All Reports

An empirical critique of NANC, KRUZ, and the disclosure-tracking industry. Built on 35,343 STOCK Act filings from 2023 to 2026, the data shows the signal cannot survive the 27-day median disclosure lag. Following the smartest money in Washington actually underperforms the S&P 500 once execution constraints are applied.

An analysis of 37,508 earnings events across S&P 500 constituents from 2010 to 2025, measuring the IV run-up into announcements, the post-announcement IV crush, and the profitability of selling ATM straddles at earnings. The strategy wins in 69.0% of events (Sharpe 2.05 before costs), with the edge concentrated in large-cap Technology and Consumer Discretionary names. Transaction costs remain the primary obstacle to retail implementation.

An event study of SPX, TLT, and VIX implied volatility across 60 FOMC meetings (2018 to 2025), classified by rate decision type and communication surprise. Hold meetings crush vol reliably (-2.3%), while hike meetings spike it (+2.0%). Post-announcement short straddles after hike decisions show an 87% win rate with a Sharpe of 2.75, challenging the conventional sell-FOMC-vol narrative.

An empirical study of how SPX dealer gamma exposure (GEX) from zero-days-to-expiry options creates two distinct intraday volatility regimes. Using OptionMetrics and TAQ data across 887 trading days, negative-GEX days show 70.3% higher intraday realised vol, significant at p<0.0001. Regime divergence peaks in the final hour of trading.

A monthly ETF rotation strategy across a Factor sleeve (MTUM, QUAL, IWD, IWM) and a Sector sleeve (nine SPDRs), tested across 60 parameter combinations (5 momentum lookbacks, 6 SPY drawdown filters, and 2 sleeve allocation rules). Full sensitivity analysis with Sharpe heatmaps. SPY outperforms the best combo in this window, reported honestly.

An event study of 30-day ATM implied volatility across four energy instruments around fifteen Iran-related escalation events identified from 2003 to 2026, eleven with OptionMetrics IV data. IV peaks at T+2 and mean-reverts by T+17, supporting a short vol strategy with a 90% win rate at a T+20 exit (ex-GFC, n=10).

Single-stock leveraged ETFs bleed value daily through swap financing costs. This paper constructs a market-neutral carry trade to capture that bleed, with results presented on both full-sample and volatility-adjusted bases.

A full parameter sweep across 20 delta and DTE combinations from 2018–2025. The optimal risk-adjusted combination is 10Δ / 60 DTE (100% win rate, Sharpe 0.65, max drawdown −11.6%).

An empirical analysis of 189 earnings events from Q1 2019 to Q3 2025. NVDA leads on win rate (74.1%); AAPL leads on risk-adjusted returns (Sharpe 1.93, max drawdown −$2,655). Combined P&L across all seven tickers: $682.