Data Used
Current semiconductor scan: Alpaca SIP daily stock bars, Alpaca active option contracts, and Alpaca latest option quotes. IV is solved from ATM straddle mid prices.
Recent real-option backtest: Alpaca SIP daily stock bars for signal dates and Alpaca historical option hourly bars for actual option entry/exit closes. This is the highest-evidence result in this package, but the sample is short.
Broad synthetic condor backtest: yfinance daily OHLC plus IV proxies in the original first pass, then Alpaca was added for the semiconductor current scan and real-option sanity check. Synthetic results are useful for screening, not deployment estimates.
Top-Line Read
Synthetic candidate Sharpe
5.32
Proxy IV / model pricing
Synthetic candidate P&L
$80,099
1% risk sizing portfolio
Real option P&L
$-2,633
Recent 1-lot semiconductor sanity check
Real option Sharpe
1.84
Trade-level, short sample
The key lesson is that synthetic results are too optimistic. Real Alpaca option bars show high win rate but one large semiconductor tail loss can erase many small condor credits.
Current Semiconductor Opportunities
Candidate filter: IV/RV20 >= 1.20 and positive conservative executable credit.
| symbol | expiry | dte_calendar | spot | iv_from_atm_straddle | rv20 | iv_rv20 | range_pct_rank_252 | short_put | long_put | short_call | long_call | executable_credit | max_loss_executable | opportunity_score |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AVGO | 2026-06-05 | 7 | 436.70 | 85.64% | 36.65% | 2.34 | 72.62% | 385.00 | 360.00 | 487.50 | 515.00 | $451.40 | $2,298.60 | 1.6967827332055192 |
| SMH | 2026-06-05 | 7 | 601.09 | 49.69% | 39.97% | 1.24 | 67.86% | 560.00 | 540.00 | 642.50 | 662.50 | $328.40 | $1,671.60 | 0.8434737848848073 |
Full Semiconductor Scan
| symbol | expiry | spot | iv_from_atm_straddle | rv20 | iv_rv20 | range_pct_rank_252 | executable_credit | max_loss_executable | opportunity_score |
|---|---|---|---|---|---|---|---|---|---|
| AVGO | 2026-06-05 | 436.70 | 85.64% | 36.65% | 2.34 | 72.62% | $451.40 | $2,298.60 | 1.6967827332055192 |
| INTC | 2026-06-05 | 118.03 | 87.51% | 88.77% | 0.99 | 89.68% | $116.40 | $583.60 | 0.884045985891694 |
| SMH | 2026-06-05 | 601.09 | 49.69% | 39.97% | 1.24 | 67.86% | $328.40 | $1,671.60 | 0.8434737848848073 |
| QCOM | 2026-06-05 | 255.22 | 88.59% | 96.72% | 0.92 | 90.08% | $158.40 | $1,591.60 | 0.8250928416020464 |
| SOXX | 2026-06-05 | 568.53 | 51.94% | 48.26% | 1.08 | 76.59% | $-72.60 | $2,072.60 | 0.8242609980496558 |
| TSM | 2026-06-05 | 419.63 | 42.98% | 37.55% | 1.14 | 69.84% | $208.40 | $1,041.60 | 0.7994353434322979 |
| ARM | 2026-06-05 | 353.21 | 101.35% | 114.68% | 0.88 | 75.40% | $309.40 | $2,190.60 | 0.6663058683303617 |
| NVDA | 2026-06-03 | 216.98 | 38.31% | 36.28% | 1.06 | 38.89% | $85.40 | $414.60 | 0.4106415629326286 |
| AMD | 2026-06-05 | 507.01 | 73.25% | 94.32% | 0.78 | 42.86% | $474.40 | $2,275.60 | 0.3328536759998424 |
| MU | 2026-06-05 | 957.47 | 101.98% | 105.99% | 0.96 | 34.52% | $1,067.40 | $5,432.60 | 0.3321883856772456 |
Manual Trading Use
Use this only for research or paper/manual testing. Current first-pass risk budget is $100-$200 per candidate, with $500 as the upper test limit.
- Short iron condor: consider only when
IV/RV20 >= 1.20, conservative executable credit is positive, and the max loss can be reduced near the risk budget with liquid strikes. - Skip: negative executable credit, very wide bid/ask, untested earnings/news windows, or names with prior large real-bar tail losses.
- Long volatility / reverse condor: consider when
IV/RV20 <= 0.90but range, volume, or event pressure is rising. - Exit: short condors can be tested with 50%-70% credit capture; close/reduce if loss reaches planned risk budget.
Detailed playbook: reports/manual_trading_playbook.md
Real Alpaca Option-Bar Backtest
P&L by symbol, 1-lot
Average return on risk by symbol
By Symbol
| symbol | validated_trades | date_start | date_end | total_pnl_1lot | avg_pnl_1lot | win_rate | avg_return_on_risk | ann_trade_sharpe | max_drawdown_dollars | worst_trade | best_trade |
|---|---|---|---|---|---|---|---|---|---|---|---|
| AVGO | 5 | 2026-05-07 | 2026-05-21 | $974.00 | $194.80 | 100.00% | 18.28% | 14.68509606920748 | $0.00 | 7.400000000000054 | 347.39999999999986 |
| ARM | 2 | 2026-05-08 | 2026-05-19 | $184.80 | $92.40 | 100.00% | 4.67% | 17.87687163935012 | $0.00 | 60.40000000000001 | 124.40000000000003 |
| INTC | 3 | 2026-05-11 | 2026-05-26 | $182.20 | $60.73 | 66.67% | 7.32% | 7.783695366404703 | $-4.60 | -4.600000000000001 | 107.4 |
| NVDA | 4 | 2026-05-07 | 2026-05-26 | $68.60 | $17.15 | 75.00% | 2.17% | 0.679040796325871 | $0.00 | -255.6 | 153.39999999999998 |
| TSM | 1 | 2026-05-07 | 2026-05-13 | $27.40 | $27.40 | 100.00% | 1.82% | $0.00 | 27.39999999999998 | 27.39999999999998 | |
| SOXX | 1 | 2026-05-13 | 2026-05-19 | $20.40 | $20.40 | 100.00% | 1.21% | $0.00 | 20.399999999999864 | 20.399999999999864 | |
| SMH | 2 | 2026-05-13 | 2026-05-26 | $-176.20 | $-88.10 | 50.00% | -3.35% | -1.019984301934974 | $-381.60 | -381.5999999999999 | 205.4000000000001 |
| AMD | 4 | 2026-05-07 | 2026-05-26 | $-213.40 | $-53.35 | 75.00% | -0.40% | -0.2864279868315002 | $-752.60 | -752.6 | 251.4 |
| QCOM | 3 | 2026-05-14 | 2026-05-26 | $-288.80 | $-96.27 | 66.67% | -4.46% | -1.9824174224912647 | $-561.60 | -561.5999999999999 | 157.4 |
| MU | 4 | 2026-05-06 | 2026-05-26 | $-3,412.40 | $-853.10 | 50.00% | -14.57% | -2.493933634163461 | $-3,594.60 | -3594.5999999999995 | 1136.4 |
Trade Validation Status
| status | count |
|---|---|
| ok | 29 |
| missing_exit_long_put | 17 |
| missing_long_put | 3 |
| missing_exit_long_call | 1 |
Paper Trading Signal Runner
Registered AlphaVault paper signal runner. It records candidates and only allows paper broker submission when both signal and max-loss gates pass. Current max-loss gate is $500 per 1-lot.
| symbol | paper_action | asof_date | expiry | spot | iv_rv20 | range_pct_rank_252 | executable_credit | max_loss_executable | risk_gate_pass | signal_gate_pass | short_put | long_put | short_call | long_call | opportunity_score |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AVGO | signal_but_1lot_risk_too_high | 2026-05-29 | 2026-06-05 | 436.70 | 2.34 | 72.62% | $451.40 | $2,298.60 | False | True | 385.00 | 360.00 | 487.50 | 515.00 | 1.6967827332055192 |
| SMH | signal_but_1lot_risk_too_high | 2026-05-29 | 2026-06-05 | 601.09 | 1.24 | 67.86% | $328.40 | $1,671.60 | False | True | 560.00 | 540.00 | 642.50 | 662.50 | 0.8434737848848073 |
| NVDA | watch | 2026-05-29 | 2026-06-03 | 216.98 | 1.06 | 38.89% | $85.40 | $414.60 | True | False | 207.50 | 202.50 | 227.50 | 232.50 | 0.4106415629326286 |
Strategy Variants For Review
Recent Alpaca option-bar sample only. These variants test whether dynamic filtering and regime switching can combine profitable fragments instead of trading every signal.
| strategy | trades | date_start | date_end | total_pnl | avg_pnl | win_rate | avg_return | ann_trade_sharpe | max_drawdown | worst_trade | best_trade | description |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| S2_risk200_exclude_tail_names | 22 | 2026-05-07 | 2026-05-26 | $252.14 | $11.46 | 81.82% | 0.0573037047099691 | 7.239384498035169 | -7931.77% | -79.13312693498452 | 76.43564356435641 | Risk-normalized short IC excluding names with recent large tail losses: MU and QCOM. |
| S5_risk200_dynamic_short_reverse_proxy | 29 | 2026-05-06 | 2026-05-26 | $143.49 | $4.95 | 58.62% | 0.0247392710257762 | 2.4236192364837006 | -14345.65% | -96.10940170940172 | 126.58790336801268 | Use short IC in normal high-range conditions; switch to reverse-IC proxy when RV20 >= 100% or range >= 9%. |
| S0_raw_1lot_short_ic | 29 | 2026-05-06 | 2026-05-26 | $-2,633.40 | $-90.81 | 75.86% | 0.0187621120150737 | 1.835418034037949 | -514160.00% | -3594.5999999999995 | 1136.4 | All validated recent trades, one listed spread each. Shows real whole-contract lumpiness. |
| S1_risk200_short_ic | 29 | 2026-05-06 | 2026-05-26 | $108.82 | $3.75 | 75.86% | 0.0187621120150737 | 1.835418034037948 | -22642.61% | -126.77129254099803 | 87.34819369715603 | All validated trades normalized to $200 risk budget. |
| S3_risk200_credit_quality | 20 | 2026-05-06 | 2026-05-26 | $58.42 | $2.92 | 80.00% | 0.0146041317288579 | 1.1068305575936113 | -16831.73% | -126.77129254099803 | 76.43564356435641 | Risk-normalized short IC where entry credit/risk is between 8% and 40%. Filters very low premium and extreme credits. |
| S4_risk200_semiconductor_etfs | 3 | 2026-05-13 | 2026-05-26 | $-10.99 | $-3.66 | 66.67% | -0.0183199183308734 | -0.95463105441382 | -4154.60% | -41.54599891126836 | 28.136986301369877 | Risk-normalized short IC on SMH/SOXX only. Lower single-name gap risk, but sample is tiny. |
Small Risk Unit Scenarios
Research-normalized fractional sizing for $100, $200, and $500 risk budgets. Listed options trade in whole contracts, so live-like paper trading must find narrow-wing structures whose actual max loss fits the budget.
| risk_budget | trades | date_start | date_end | total_pnl | avg_pnl | win_rate | avg_return_on_budget | ann_trade_sharpe | max_drawdown | worst_trade | best_trade |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 100 | 29 | 2026-05-06 | 2026-05-26 | $54.41 | $1.88 | 75.86% | 0.0187621120150737 | 1.835418034037948 | -11321.31% | -63.385646270499024 | 43.67409684857802 |
| 200 | 29 | 2026-05-06 | 2026-05-26 | $108.82 | $3.75 | 75.86% | 0.0187621120150737 | 1.835418034037948 | -22642.61% | -126.77129254099803 | 87.34819369715603 |
| 500 | 29 | 2026-05-06 | 2026-05-26 | $272.05 | $9.38 | 75.86% | 0.0187621120150737 | 1.8354180340379476 | -56606.54% | -316.9282313524951 | 218.3704842428901 |
Synthetic Candidate Portfolio
This is still useful as a scanner for where to spend real option-data budget.
| symbol | side | signal | threshold | dte | inner_sigma | trades | win_rate | ann_sharpe | oos_ann_sharpe | robust_score | max_drawdown | total_pnl |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SPY | short_ic | iv_rv60 | 1.4 | 5 | 1.25 | 125 | 96.00% | 4.28358000387181 | 3.318340698387114 | 3.318340698387114 | -63314.35% | $6,676.76 |
| DIA | short_ic | iv_rv20 | 1.25 | 5 | 1.25 | 205 | 95.61% | 3.166708974135279 | 4.208268623321264 | 3.166708974135279 | -34898.66% | $8,000.47 |
| MSFT | short_ic | iv_rv60 | 1.2 | 10 | 1.0 | 159 | 91.19% | 2.3235270796823877 | 3.271999852119228 | 2.3235270796823877 | -107986.24% | $18,679.09 |
| QQQ | short_ic | iv_rv20 | 1.5 | 10 | 1.0 | 100 | 89.00% | 1.7275623916407166 | 1.7269172374015451 | 1.7269172374015451 | -58384.69% | $9,809.13 |
| TSLA | short_ic | iv_rv60 | 1.2 | 10 | 1.0 | 40 | 92.50% | 1.6055947282345746 | 5.385907918538802 | 1.6055947282345746 | -168795.62% | $7,383.68 |
Reusable Tool Roadmap
- Universe scanner: daily Alpaca scan across liquid option names, sector ETFs, IPOs, and event names.
- Opportunity math: rank
IV/RV, IV percentile, range percentile, credit/risk, bid/ask width, open interest, and upcoming earnings/IPO lockup/event calendar. - Real quote validator: before any paper trade, replay similar historical events with Alpaca option bars and reject names with large tail losses or missing quote quality.
- Event module: for major IPOs such as SpaceX, monitor listed options after launch, borrow/short constraints, sector sympathy trades, and volatility term structure.
SpaceX IPO Analog Study
Stock-event analog windows for designing the future IPO volatility module. These are not predictions for SpaceX.
| symbol | name | start | end | trading_days | close_return | high_from_first_close | low_from_first_close | max_intraday_range | avg_intraday_range | max_gap_abs | avg_dollar_volume | peak_dollar_volume |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ARM | ARM post-IPO AI/semiconductor repricing | 2024-02-01 | 2024-02-29 | 20 | 1.0 | 1.3255813953488371 | -0.0170164492342598 | 0.3770805592543276 | 0.1030292727612453 | 0.2259446825087649 | 4005567314.687 | 16587759744.02 |
| COIN | Coinbase direct-listing / crypto beta analog | 2021-04-14 | 2021-05-13 | 22 | -0.1924576580967465 | 0.3084561959303036 | -0.2369014256122821 | 0.313753280839895 | 0.0768646592468366 | 0.062812233459242 | 4315752518.128182 | 29518478008.0 |
| RIVN | Rivian high-profile EV IPO analog | 2021-11-10 | 2021-12-09 | 21 | 0.1456368509877892 | 0.7816926437009828 | -0.0548992355802641 | 0.2272599531615924 | 0.1134769275120557 | 0.1379430159833217 | 5118032037.747142 | 17355108231.26 |
SpaceX Options Plan
- Before listed options exist, monitor realized volatility, gaps, dollar volume, borrow/short constraints, and sector sympathy names.
- Once options list, solve ATM straddle IV and compare implied move against ARM/COIN/RIVN analog stress ranges.
- If options imply too little movement, test tiny long-volatility structures. If options imply extreme movement and realized vol cools, test tiny-risk short iron condors.
- Keep initial risk at $100-$200; do not sell naked event volatility.
Current Strategy Settings
- Risk unit: test $100-$200 first; $500 is the upper bound for first-pass paper candidates.
- Universe: prioritize large semiconductor names, hard minimum $1B market cap, preferred $10B+, default focus $100B+ where options are liquid.
- Earnings: run include and exclude variants; keep whichever has better Sharpe and controlled worst trade.
- Strategy mix: combine short iron condors for expensive IV with reverse condors or long-vol structures when IV is cheap but event pressure is rising.
- SpaceX analog: start with ARM as the first semiconductor-adjacent event analog; keep COIN and RIVN as broader IPO-volatility analogs.
Questions For Strategy Improvement
- Do you prefer high-frequency small credits, or fewer trades with wider wings and lower tail risk?
- Should the scanner exclude single-name earnings windows, or explicitly target them with smaller size?
- What maximum loss per 1-lot or per ticker is acceptable for paper testing?
- Should we prioritize sector ETFs like
SMH/SOXXover single names to reduce gap risk? - Do we want the tool to search only liquid options, or include small caps with wider spreads but larger mispricing?