market-analysis
S-C C1 short straddle, exploration
Single-name variance premium, earnings-free
What it is
The exploration book of S-C's short straddle: one contract a week on every stock or fund S-C can price at the money (81 in its first week), whatever its other filters and its ten-name selection say, with the first filter it failed on each position. It shows how the names S-C's filters turn away would have fared beside the ones it selects; in its first week most were turned away for a market cap above $20B. S-C has two variants, C1 (every sector) and C2 (Technology excluded). These positions carry C1 because each verdict is read against C1's filters and C1's ten, so a stock C1 selected is marked PASS and repeats C1's champion position at one contract. It never counts toward the champion's record, its caps or its go or no-go, and no read is fixed for it.
The rule
- Entry: every week, on the last session: one contract on every stock or fund in the options data's end-of-day stock screener that has S-C's expiry and at-the-money pair and a known close and 30-day implied volatility, whatever its other filters say.
- Expiry: of the expiries that traded that day, the one 20 to 40 calendar days out nearest 28.
- At the money: the strike nearest the close, within 2.5% of it, whose call and put each printed at least 5 contracts from 15:00 to 16:00 ET; both sold at their average traded price in that window.
- Verdict: the first of C1's filters the stock failed, in the order they are checked; whether it also fails a later one is not recorded. F1 common stock or ADR (so ETFs and other funds fail it), F2 a close of $10 or more, F3 a market cap of $1B to $20B, F4 a 20-session average dollar volume of at least $50M, F5 a known earnings date after the expiry, F6 a 30-day implied volatility of 30% to 80%, F9 quoted spreads of at most 8% on both at-the-money legs. F10 if it passed them all but missed C1's ten lowest spreads, which includes a stock only C2 selected; PASS if C1 selected it. F7 and F8, S-C's expiry and at-the-money rules, are met by every position here.
- Size: one contract, with no caps; the return is measured on its stress loss: what the straddle would be worth at expiry after a 3σ move the worse way, less the credit, with S the close and σ = S × the 30-day implied volatility × √(days to expiry/365).
- Exit: held to expiry and settled at intrinsic value against the official close (or the stock's price at that day's last option print if the close is missing); a split during the hold is adjusted for, and a stock that stops trading settles at its last close. Early assignment and dividends are not modelled.
| Name | Value | Unit | Where it lives | Pinned by |
|---|---|---|---|---|
| price_min | 10 | USD, the entry session's close (F2) | engine/config.py:243 | tests/test_sc_frozen_params.py:25 |
| mcap_min | 1000000000 | USD of market cap (F3) | engine/config.py:244 | tests/test_sc_frozen_params.py:25 |
| mcap_max | 20000000000 | USD of market cap (F3) | engine/config.py:245 | tests/test_sc_frozen_params.py:25 |
| adv_min | 50000000 | USD a day, 20-session average dollar volume (F4) | engine/config.py:246 | tests/test_sc_frozen_params.py:25 |
| ADV_WINDOW_SESSIONS | 20 | sessions in the average dollar volume (F4) | engine/strategies/sc_data.py:17 | — |
| iv30d_min | 0.3 | 30-day implied volatility, annualized, as a fraction (F6) | engine/config.py:247 | tests/test_sc_frozen_params.py:25 |
| iv30d_max | 0.8 | 30-day implied volatility, annualized, as a fraction (F6) | engine/config.py:248 | tests/test_sc_frozen_params.py:25 |
| dte_cal_min | 20 | calendar days | engine/config.py:249 | tests/test_sc_frozen_params.py:25 |
| dte_cal_max | 40 | calendar days | engine/config.py:250 | tests/test_sc_frozen_params.py:25 |
| target_dte_cal | 28 | calendar days | engine/config.py:251 | tests/test_sc_frozen_params.py:25 |
| atm_band | 0.025 | of the close | engine/config.py:252 | tests/test_sc_frozen_params.py:25 |
| leg_size_min | 5 | contracts printed from 15:00, each leg | engine/config.py:253 | tests/test_sc_frozen_params.py:25 |
| spread_max | 0.08 | of the quote's midpoint, each leg (F9) | engine/config.py:254 | tests/test_sc_frozen_params.py:25 |
| select_n | 10 | names a week (F10) | engine/config.py:255 | tests/test_sc_frozen_params.py:25 |
| stress_sigma | 3 | σ, the stress move | engine/config.py:258 | tests/test_sc_frozen_params.py:25 |
| 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 |
| SPLIT_TOL | 0.05 | gap between the screener's and the daily bars' entry close read as a split | engine/strategies/sc.py:38 | tests/test_sc_frozen_params.py:39 |
Its read
Record so far
Record GitHub ledger
Cost model
half of each leg's quoted spread from 15:00 to 16:00 ET plus $0.65 a contract at entry; nothing at expiry
Trades
The newest 100 of 143 trades.
| Opened | Closed | Account | Symbol | Side | Size | Entry | Exit | P&L | Net P&L | Return | Held | Exit by | Status | Record |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Oct 9, 2026 | — | MA | AAL | short | 1 | 1.325606 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | AAPL | short | 1 | 20.372022 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | ABNB | short | 1 | 16.192051 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | ACHR | short | 1 | 0.746809 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | AEHR | short | 1 | 19.766667 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | AMD | short | 1 | 73.545727 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | AMZN | short | 1 | 23.06477 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | ASO | short | 1 | 4.437143 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | ASTS | short | 1 | 8.687853 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | CELH | short | 1 | 3.937889 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | CRWV | short | 1 | 12.025 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | DAL | short | 1 | 6.89375 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | DELL | short | 1 | 73.6325 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | DRAM | short | 1 | 6.115238 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | EWZ | short | 1 | 4.008583 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | F | short | 1 | 1.07 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | FRMI | short | 1 | 0.773333 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | GLD | short | 1 | 19.592222 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | GME | short | 1 | 3.704632 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | GOOG | short | 1 | 27.887053 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | HIMS | short | 1 | 5.316713 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | HOOD | short | 1 | 15.136923 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | IBIT | short | 1 | 3.623472 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | INTC | short | 1 | 14.867452 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | IREN | short | 1 | 5.773171 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | IWM | short | 1 | 11.268273 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | JPM | short | 1 | 19.157 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MARA | short | 1 | 1.557623 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MP | short | 1 | 6.188523 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MRNA | short | 1 | 56.252143 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MSFT | short | 1 | 37.966333 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | MU | short | 1 | 102.940711 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NBIS | short | 1 | 33.928333 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NFLX | short | 1 | 7.054286 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NIO | short | 1 | 0.36 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NKE | short | 1 | 2.602 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | NVDA | short | 1 | 15.285781 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | OKLO | short | 1 | 4.932266 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | PLTR | short | 1 | 26.236295 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | QCOM | short | 1 | 20.414304 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | QQQ | short | 1 | 30.28 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | RDDT | short | 1 | 26.385956 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | RIVN | short | 1 | 1.981727 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | RKT | short | 1 | 1.77 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SHOP | short | 1 | 25.069286 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SMCI | short | 1 | 7.225 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SNDK | short | 1 | 227.638625 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SNXX | short | 1 | 3.853333 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SOFI | short | 1 | 1.935145 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SOXL | short | 1 | 32.594782 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SPCX | short | 1 | 17.274267 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | SPY | short | 1 | 21.172778 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | T | short | 1 | 1.675085 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TLT | short | 1 | 2.388269 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TMUS | short | 1 | 13.982857 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TQQQ | short | 1 | 9.487571 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TSLA | short | 1 | 36.522222 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | TSM | short | 1 | 32.56 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | U | short | 1 | 6.492225 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | VIX | short | 1 | 3.36766 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | VST | short | 1 | 18.60 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 9, 2026 | — | MA | VZ | short | 1 | 2.966485 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AAOI | short | 1 | 22.42 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AAPL | short | 1 | 18.706104 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AMD | short | 1 | 66.297143 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AMZN | short | 1 | 21.716822 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | APLD | short | 1 | 4.949067 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | APP | short | 1 | 32.377792 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AVGO | short | 1 | 27.687188 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | AXTI | short | 1 | 23.696667 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | BA | short | 1 | 16.671228 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | BABA | short | 1 | 8.046429 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | BAC | short | 1 | 3.371584 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | CBRS | short | 1 | 25.19 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | COIN | short | 1 | 24.326964 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | CRCL | short | 1 | 11.195714 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | CRWV | short | 1 | 13.510124 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | CSCO | short | 1 | 7.00 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | DIA | short | 1 | 15.539749 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | ECHO | short | 1 | 8.049417 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | F | short | 1 | 1.089086 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | GME | short | 1 | 2.913752 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | GOOG | short | 1 | 26.364762 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | GOOGL | short | 1 | 26.732166 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | HOOD | short | 1 | 15.355804 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | HPE | short | 1 | 9.8125 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IBIT | short | 1 | 3.595292 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IEF | short | 1 | 1.64 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | INTC | short | 1 | 18.28858 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IONQ | short | 1 | 6.28359 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IREN | short | 1 | 6.273846 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | IWM | short | 1 | 11.708879 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | JNJ | short | 1 | 14.794323 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | KO | short | 1 | 4.045 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | KWEB | short | 1 | 1.33 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | MARA | short | 1 | 1.937313 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | META | short | 1 | 68.272922 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | MO | short | 1 | 3.747286 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | MRVL | short | 1 | 36.955294 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Oct 2, 2026 | — | MA | MSFT | short | 1 | 37.246047 | — | — | — | — | — | — | open | GitHub ledger (1) |
- (1) Record GitHub ledger
Cost model
half of each leg's quoted spread from 15:00 to 16:00 ET plus $0.65 a contract at entry; nothing at expiry
Where the research is
- market-analysis
- S-C's specification (findings market-analysis/DESIGN/90)
- Why the exploration book exists (findings market-analysis/DESIGN/100)