Price & Market BehaviorExtended setResearchNew

Reported near/far option term slope

Updated dailyData needs: highlong only

In plain terms

How it works

Distinct internal publication-backed stock signal. No academic replication or inherited paper return is claimed.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Options surface derivation vintages
End-of-day OPRA option chains used by IV-skew family.
Options surface identity receipts
End-of-day OPRA option chains used by IV-skew family.

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

Related families

implied volatility term structure slopePrice & Market Behavior

When longer-dated options are calmer than near-dated ones the market is relaxed and the stock can trend up, but when near-dated options are jumpier it signals near-term stress.

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