A research fund running rules-based option strategies on the S&P 500 complex. Every rule is measured on real transaction prices before it trades. Every live trade is recorded against the price it expected.
Same-day index options, sold as defined-risk ranges around the market's expected move and held to settlement. No directional views. Size comes from a drawdown-constrained Kelly rule on the strategy's own outcome record; whether to trade at all comes from a regime model with explicit re-entry waits, a scheduled-event calendar, and two readings of the market's implied distribution at the open.
Four and a half years of real option quotes and prints, including the 2022 bear market and every fast selloff since. Nothing synthetic is reported as a return. Time-based exits, volatility forecasters, regime classifiers and a short-side overlay were each tested and rejected; the record of what did not work is kept with the record of what did.
Capital at risk is capped per day and the cap is the worst case. One seat is added at a time. Fills are measured, never assumed. A kill switch is one tap away. The public ledger publishes every trading day after settlement, including the days the model chose not to trade.
Read the ledger