Markets
Thesis test

Does the premise hold?

Real buyer outcomes, split by dealer gamma and how dear the option was
prediction stated before the query ran
As of 25 Aug 06:45 IST

THESIS HOLDS

The prediction was met

negative-gamma/cheap-VRP returns +8.1% vs -1.4% in positive-gamma/rich-VRP -- a 9.5 point spread, in the predicted direction.

expectancy(A) > expectancy(D), with A >= 0 and D < 0 -- stated in STRATEGY.md before this was run

The four quadrants

5-year bhavcopy hold 5 sessions
one close per session — a swing horizon, not hello's
1,238 outcomes2024-01-01 → 2026-07-09
VRP cheapVRP rich
gamma neg
A
Gamma negative · VRP cheap
thesis says buyable
+8.1%
mean on premium
median
-44.9%
win rate
37.9%
trades
182
B
Gamma negative · VRP rich
context
-5.4%
mean on premium
median
-39.3%
win rate
35.7%
trades
460
gamma pos
Cthin — need 30
Gamma positive · VRP cheap
context
-10.0%
mean on premium
median
-45.1%
win rate
35.7%
trades
28
D
Gamma positive · VRP rich
thesis says worst
-1.4%
mean on premium
median
-37.7%
win rate
31.4%
trades
86

A and D are the two corners the prediction is about. A cell below 30 trades cannot support a verdict either way, and is marked thin rather than quietly counted.

Right about direction — and still lost

A 12.1% n=182
B 14.8% n=460
C 14.3% n=28
D 18.6% n=86

The share of trades that called direction correctly and still lost money, because the move never cleared the premium paid. This is the failure a retail buyer cannot see on a price chart and cannot fix by getting better at picking direction. If hello earns its existence anywhere, it is here.

What would kill this

All three are real outcomes and get reported as such. The partition was fixed in advance by the thesis and no threshold was tuned to improve the result — a search over many partitions until one looked good would find something on any five-year series and mean nothing.

Total classified trades: 1,238. Unclassified: 482.