Spread: the short put's quoted spread at its prints from 15:00, averaged by size, at most 10% of the quote's midpoint; otherwise, or with no quote, no entry that week. The long put's is charged, not filtered.
Size: one contract, with no limit on open positions; its return is measured on its max loss, the width less the credit.
Exit: held to expiry and settled at intrinsic value against the official close (or QQQ's price at that day's last option print if the close is missing). Early assignment and dividends are not modelled.

Name	Value	Unit	Where it lives	Pinned by
target_dte_cal	21	calendar days	engine/config.py:125	tests/test_sb_frozen_params.py:31
dte_cal_min	7	calendar days	engine/config.py:126	tests/test_sb_frozen_params.py:31
dte_cal_max	30	calendar days	engine/config.py:127	tests/test_sb_frozen_params.py:31
short_sigma	1	m, the short leg's distance from S	engine/config.py:128	tests/test_sb_frozen_params.py:31
wing_sigma	2	m, the long leg's distance from S	engine/config.py:129	tests/test_sb_frozen_params.py:31
strike_band_sigma	0.25	m × S, the most a strike may sit from its target	engine/config.py:130	tests/test_sb_frozen_params.py:31
leg_size_min	5	contracts printed from 15:00, each leg	engine/config.py:131	tests/test_sb_frozen_params.py:31
short_spread_max	0.1	of the quote's midpoint, short leg	engine/config.py:132	tests/test_sb_frozen_params.py:31
median_window	20	sessions	engine/config.py:133	tests/test_sb_frozen_params.py:31
LATE_START	15:00:00	ET, the late window's start; it runs to the close	engine/config.py:42	tests/test_frozen_params.py:39
COMMISSION_PER_CONTRACT	0.65	USD a contract, each leg	engine/config.py:55	tests/test_frozen_params.py:39

What is read: the gate read: S-B's exploration positions entered with the gate on against those entered with it off, all four exploration books together, averaged by expiry, at each quarterly read from 2026-12-01. The operating guide's command sets its bar: the gate-on side's mean return on risk must beat the gate-off side's by at least one percentage point, with one-sided p below 0.05 and at least 20 graded expiries on each side. If it does not, once both sides have them, removing the gate becomes a candidate change, tested like any other; the read never removes it itself. The first reads will hold too few expiries.
Read on: late 2027
Trades needed: —
Trades logged: —
Hard stop: —
Shipped on: —
Deployed commit: 4a94224

Closed trades: 2
Won: 2 of 2
P&L: +$448.85
Net P&L: +$436.72
Closed without a P&L: —
Closed without a net P&L: —
Open: 3

Closed trades

Each closed trade's net P&L as the record keeps it, by the day it closed.

Closed trades — data table

S-B QQQ put spread, exploration: each closed trade's P&L and net P&L as the record keeps them
Closed	Symbol	P&L	Net P&L	Return
Oct 2, 2026	QQQ	+$230.01	+$224.53	—
Oct 9, 2026	QQQ	+$218.84	+$212.19	—

Record GitHub ledger

Cost model

half of each leg's quoted spread plus $0.65 a contract at entry; $0.65 a contract at expiry

Opened	Closed	Account	Symbol	Side	Size	Entry	Exit	P&L	Net P&L	Return	Held	Exit by	Status	Record
Oct 9, 2026	—	MA	QQQ	short	1	2.081429	—	—	—	—	—	—	open	GitHub ledger (1)
Oct 2, 2026	—	MA	QQQ	short	1	1.970454	—	—	—	—	—	—	open	GitHub ledger (1)
Sep 25, 2026	—	MA	QQQ	short	1	1.930522	—	—	—	—	—	—	open	GitHub ledger (1)
Sep 18, 2026	Oct 9, 2026	MA	QQQ	short	1	2.188364	0.00	+$218.84	+$212.19	—	21 days	expiry	closed	GitHub ledger (1)
Sep 11, 2026	Oct 2, 2026	MA	QQQ	short	1	2.300145	0.00	+$230.01	+$224.53	—	21 days	expiry	closed	GitHub ledger (1)

(1)
Record GitHub ledger
Cost model
half of each leg's quoted spread plus $0.65 a contract at entry; $0.65 a contract at expiry

market-analysis
S-B's specification (findings market-analysis/DESIGN/80)
Why the exploration book exists (findings market-analysis/DESIGN/100)

What it is

The rule

Its read

Record so far

Trades

Where the research is