WHY THIS EXISTS
Flow before structure
Separate underlying conviction from option-market positioning before selecting a spread.
OPTIONS INTELLIGENCE / MONITOR V0.1
Stock Decision
CURRENT STOCK
DEMO DATA
MARKET PERMISSION
Loading…
Put/Call activity is treated as context and risk control—not a standalone trade signal.
Cross-market option pressureNormalized demo snapshots
| Symbol | State | Vol PCR | Premium PCR | Ask-side PCR | Tail Pressure | IV Skew | 60D Z | Permission |
|---|
PRIMARY GUARDRAIL
Do not sell into stress
Active put buying, tail demand, and steepening skew can reduce or halt short-put risk.
RESEARCH STANDARD
Point-in-time only
Production backtests will require historical chains, tradable quotes, and conservative fills.
UNDERLYING
AAPL
Choose the horizon after the stockCompare all four models before selecting a trade timeframe
60-DAY PCR TRACE
INTERPRETATION
Data is deterministic demo data until the LSEG adapter is
validated.
SYSTEMIC RISK / MULTIVARIATE STATE SPACE
Macro Risk Cube
See how debt load, interest burden and asset valuation travel together—not as isolated charts, but as one evolving system.
CURRENT REGIMEElevated · reversibleResearch classification · not a Fed designation
3D REGIME MAP
Rotate the economy through three risk dimensions.
HISTORICAL TRAJECTORY
Connect actual annual observations to show how the macro state entered, crossed and left modeled risk zones.
Loading observations…StableDanger zoneNo-return scenario
Drag to rotate · scroll to zoom · select a historical point to inspect its regime.
SELECTED ACTUAL PRINTLoading FRED…Connecting to source series
- Debt / GDP
- —
- Interest / GDP
- —
- Stocks / GDP
- —
- Model zone
- —
SCENARIO CONTROLS
Move the current state
MODEL INTERPRETATIONDanger zone
High valuation and debt reduce the economy's shock-absorption capacity. The path still matters more than one threshold.
Horizontal transmission monitorNormalized research series · common timeline
SYSTEMIC RISK / MULTI-VIEW ANALYTICS
One state space, multiple falsifiable views.
- NormalizeAlign quarterly/monthly series without look-ahead.
- LocateMap every date into debt, burden and valuation space.
- ThresholdVersion danger zones as model assumptions—not facts.
- ValidateTest whether zone entry predicts drawdown, volatility or slower growth.
OPTION MICROSTRUCTURE / MARKET EVIDENCE
Option Surface Cube
Inspect listed option prices across strike, time to expiry and premium. Observed marks and actual trade prints stay separate so sparse liquidity remains visible.
INSTRUMENTUUUU
Spot loading…
LOADING DATA
Verifying provider fields…
Same 3D grammar, different research question. Axes and evidence are never mixed.
UNDERLYING CONTEXT / 12-WEEK HISTORY
UUUU price before option geometry
Loading cached dates…Close field is TRDPRC_1—the underlying last trade, not an option midpoint.
3D QUOTE GEOMETRY
UUUU call surface
X · StrikeY · Days to expiryZ · Option price
Loading option observations…
Observed provider markTRDPRC_1 actual printInterpolated mark guide
Evidence rule: the translucent mark surface is a linear visual guide—not a continuous market and not an executable price. Magenta diamonds are the actual trade prints.
POINT INSPECTOR
Read one contract
SELECT A POINTHover or click the cubeMark circles and trade diamonds remain independently selectable.
- RIC
- —
- Strike
- —
- DTE
- —
- MARK
- —
- Actual trade
- —
- Print gap
- —
HOW TO READ IT
Gaps and missing magenta prints reveal where a smooth-looking option sheet has weak trade evidence. Use the surface to diagnose coverage before strategy construction.
Mark is not the last tradeAll calls and puts on the selected as-of date
PRICE EVIDENCE COMPARISON
UUUU · last trade versus midpoint
CallsPutsy = x
Calculating paired-price regression…
Off-diagonal observations are direct evidence that the closing midpoint and the last recorded trade answer different questions.
FIELD AVAILABILITY
What actually exists?
MID only supplies a closing reference but no trade evidence. Print only proves a trade occurred but does not reconstruct the closing NBBO midpoint. Neither is a listed-series hole—not a zero.
Where the market data existsDark cells never supplied that field in the selected snapshot
OBSERVED MARK COVERAGE
MARK occupancy
Colored cells contain the selected provider mark; dark cells contain no mark value in this strike–expiry grid.
EXECUTION EVIDENCE COVERAGE
TRDPRC_1 occupancy
Magenta cells prove that a trade printed; dark cells make the historical execution evidence missingness explicit.
EVIDENCE READOUT
Market quality before strategy pricing
01 · DENSITY
The cloud density is loading from the selected option snapshot.
02 · INTERPOLATION
Interpolating an empty $0.50 strike grid is dangerous because a smooth sheet can assign prices to contracts that never traded—or may never have been listed.
03 · MARK VS TRADE
The observed mark is the provisional end-of-day reference for the next model, while TRDPRC_1 only proves that somebody traded. On a strike with a mark and no print, what price would we actually get filled at? You do not know.
RELATIONSHIP INTELLIGENCE / WALK-FORWARD ONLY
Markets move as a network.
Monitor index regime, competitors, peers, supply chains, input costs and cross-assets before turning a stock view into an option structure.
CURRENT RESEARCH ANCHORAAPLChange it once from the top selector
RELATIONSHIP PATHS
Loading relationship map…
RELATIVE MOVE MONITOR
Catch-up is a hypothesis—not a rule.
A 5% peer rise versus your stock's 3% rise is tested on beta-neutral residuals, news and event state. Raw price gaps never trigger a trade by themselves.
Independent strategy experimentsEach is validated separately by horizon
BACKTEST CONTRACT
Point-in-time relationship research
MULTI-LEG OPTIONS WORKBENCH
Build the entire package.
The selected stock and horizon determine the initial structure; every leg, price, Greek and payoff remains inspectable before the combo reaches the trading desk.
AAPL/8–60 DTESelected model context
AAPL
Choose only the timeframe here. Change the stock from Stock Decision or the selector at the top.
UNDERLYINGAAPL · $227.31Normal options context
Choose your timeframeEach range runs an independently designed model
Running the horizon model…
Construct the packageStart from the model template or edit every leg
ONE-TICKET COMBO
Loading structure…
| Action | Ratio | Instrument | Expiration | Strike | Bid | Mid | Ask | Delta |
|---|
Quotes are theoretical placeholders until a live option-chain adapter is connected.
EXPIRATION PAYOFF
Risk shape before execution
ProfitLossBreakeven —
POSITION ANALYTICS
Greeks and bounded risk
Model boundary: positive-P&L probability uses the selected IV and a lognormal terminal-price approximation; it is not a guaranteed POP or a live broker quote.
PAPER EXECUTION / MULTI-POSITION WORKSPACE
Trading Station
Stage covered calls and option packages, record fills, manage expiration decisions and monitor the running Reg T book.
ACCOUNT METHODReg T · PaperInitial and maintenance margin · not portfolio margin
LOCAL MODELConnected
LSEGAdapter ready · disconnected
GOOGLE FINANCEReference adapter · disconnected
RISK ENGINELive from paper ledger
UNDERLYING MARKET / ACTUAL OHLC PRINTS
AAPL Loading…
Connecting to reference market data…Loading market bars…
Up candleDown candle—
STOCK LEGLong 100 sharesper short call contract
OPTION LEGShort 1 callpremium enters cash at the fill
PAYOFFIncome now · capped upsidebreakeven = stock cost − premium
EXPIRATION DESKDecide one session before expiryhold · close · roll out · roll up
ORDER TICKET
Open the complete trade
One action records both fills: BUY 100 shares and SELL 1 call per contract. No broker order leaves this workspace.
PRE-TRADE RISK GATE
Within paper limits
Expiration deskMonitor inside 5 DTE · execute the frozen rule one session before expiry
Open paper positions0 positions
| Symbol / structure | Covered units | DTE | Stock mark | Call strike | Call mark | Premium income | Unrealized P&L | Decision |
|---|
No paper positions yet. Open the first covered call above.
Ledger · running bookCurrent stock, short-option and cash balances
| Account / asset | Instrument | Quantity | Cost / credit | Mark | Market value | Unrealized P&L |
|---|
Blotter · fills onlyImmutable simulated executions · newest first
| Time | Order ID | Instrument | Side | Quantity | Fill | Mid at order | Slippage |
|---|
0–1 DTE / SELECTIVE SHORT-HORIZON RESEARCH
Price and volume lead.
Similarity identifies historically comparable states; option context and execution quality decide whether a trade is permitted.
QUALIFIED CADENCE1–2 entries / weekNo forced trade when every candidate fails
FACTOR ALLOCATION
Price-volume concentration
47%31%18%4%
Price path · 47%Volume & participation · 31%Options context · 18%Execution · 4%
PRICE PATHMA3 · MA5 · curve shapeRange position, shock reversal and path curvature
VOLUMERelative volume · densityOption turnover and put/call volume imbalance
OPTIONS CONTEXTOI · IV · premium flowVariance edge, risk reversal and term structure
EXECUTIONCredit · spread qualityNatural-side prices and fees remain binding
WEEKLY GOVERNOR
Quality sets frequency
01
Score every eligible stateOnly information known at the decision time is admitted.
02
Require liquidity and economicsOI, quoted spread, net credit and historical package outcomes must pass.
03
Rank qualified opportunitiesKeep the best two in a week; retain zero when no setup qualifies.
EXPECTED RANGE≈ 4–8 entries per monthThe range is a capacity target, never a minimum quota.
Twenty-factor scorePrice-volume-first challenger · model inputs only
| Factor | Weight | Role | Factor | Weight | Role |
|---|---|---|---|---|---|
| MA3 distance | 15% | Short path | Stock relative volume | 12% | Participation |
| MA5 distance | 8% | Short path | Intraday volume density | 8% | Volume clock |
| Curve-shape overlap | 7% | Path match | Option turnover | 5% | Liquidity |
| Shock reversal | 6% | Mean reversion | Put/call volume imbalance | 6% | Flow |
| Path curvature | 6% | Acceleration | Target-leg open interest | 4% | Capacity |
| 20D range position | 5% | Location | Net premium flow | 3% | Demand |
| IV–realized edge | 3% | Volatility value | Put/call parity gap | 3% | Relative value |
| ATM implied volatility | 2% | Volatility regime | Executable credit yield | 2% | Economics |
| Quoted-spread tightness | 2% | Execution | 25Δ risk reversal | 1% | Skew |
| Put/call OI imbalance | 1% | Positioning | IV term structure | 1% | Term regime |
FINTECH 535 / COVERED CALL ASSIGNMENT
Covered-call backtest
I bought 100 shares, sold one weekly call on each eligible Monday, and held the position through Friday expiration. The two missing chains are shown as skipped weeks, not invented trades.
POSITION+100 shares · −1 callOne covered-call unit at a time
Trading ruleThe exact rule used before looking at the weekly outcome
RULE USED IN THE TEST
What I traded
LOCAL DATAChecking connection…The published blotter and ledger use the baked book.
Loading the marked account history…
ACCOUNT EQUITY
Covered call NAV vs buy & hold
Covered call NAVBuy & hold NAVInitial marginMaintenancePremium is a cash flow—not the return. Hover for the complete account.
BlotterEvery stock, option, expiration and assignment event
| Time | Instrument | Side | Qty | Limit | Fill | Cash Δ | Notes |
|---|
Ledger + Reg T accountOne running book for stock, short call, cash, NAV and available funds
| Date | Cash | Stock position | Short call | NAV | Initial | Maintenance | Available funds |
|---|
AnalysisWhat happened, what the price evidence supports, and what I would change
FILL ASSUMPTION / NEAR THE MONEY
MID_PRICE vs TRDPRC_1
Loading paired observations…
MY REVIEW
What I learned
WHAT I SAW
—
WHAT THE DATA SUPPORTED
—
WHAT I WOULD CHANGE
—
Audit appendixSupporting checks and diagnostics—not additional ledgersOpen detailsClose details
Book integrity checksAutomated accounting assertions
Skipped-week and selection logEvery scheduled Monday, including the two dates with no returned call chain
| Date | Stock close | Returned calls | Complete BID/ASK | Decision | Selected contract | BID | ASK | MID | Reason |
|---|
Expiration outcomesOTM expiration, ITM assignment and stock-basis treatment
| Cycle | Position basis | Pricing | Outcome | Basis treatment | NAV result |
|---|
Limit-fill diagnosticMID is the simulated limit; the daily range is supporting evidence only
| Date | Order ID | Instrument | Side | BID | ASK | Limit / MID | Fill assumption | Session min | Session max | Range diagnostic |
|---|
FINTECH 535 · MY STRATEGY NOTEBOOK
Poor Man’s
Covered Call
Less cash up front. A different set of risks.
I replaced 100 Amazon shares with a long-dated call, then sold shorter calls against it. My question: does saving capital make this a better covered call?
THE POSITION
BuyLong-dated ITM callTarget 0.80 delta · about 450 days
+SellShort-dated OTM callTarget 0.25 delta · about 35 days
Different strikes. Different expiries.
The short premium helps pay for the long call.
Historical quotes · simulated fills
Real LSEG long- and short-call history. The base case buys at the observed ask and sells at the bid, plus fees. These are backtest transactions, not my live trades.
Loading the study…
PERFORMANCE
Less capital. What did I give up?
SAME $50,000 STARTING ACCOUNT
The complete NAV path
One unit in each account; unused cash earns 0%. These positions have different delta and capital exposure. The PMCC account is not scaled up to spend the cash it saves.
SAME DATES · SAME COST RULE
What the comparison says
| Account | First debit | Net P&L | Return | Drawdown |
|---|
FOLLOW THE MONEY
Where the P&L came from
I count the cost and resale value of the long call. Collecting short-call premium by itself would leave out most of this position.
MONTH BY MONTH
Good months and bad months
STRATEGY PURPOSE & ALGORITHMIC RULES
My trading rule
This is a bullish diagonal call spread, not a crash hedge. The short call brings in cash, but the long call can lose value through a price decline, time decay or falling IV.
Start with the long call
From yesterday’s eligible quotes, choose the long expiry nearest 450 DTE within 365–550 days, then the ITM call nearest 0.80 delta. For the short, choose the expiry nearest 35 DTE within 28–62 days, then the OTM call nearest 0.25 delta. Its strike must be higher and expiry earlier than the long’s.
I chose AMZN because it has no cash dividends. This removes a dividend complication, not the risk of an earnings gap.
Close, then write again
Buy back at the next session’s closing ask when the short reaches 7 DTE, or yesterday’s delta is at least 0.60. When flat on the short side, write again on Monday; the initial trade is January 2. Renew the long at 180 DTE, closing any short first. Stop new shorts in the final five sessions.
I fixed these rules before running the observed-quote test. Every roll records the old leg’s exit, the new leg’s entry and both fees.
Keep the cash book honest
Start with $50,000. Hold at most one long and one short call, with no borrowing. NAV equals cash plus the long call’s value less the short call’s liability. Close everything at the final scheduled close.
Cash is available for renewals. It is not a broker’s Reg T buying-power calculation; diagonal-spread treatment depends on the broker.
DATA QUALITY & NO LOOK-AHEAD
What I knew before each trade
Yesterday chooses. Today fills.
I rank contracts using the previous completed session’s stock close, option delta and OI. Entry requires OI ≥ 100, a valid two-sided quote and a spread no wider than 10% of midpoint for the long or 35% for the short. The selected contract is filled at the next session’s closing quote. Missing entry quotes mean no trade, not a different hindsight-selected strike.
Prices come from the tape
LSEG supplies daily option bid, ask, Delta, IV and OI. WRDS supplies AMZN stock closes. I use January 2025/2026 long expiries and monthly short expiries in a fixed strike range. This is a bounded extract, not every listed contract. No option pricing formula, interpolation or last-trade fill is used.
Execution is an assumption
The base case buys at ask, sells at bid and charges $0.65 per contract per transaction. Stock trades pay $0.01 per share each way. NAV marks options at the quote midpoint; liquidation NAV uses full bid/ask exit costs. EOD data cannot prove quote freshness, size or that a real order would fill.
A small detail I did not hide
One covered-call benchmark buyback has an ask but no bid. I use that actual ask in every scenario; I do not invent a zero bid or midpoint. Every held PMCC position has a valid daily mark. Missing held-position marks stop the run instead of being filled forward.
Assignment, capital and the limits of this test
Not the same as owning shares
The long call expires and has time value. The short expiry does not define one fixed capped payoff, because the remaining long-call value depends on spot and IV. This is not a vertical spread with a single fixed maximum gain.
If I were assigned
A short-call assignment would create a short-stock position and strike-price cash. It would not automatically exercise the long call. My live procedure would cover the stock and reassess the long, rather than exercise away its remaining time value. Historical early assignment is not modeled here; the 7-DTE and delta exits reduce exposure but cannot remove it.
Cash is not buying power
I fully fund one pair and reject negative cash. The covered-call comparison buys 100 shares outright. No broker margin, portfolio leverage or interest is assumed. First debit measures starting capital used; it is not the full account balance or a guarantee of maximum loss over repeated rolls.
What the sample can tell me
This is one stock in 2024, not a new blind test. The base rule was fixed before this quote replay. The nine checks below expose nearby choices; I kept the original base instead of selecting the best result. A second stock and an untouched period are still needed.
ROBUSTNESS CHECK
Does the conclusion survive the assumptions?
I change short-call delta and fill quality, keeping the rest fixed. Each cell is a separate rerun. Midpoint is an optimistic scenario, not a promised fill; fees remain in every run.
| Short delta | Midpoint | Halfway to touch | Bid / ask |
|---|
Touch means the displayed bid for a sale and ask for a purchase. Halfway pays half the distance from mid to touch. Ask-only buybacks always pay ask. The main chart and book remain the fixed 0.25-delta, bid/ask base case.
ONE BOOK, TWO VIEWS
Blotter & ledger
Every simulated trade and every daily balance, with the date the decision used.
MY TAKEAWAYS
What I would tell my boss
REPRODUCIBILITY
Check my work
The README records the input schema, query universe, dates, tie-breaks, fees and rerun commands. The JSON contains all four accounts and all nine checks. Licensed source chains stay local; reading this page needs no data login.
.venv/bin/python -m homework2.pmcc_observedSources and input fingerprint
LSEG Data Library · historical option quotes, Delta and OI. WRDS / OptionMetrics · stock history. Raw licensed input rows are not public downloads.
Fidelity / Cboe: long diagonal calls · structure and assignment. Amazon investor FAQ · dividend and split history.
AI helped me implement the code and layout. I have left the rules, transactions and limitations visible so the result can be checked.
Net Delta0.00directional exposure
Net Gamma0.00convexity exposure
Net Vega0.00IV exposure
Net Theta0.00daily decay
Defined Risk$0maximum spread loss
| Stress scenario | Estimated P&L | Limit | Status |
|---|
SHARED PAPER LEDGERRisk changes whenever the Trading Station changes.