Gate (#16). S(t) = parity-ATM straddle mid. ivd = [S(11:59) ÷ S(09:35)] ÷ √(241/385) — the morning's premium decay against the clock. ivd > 0.9413 (frozen) means implied vol ROSE all morning: premium that refuses to melt is overpriced. Entry 12:05 fly, wings 3.5%, credit > $1.00, stop 2.0×, exit 15:55.
Pricing: every leg at the NBBO quote mid; quotes with spread > 50% of mid (options over $2) discarded; fly values clamped to [0, wing width]; wings = nearest strike with a live two-sided quote. Fees: $1.35 per contract-side + $0.25 per structure ($11.05 per round trip). Margin = width − credit (defined risk, exact).
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year P&L |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | +0.8k | +3.8k | −0.4k | −1.4k | −5.5k | +2.3k | −$358 | ||||||
| 2023 | −2.1k | −1.2k | +0.8k | +1.5k | +2.2k | −1.1k | −1.7k | −1.0k | −1.2k | −2.6k | −$6,208 | ||
| 2024 | −0.7k | −1.7k | −0.1k | +2.7k | +2.0k | −3.7k | +1.7k | +1.5k | +5.4k | −2.0k | $5,111 | ||
| 2025 | +2.0k | +3.7k | +4.4k | +3.1k | +1.1k | −0.4k | +4.0k | −0.7k | +1.1k | $18,383 | |||
| 2026 | +2.1k | +2.3k | +2.5k | −3.2k | −4.8k | −$1,138 |
Newest first. Verify any row by hand: pull the quotes for the listed strikes at the listed minutes; entry credit = sold mids − bought mids; P&L = (credit − exit value) × 100 × qty − fees. Gate rows list the computed signal value against its frozen threshold.
| Date | In→Out | How | Gate | K | Sold at | Bought back | Wings | Wings in→out | Credit | Exit val | Qty | Costs | Net | Margin |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-09-16 | 12:05→15:18 | STOP | 1.286 | 7615 | 23.85/23.40 | 0.15/94.60 | 7350·7850 | 0.20→0.16 | 47.05 | 94.60 | 1 | −11.05 | −$4,766 | $18,795 |
| 2026-06-17 | 12:05→15:24 | STOP | 1.186 | 7520 | 20.65/23.05 | 0.12/90.90 | 7255·7765 | 0.20→0.16 | 43.50 | 90.88 | 1 | −11.05 | −$4,749 | $20,150 |
| 2026-06-12 | 12:05→15:55 | EOD | 0.989 | 7400 | 22.75/24.60 | 31.35/0.08 | 7140·7660 | 0.28→0.16 | 47.07 | 31.28 | 1 | −11.05 | $1,569 | $21,292 |
| 2026-06-10 | 12:05→15:55 | EOD | 0.954 | 7325 | 23.40/23.95 | 0.08/47.55 | 7070·7580 | 0.38→0.16 | 46.97 | 47.47 | 1 | −11.05 | −$61 | $20,802 |
| 2026-05-07 | 12:05→15:55 | EOD | 0.982 | 7355 | 12.10/10.75 | 0.08/21.35 | 7100·7610 | 0.16→0.16 | 22.70 | 21.28 | 1 | −11.05 | $131 | $23,230 |
| 2026-05-04 | 12:05→15:55 | EOD | 0.994 | 7195 | 13.60/14.20 | 3.95/0.43 | 6945·7405 | 0.18→0.16 | 27.62 | 4.22 | 1 | −11.05 | $2,329 | $18,238 |
| 2026-04-29 | 12:05→15:55 | EOD | 1.005 | 7130 | 13.00/15.10 | 4.60/0.38 | 6880·7315 | 0.16→0.16 | 27.95 | 4.82 | 1 | −11.05 | $2,301 | $15,705 |
| 2026-01-28 | 12:05→15:55 | EOD | 0.959 | 6975 | 13.55/15.55 | 7.80/0.12 | 6730·7125 | 0.16→0.16 | 28.95 | 7.77 | 1 | −11.05 | $2,106 | $12,105 |
| 2025-12-10 | 12:05→15:55 | EOD | 1.082 | 6845 | 20.80/19.95 | 45.65/0.08 | 6605·7010 | 0.20→0.16 | 40.55 | 45.58 | 1 | −11.05 | −$514 | $12,445 |
| 2025-12-02 | 12:05→15:55 | EOD | 0.977 | 6825 | 10.75/11.80 | 6.00/0.23 | 6585·6935 | 0.16→0.16 | 22.40 | 6.07 | 1 | −11.05 | $1,621 | $8,760 |
| 2025-10-29 | 12:05→15:55 | EOD | 1.246 | 6900 | 17.55/18.50 | 0.15/12.45 | 6660·7140 | 0.18→0.16 | 35.87 | 12.45 | 1 | −11.05 | $2,331 | $20,412 |
| 2025-10-16 | 12:05→15:55 | EOD | 0.986 | 6665 | 18.70/17.60 | 0.08/35.10 | 6430·6840 | 0.25→0.16 | 36.05 | 35.02 | 1 | −11.05 | $91 | $13,895 |
| 2025-10-15 | 12:05→13:15 | STOP | 1.028 | 6670 | 16.20/14.65 | 2.60/60.20 | 6435·6840 | 0.20→0.55 | 30.65 | 62.25 | 1 | −11.05 | −$3,171 | $13,935 |
| 2025-09-17 | 12:05→15:55 | EOD | 1.337 | 6600 | 23.00/23.20 | 4.35/1.30 | 6370·6830 | 0.44→0.16 | 45.75 | 5.50 | 1 | −11.05 | $4,014 | $18,425 |
| 2025-07-30 | 12:05→15:55 | EOD | 1.093 | 6380 | 12.70/11.35 | 0.08/24.35 | 6155·6530 | 0.16→0.16 | 23.90 | 24.28 | 1 | −11.05 | −$49 | $12,610 |
| 2025-07-23 | 12:05→15:55 | EOD | 0.956 | 6345 | 6.35/7.20 | 10.85/0.08 | 6125·6420 | 0.16→0.16 | 13.40 | 10.78 | 1 | −11.05 | $251 | $6,160 |
| 2025-07-16 | 12:05→15:55 | EOD | 0.988 | 6240 | 9.50/9.80 | 25.10/0.08 | 6020·6355 | 0.16→0.16 | 19.15 | 25.03 | 1 | −11.05 | −$599 | $9,585 |
| 2025-06-18 | 12:05→15:55 | EOD | 1.062 | 6005 | 17.05/16.20 | 0.08/21.70 | 5795·6195 | 0.36→0.16 | 32.90 | 21.63 | 1 | −11.05 | $1,116 | $15,710 |
| 2025-05-07 | 12:05→15:55 | EOD | 1.003 | 5620 | 19.80/22.10 | 10.15/0.35 | 5425·5815 | 0.42→0.16 | 41.48 | 10.35 | 1 | −11.05 | $3,101 | $15,352 |
| 2025-04-23 | 12:05→15:55 | EOD | 1.018 | 5390 | 25.95/25.80 | 0.90/5.15 | 5200·5580 | 1.30→0.16 | 50.45 | 5.90 | 1 | −11.05 | $4,444 | $13,955 |
| 2025-03-06 | 12:05→15:55 | EOD | 0.977 | 5745 | 23.50/22.45 | 3.85/4.90 | 5545·5945 | 0.20→0.16 | 45.75 | 8.60 | 1 | −11.05 | $3,704 | $15,425 |
| 2025-01-29 | 12:05→15:55 | EOD | 1.112 | 6050 | 16.40/14.35 | 0.20/10.05 | 5840·6180 | 0.16→0.16 | 30.60 | 10.10 | 1 | −11.05 | $2,039 | $9,940 |
| 2024-10-25 | 12:05→13:44 | STOP | 1.081 | 5840 | 8.30/9.70 | 0.80/36.95 | 5635·5930 | 0.18→0.23 | 17.82 | 37.52 | 1 | −11.05 | −$1,981 | $7,218 |
| 2024-09-18 | 12:05→15:55 | EOD | 1.225 | 5620 | 30.80/30.70 | 5.75/1.70 | 5425·5800 | 0.46→0.16 | 61.05 | 7.30 | 1 | −11.05 | $5,364 | $11,895 |
| 2024-08-20 | 12:05→15:55 | EOD | 0.998 | 5605 | 8.00/8.95 | 0.17/8.90 | 5410·5690 | 0.16→0.16 | 16.80 | 8.93 | 1 | −11.05 | $776 | $6,820 |
| 2024-08-12 | 12:05→15:55 | EOD | 0.946 | 5355 | 13.60/11.15 | 0.08/17.00 | 5170·5455 | 0.16→0.16 | 24.60 | 16.93 | 1 | −11.05 | $756 | $7,540 |
| 2024-07-31 | 12:05→15:55 | EOD | 1.035 | 5525 | 17.70/19.70 | 4.95/3.60 | 5330·5655 | 0.16→0.16 | 37.25 | 8.40 | 1 | −11.05 | $2,874 | $9,275 |
| 2024-07-22 | 12:05→15:55 | EOD | 0.975 | 5530 | 11.60/9.80 | 35.00/0.08 | 5375·5655 | 0.16→0.16 | 21.25 | 34.92 | 1 | −11.05 | −$1,379 | $10,375 |
| 2024-07-15 | 12:05→15:55 | EOD | 0.987 | 5650 | 10.20/9.40 | 0.08/22.45 | 5495·5735 | 0.16→0.16 | 19.45 | 22.38 | 1 | −11.05 | −$304 | $6,555 |
| 2024-07-01 | 12:05→15:55 | EOD | 0.968 | 5465 | 7.95/9.80 | 12.40/0.08 | 5340·5555 | 0.16→0.16 | 17.60 | 12.32 | 1 | −11.05 | $516 | $7,240 |
| 2024-06-28 | 12:05→15:32 | STOP | 1.011 | 5495 | 9.35/9.40 | 0.12/37.75 | 5360·5605 | 0.16→0.16 | 18.60 | 37.72 | 1 | −11.05 | −$1,924 | $9,140 |
| 2024-06-20 | 12:05→13:35 | STOP | 0.989 | 5490 | 8.20/7.65 | 0.60/31.70 | 5375·5585 | 0.16→0.16 | 15.70 | 32.15 | 1 | −11.05 | −$1,656 | $7,930 |
| 2024-06-14 | 12:05→15:55 | EOD | 0.947 | 5420 | 6.55/9.00 | 6.10/0.25 | 5250·5500 | 0.16→0.16 | 15.40 | 6.20 | 1 | −11.05 | $909 | $6,460 |
| 2024-06-13 | 12:05→15:55 | EOD | 0.961 | 5415 | 9.00/9.20 | 19.75/0.08 | 5295·5510 | 0.16→0.16 | 18.05 | 19.68 | 1 | −11.05 | −$174 | $7,695 |
| 2024-06-12 | 12:05→15:55 | EOD | 1.194 | 5435 | 16.70/16.40 | 0.90/7.20 | 5245·5550 | 0.16→0.16 | 32.95 | 7.95 | 1 | −11.05 | $2,489 | $8,205 |
| 2024-06-11 | 12:05→15:55 | EOD | 1.032 | 5345 | 7.95/6.60 | 28.30/0.08 | 5220·5415 | 0.16→0.16 | 14.40 | 28.23 | 1 | −11.05 | −$1,394 | $5,560 |
| 2024-06-04 | 12:05→14:45 | STOP | 0.949 | 5260 | 9.35/9.80 | 38.40/0.23 | 5145·5355 | 0.16→0.16 | 19.00 | 38.48 | 1 | −11.05 | −$1,959 | $7,600 |
| 2024-05-22 | 12:05→14:21 | STOP | 1.010 | 5315 | 6.75/4.45 | 0.72/23.40 | 5210·5370 | 0.16→0.16 | 11.05 | 23.98 | 1 | −11.05 | −$1,304 | $4,395 |
| 2024-05-02 | 12:05→15:55 | EOD | 0.942 | 5040 | 11.35/10.70 | 19.10/0.08 | 4865·5150 | 0.16→0.16 | 21.90 | 19.03 | 1 | −11.05 | $276 | $8,810 |
| 2024-05-01 | 12:05→15:55 | EOD | 1.152 | 5020 | 18.70/19.75 | 6.30/1.55 | 4845·5190 | 0.16→0.16 | 38.30 | 7.70 | 1 | −11.05 | $3,049 | $13,170 |
| 2024-04-16 | 12:05→15:55 | EOD | 1.098 | 5055 | 15.70/17.10 | 5.00/0.80 | 4880·5220 | 0.16→0.16 | 32.65 | 5.65 | 1 | −11.05 | $2,689 | $13,235 |
| 2024-03-20 | 12:05→15:55 | EOD | 1.260 | 5180 | 17.55/19.00 | 38.95/0.08 | 5015·5295 | 0.16→0.16 | 36.40 | 38.88 | 1 | −11.05 | −$259 | $7,860 |
| 2024-03-13 | 12:05→15:55 | EOD | 0.976 | 5170 | 6.95/6.85 | 0.17/7.35 | 5045·5255 | 0.16→0.16 | 13.65 | 7.37 | 1 | −11.05 | $616 | $7,135 |
| 2024-03-08 | 12:05→15:55 | EOD | 0.944 | 5150 | 10.90/10.15 | 0.08/25.15 | 5015·5280 | 0.16→0.16 | 20.90 | 25.07 | 1 | −11.05 | −$429 | $10,910 |
| 2024-02-15 | 12:05→15:55 | EOD | 1.024 | 5010 | 7.60/8.05 | 18.35/0.08 | 4885·5085 | 0.16→0.16 | 15.50 | 18.28 | 1 | −11.05 | −$289 | $5,950 |
| 2024-02-14 | 12:05→15:55 | EOD | 1.011 | 4960 | 9.25/11.20 | 38.75/0.08 | 4830·5070 | 0.16→0.16 | 20.30 | 38.67 | 1 | −11.05 | −$1,849 | $8,970 |
| 2024-02-06 | 12:05→15:55 | EOD | 1.008 | 4940 | 7.15/8.90 | 11.60/0.08 | 4835·5025 | 0.16→0.16 | 15.90 | 11.53 | 1 | −11.05 | $426 | $6,910 |
| 2024-01-31 | 12:05→15:55 | EOD | 1.099 | 4885 | 15.00/13.15 | 0.08/33.30 | 4770·5025 | 0.16→0.16 | 28.00 | 33.22 | 1 | −11.05 | −$534 | $8,700 |
| 2024-01-29 | 12:05→15:08 | STOP | 0.947 | 4895 | 5.85/5.60 | 23.10/0.28 | 4780·4970 | 0.16→0.16 | 11.30 | 23.23 | 1 | −11.05 | −$1,204 | $6,370 |
| 2024-01-25 | 12:05→15:55 | EOD | 0.955 | 4885 | 8.15/6.65 | 4.50/0.17 | 4765·4970 | 0.16→0.16 | 14.65 | 4.52 | 1 | −11.05 | $1,001 | $7,035 |
| 2023-12-13 | 12:05→14:42 | STOP | 1.251 | 4645 | 13.30/11.15 | 50.30/0.32 | 4515·4760 | 0.16→0.16 | 24.30 | 50.47 | 1 | −11.05 | −$2,629 | $9,070 |
| 2023-11-09 | 12:05→13:07 | STOP | 0.952 | 4390 | 5.85/7.95 | 0.45/28.10 | 4260·4460 | 0.16→0.16 | 13.65 | 28.40 | 1 | −11.05 | −$1,486 | $5,635 |
| 2023-11-01 | 12:05→15:55 | EOD | 0.993 | 4215 | 14.55/14.45 | 25.70/0.08 | 4065·4320 | 0.16→0.16 | 28.85 | 25.62 | 1 | −11.05 | $311 | $7,615 |
| 2023-10-19 | 12:05→15:55 | EOD | 1.075 | 4320 | 12.80/12.30 | 0.08/38.65 | 4170·4420 | 0.16→0.16 | 24.95 | 38.58 | 1 | −11.05 | −$1,374 | $7,505 |
| 2023-10-02 | 12:05→15:55 | EOD | 0.945 | 4270 | 10.00/9.60 | 15.15/0.23 | 4160·4375 | 0.18→0.16 | 19.43 | 15.22 | 1 | −11.05 | $409 | $8,558 |
| 2023-09-20 | 12:05→15:55 | EOD | 1.180 | 4450 | 13.95/11.50 | 0.08/42.35 | 4320·4560 | 0.16→0.16 | 25.30 | 42.27 | 1 | −11.05 | −$1,709 | $8,470 |
| 2023-08-16 | 12:05→15:55 | EOD | 0.974 | 4435 | 7.50/8.45 | 0.08/26.45 | 4315·4525 | 0.16→0.16 | 15.80 | 26.38 | 1 | −11.05 | −$1,069 | $7,420 |
| 2023-07-26 | 12:05→15:55 | EOD | 1.134 | 4560 | 13.85/11.50 | 1.35/1.73 | 4435·4670 | 0.16→0.16 | 25.20 | 2.92 | 1 | −11.05 | $2,216 | $8,480 |
| 2023-06-14 | 12:05→15:55 | EOD | 1.121 | 4380 | 14.80/16.00 | 0.08/15.20 | 4225·4525 | 0.16→0.16 | 30.65 | 15.12 | 1 | −11.05 | $1,541 | $11,435 |
| 2023-05-03 | 12:05→15:55 | EOD | 1.275 | 4125 | 20.20/18.80 | 0.08/30.80 | 3980·4260 | 0.16→0.16 | 38.85 | 30.72 | 1 | −11.05 | $801 | $9,615 |
| 2023-03-22 | 12:05→15:55 | EOD | 1.267 | 4000 | 28.55/26.10 | 0.08/50.95 | 3860·4140 | 0.57→0.16 | 54.07 | 50.88 | 1 | −11.05 | $309 | $8,593 |
| 2023-03-10 | 12:05→15:55 | EOD | 0.950 | 3900 | 12.95/15.20 | 0.08/42.50 | 3765·4035 | 0.23→0.16 | 27.93 | 42.42 | 1 | −11.05 | −$1,461 | $10,708 |
| 2023-02-22 | 12:05→15:55 | EOD | 1.016 | 4000 | 12.70/12.50 | 0.08/14.85 | 3860·4115 | 0.16→0.16 | 25.05 | 14.78 | 1 | −11.05 | $1,016 | $8,995 |
| 2023-02-07 | 12:05→15:55 | EOD | 1.121 | 4115 | 19.10/16.95 | 54.20/0.08 | 3970·4235 | 0.16→0.16 | 35.90 | 54.12 | 1 | −11.05 | −$1,834 | $8,410 |
| 2023-02-01 | 12:05→15:55 | EOD | 1.210 | 4055 | 26.30/24.55 | 62.90/0.08 | 3915·4195 | 0.46→0.16 | 50.40 | 62.82 | 1 | −11.05 | −$1,254 | $8,960 |
| 2022-12-14 | 12:05→15:55 | EOD | 1.326 | 4045 | 34.55/36.20 | 0.08/45.20 | 3905·4185 | 2.62→0.16 | 68.12 | 45.12 | 1 | −11.05 | $2,289 | $7,188 |
| 2022-11-30 | 12:05→15:10 | STOP | 1.271 | 3955 | 22.70/22.65 | 90.60/0.08 | 3815·4080 | 0.16→0.16 | 45.20 | 90.52 | 1 | −11.05 | −$4,544 | $7,980 |
| 2022-11-23 | 12:05→15:55 | EOD | 1.099 | 4010 | 11.30/11.00 | 14.55/0.08 | 3870·4110 | 0.16→0.16 | 22.15 | 14.48 | 1 | −11.05 | $756 | $7,785 |
| 2022-11-02 | 12:05→15:55 | EOD | 1.262 | 3840 | 28.70/29.95 | 0.08/73.85 | 3705·3975 | 1.45→0.16 | 57.20 | 73.77 | 1 | −11.05 | −$1,669 | $7,780 |
| 2022-09-21 | 12:05→15:55 | EOD | 1.183 | 3875 | 33.00/32.20 | 0.12/76.90 | 3740·4010 | 2.07→0.16 | 63.12 | 76.88 | 1 | −11.05 | −$1,386 | $7,188 |
| 2022-09-12 | 12:05→15:55 | EOD | 0.993 | 4095 | 11.05/12.15 | 13.15/0.08 | 3950·4185 | 0.16→0.16 | 23.05 | 13.08 | 1 | −11.05 | $986 | $6,695 |
| 2022-09-06 | 12:05→15:55 | EOD | 1.033 | 3940 | 12.55/14.30 | 0.08/36.65 | 3800·4045 | 0.16→0.16 | 26.70 | 36.57 | 1 | −11.05 | −$999 | $7,830 |
| 2022-07-27 | 12:05→15:55 | EOD | 1.107 | 3980 | 20.85/22.90 | 47.60/0.08 | 3840·4090 | 0.23→0.16 | 43.52 | 47.52 | 1 | −11.05 | −$411 | $6,647 |
| 2022-06-15 | 12:05→15:55 | EOD | 1.101 | 3770 | 33.25/30.75 | 22.95/0.10 | 3640·3900 | 3.18→0.16 | 60.82 | 22.90 | 1 | −11.05 | $3,781 | $6,918 |
| 2022-05-17 | 12:05→15:55 | EOD | 0.967 | 4060 | 14.15/16.25 | 21.85/0.08 | 3920·4185 | 0.16→0.16 | 30.25 | 21.78 | 1 | −11.05 | $836 | $9,475 |
Radiant Research is a research demonstration by the V6 systematic trading project. All results are backtested on historical exchange data (Jun 2024 – Sep 2026 for SPX), net of modelled commissions, exchange and regulatory fees and half the bid–ask spread. They are not live results, not a solicitation, and not investment advice. Options involve substantial risk of loss.