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Gap Fade
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90d · all qualities
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Backtest stats
— hit rate · daily means · sector breakdown
Glossary
columns · statuses · strategies
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Quality
PASS
Cleared every filter. Actionable signal.
thin edge
Picked a strike but edge < 5% — too close to fair. Watch, don't trade.
low EV
Picked a strike but conservative EV ≤ $0. Skip.
wide quote
Bid/ask spread > 35% of mid — chain illiquid, slippage eats edge.
BE near 200d
Strike break-even sits within reach of 200-day MA — too aggressive.
Catastrophe columns
spot@
Underlying price at signal time. Compare to live chart.
K
Option strike. P=put, C=call. OTM by design.
DTE
Days to expiration. Target 1–10d for theta.
mid@
Option premium at signal time (mid of bid/ask). What you sell.
EV$
Conservative expected dollars per contract.
edge
(model fair − market mid) / max-loss. Need > 5%.
Strategy
Catastrophe options
Sell short-dated OTM options after IV blow-out. Harvest IV-crush + theta. Naked single leg — one put OR one call.
Gap fade
Pre-market gappers expected to fill back to prior close.
Waterfall bounce
Mean reversion long after large-cap panic drops.
Spread
Here = bid/ask gap on option quote. NOT a credit spread.
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