Price & Market BehaviorExtended setResearchNew

Reported same-expiry wing curvature

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

option-implied kurtosis butterflyPrice & Market Behavior

When options imply the stock could make a big jump in either direction (fat tails), it tends to earn higher returns than when the option market expects a tame, narrow range.

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