How Options Whale research is produced

Expected-move methodology

The current engine uses the midpoint of an at-the-money call and put in the expiration containing earnings: implied move = ATM call midpoint + ATM put midpoint. The percentage move divides that dollar value by the snapshot underlying price. This is a market-price proxy, not a probability forecast.

Historical evidence uses absolute post-earnings stock moves and reports the median, mean, maximum, trailing windows, and the number of events where actual movement exceeded the stored implied move.

Event-relative volatility

Historical ATM IV observations are aligned to checkpoints T-35, T-28, T-21, T-14, T-7, T-3, T-1, and T+1. The current event-expiration ATM IV is compared with the median at the nearest checkpoint. The resulting deviation is a relative-value input, not a standalone trade signal.

IV rank and percentile use the available historical event curve. They are intentionally labeled as event-relative MVP measures because a complete point-in-time daily IV history is not yet available from the configured data source.

Strategy construction

Six structures are evaluated: long straddle, long strangle, calendar, iron condor, bull put spread, and bear call spread. Strikes come only from normalized contracts. The selector combines event-relative volatility, expected-move richness, term structure, liquidity, historical evidence, and modeled risk/reward.

Payoff arrays are deterministic. Maximum profit is left undefined where it is not mathematically bounded. Rejected strategies retain reason codes such as VOLATILITY_NOT_CHEAP, LIQUIDITY_POOR, HISTORICAL_SAMPLE_INSUFFICIENT, and DIRECTIONAL_CONFIRMATION_MISSING.

Hard filters

Publication requires sufficient valid contracts, future expirations and strikes, nonnegative values, reasonable IV, an available future earnings event, timezone-consistent timestamps, adequate liquidity, and enough historical observations for the intended strategy evidence.

Data status is assigned as VALID, PARTIAL, STALE, or INVALID. Invalid data cannot silently produce published research.

Execution assumptions

Historical strategy returns are reconstructed from end-of-day quotes with modeled fills. EOD quotes with modeled fills are not evidence of actual execution: they do not prove that these fills were achievable at the historical timestamps.

The backtester models each entry and exit at the end-of-day midpoint moved adversely by 25% of the quoted bid-ask spread per fill — buys toward the ask, sells toward the bid — and charges $0.65 commission per contract per side. Returns are reported against modeled maximum loss. Missing entry or exit contract quotes are skipped, never imputed. These assumptions are stored with every reconstruction run under the EXACT_CONTRACT_EOD_MIDPOINT_WITH_ADVERSE_SLIPPAGE methodology label so historical results stay reproducible and never silently change between strategies.

Historical limitations

Historical expired option-chain coverage depends on the EODHD plan and dataset supplied. Historical strategy returns in this MVP are reconstructed outcomes using the current methodology and must not be presented as observed live publications. Forward daily snapshots accumulate Options Whale's own event-relative history from day one.

Earnings dates can move. Each event retains its source and retrieval timestamp. The MVP does not claim access to every historical earnings-date revision that was known at a past decision point.

Use of AI

Quantitative statistics and strategy candidates are generated from market data using deterministic models. The commentary on each research page is deterministic template output built from structured reason codes and quantitative results, not AI-generated text.

AI assists with summarizing and explaining results. Research may contain errors and should be independently verified.