Why it might work
Large moves can reward a long-volatility position if they exceed its cost.
Volatility research · Research strategy
Opening volatility
Tests long straddles around opening drives and opening ranges.
SPY and QQQ option proxiesIntradayDefined-risk option structures in proxy studies
The idea
How it works
Simulates buying both directional sides so a large move can offset the option premium paid.
When it invests
An opening range or drive trigger starts the simulated straddle.
When it exits
The simulation exits at its recorded intraday horizon.
What can go wrong
- Premium decay and bid-ask costs can dominate small moves.
Selected research result
Evidence is still being prepared
No historical result is cleared for public display for this strategy.
The local research preview contains archived backtests. Public performance appears after publication clearance is documented.
Research history
Variants and recorded runs
Repeated and diagnostic runs remain accessible under their tested variant. No run is selected by highest return.
No historical results are visible for this strategy.