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Equity swing trades Pro

8-Edge Robust NQ Book

Eight uncorrelated intraday edges on NQ futures, traded as one equal-risk book.

Out-of-sample · 342 days · 1,719 trades

Net P&L

+$376K

$306K annualized

Sharpe

2.95

benchmark 0.29

Sortino

2.02

downside-adjusted

Max drawdown

−$57K

Calmar 5.3

Win rate

70.9%

1,719 trades

Profit factor

2.56

$219 expectancy / trade

Positive months

12/15

80% of months

vs buy & hold

+$337K

β 0.13 · ρ 0.14

Cumulative P&L ($, equal-risk capital)

8-Edge Book Buy & hold NQ (vol-matched)

Drawdown

Monthly P&L best +$130K · worst −$28K · avg +$25K/mo

8-Edge Robust NQ Book — monthly results, thousands of dollars
Month	Month P&L	Book cumulative	Benchmark cumulative
Jan 25	−$28K	−$28K	−$30K
Feb 25	−$7K	−$35K	−$70K
Mar 25	+$44K	+$9K	−$95K
Apr 25	+$43K	+$52K	−$40K
May 25	+$27K	+$79K	−$10K
Jun 25	+$20K	+$99K	+$10K
Jul 25	+$11K	+$110K	+$35K
Aug 25	+$10K	+$120K	+$25K
Sep 25	+$2K	+$122K	+$55K
Oct 25	+$19K	+$141K	+$75K
Nov 25	+$130K	+$271K	+$110K
Dec 25	+$34K	+$305K	+$85K
Jan 26	+$41K	+$346K	+$95K
Feb 26	−$6K	+$340K	+$55K
Mar 26	+$35K	+$376K	+$39K

Sharpe 2.95 · Sortino 2.02 · Calmar 5.3 · ann. vol $94K · avg win $507 / avg loss −$482. Benchmark: buy-and-hold NQ, contract count fixed by a 2017–24 vol-match — no out-of-sample peeking. Past performance, even out-of-sample, does not guarantee future results.

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Sanctuary Swing Trades

Short-horizon model book — expected hold under a week. Each trade risks its stated size of the book; equity compounds trade by trade.

Live book

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closed trades, compounded

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per-position return

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Equity Curve

Ticker

Direction

Entry date

Entry

Target

Stop

Size % of book

Notes

Exit date backfill

Exit

Exit reason

Open Trades

Ticker	Dir	Entry date	Entry	Target	Stop	R:R	Last	Unrealized	To target	To stop
No open trades.

Closed Trades

Ticker	Dir	Entry date	Entry	Exit date	Exit	Reason	Hold	P&L
No closed trades yet.

Model book, not investment advice. Open positions are marked with delayed data; the equity index (100 = inception) compounds closed trades at their stated size of the book.

Sanctuary 1-Month Tactical Portfolio

Risk Monitor

Portfolio Risk Alerts

Scans every 2 hours: position drift, drawdown, JM-regime shifts, and news / sector / rebalance-trigger matches

Tracked Debate Portfolio

Portfolio Book

Each consensus debate rebalances from carried-forward equity ($200,000 inception)

Book Changes

What changed in the book

Every allocation debate that rebalanced the book — new buys, exits, and re-weights

AI Allocation Debate

15-Asset Portfolio Debate

3 models x 3 rounds to consensus

~60s | stocks + ETFs, 1-month horizon Commit result to tracked ledger

Process: Sanctuary composite top-100 (a weak-positive fundamental screen — weights frozen 2026-07; out-of-regime validation pending) is pre-filtered by an AI scoring model that writes per-firm Investment Reports using 1-week stocknewsapi.com headlines, yfinance fundamentals, and the Sanctuary composite as additional context. Top-30 by AI score (ties at the cut score expand the candidate set) then enter a 3-round multi-model debate. A consensus is only accepted after a quorum gate (≥2 models must produce final portfolios) and code-enforced validation: tickers only from the candidate set / ETF whitelist, weights 2–20% per position, ≤35% per sector, 12–18 positions (no leveraged/short/vol). Committing the result to the tracked book is controlled by the “Commit result to tracked ledger” checkbox and models a small transaction cost.

Scoring model (per-firm Investment Reports) Stock universe Broadest stock opportunity set; tactical coverage may be sparse Universe size From the selected stock-universe whitelist, top-N by Sanctuary composite are AI-scored. Top 30 by AI score enter the debate. Cached daily.

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Options Greeks

What the Options Market is Telling You

Implied Volatility (IV)

What it is: The market's best guess at how much a stock will move, expressed as an annualized percentage. It's baked into option prices — when traders expect big moves, they pay more for options, pushing IV higher.

What to watch: High IV = market expects turbulence. Low IV = market expects calm. Compare current IV to its historical range using IV Rank (0–100): above 80 means options are unusually expensive (fear is high), below 20 means they're cheap (complacency).

IV Term Structure: Compares IV across different expiration dates. A spike in near-term IV relative to longer-dated IV usually signals a specific catalyst — earnings, Fed meetings, etc. If near-term IV is lower than long-term, the market sees smooth sailing ahead.

Volatility Skew

What it is: The difference in IV between out-of-the-money puts and calls. Think of it as the market's fear gauge for direction.

What to watch: When puts cost more than calls (positive skew), traders are paying a premium for downside protection — they're worried about a drop. When calls are more expensive (negative skew), there's demand for upside exposure. A steep skew often appears before sell-offs, while a flattening skew can signal the worst fears have passed.

The 25-Delta Skew number compares the IV of puts that are moderately out-of-the-money vs. equivalent calls. It's the single best summary of directional fear.

Delta (Δ)

What it is: How much an option's price moves for each $1 move in the stock. A call with 0.50 delta gains ~$0.50 when the stock rises $1.

Think of it as: A rough estimate of the probability that the option expires in-the-money. A 0.30 delta call has roughly a 30% chance of being profitable at expiry.

Why it matters for the market: Dealers who sell options must constantly adjust their stock hedges based on delta. As delta shifts, dealers buy or sell stock — creating real buying/selling pressure that moves prices.

Gamma (Γ)

What it is: How quickly delta changes as the stock moves. High gamma means delta shifts rapidly, forcing dealers to hedge aggressively.

Think of it as: The acceleration of hedging activity. Low gamma = smooth, predictable markets. High gamma = dealers scrambling to keep up, amplifying every move.

GEX (Gamma Exposure): The aggregate gamma across all option contracts at each strike. The Call Wall (strike with highest GEX) acts as resistance — dealers sell stock as price approaches it. The Put Wall acts as support. The Zero-Gamma Level is the pivot: above it, dealer hedging dampens volatility; below it, hedging amplifies it.

Theta (Θ) & Vega (ν)

Theta (Time Decay): How much value an option loses each day just from time passing. Options are wasting assets — they lose value every day even if the stock doesn't move. This accelerates dramatically in the final weeks before expiry.

Vega (Volatility Sensitivity): How much an option's price changes when IV moves by 1%. High vega options gain value when the market gets scared (IV rises) and lose value when things calm down. Vega is highest for longer-dated options.

Together: Short-dated options have high theta (decaying fast) but low vega. Long-dated options have low theta but high vega. This tradeoff defines how different expirations respond to events.

Vanna & Charm (2nd-Order)

Vanna (dDelta/dIV): When volatility changes, delta changes too. If a dealer is short calls with positive vanna, a drop in IV reduces their delta exposure, forcing them to buy stock to stay hedged. This creates a “mechanical bid” that can drive rallies — especially during post-fear IV crushes.

Charm (dDelta/dTime): Delta drifts as time passes, even if the stock stays flat. As expiry approaches, out-of-the-money options lose delta (dealers unwind hedges) and in-the-money options gain delta (dealers add hedges). These flows can create steady directional pressure into expiry.

Bottom line: These “hidden” Greeks explain mysterious moves that have nothing to do with news — they're the plumbing of options-driven markets.

Put/Call Ratio & Open Interest

Put/Call Ratio: Total put volume (or open interest) divided by call volume. Above 1.0 = more puts than calls = bearish sentiment (traders buying protection). Below 0.7 = bullish tilt. Extreme readings are often contrarian — very high put/call ratios can mark bottoms (maximum fear = buying opportunity).

Open Interest: The total number of outstanding contracts at each strike. Strikes with huge open interest act as magnets — the stock tends to gravitate toward them near expiry (this is called “pinning”). Heavy put open interest below the market creates a support floor; heavy call OI above creates a ceiling.

Implied Move: Calculated from the ATM straddle price — it shows exactly how much the market expects the stock to move before the selected expiry. If the implied move is ±3%, the market is pricing in a $3 move on a $100 stock.

Underlying Price + Implied Move Bands anchor:

Scroll to zoom · drag to pan

Implied Move — Rolling Context & Outsized-Day Stats

1-day implied move = ATM IV ÷ √252, measured against a trailing 20-day baseline. A day is outsized when its implied move clears the threshold above. The expected-move band is anchored to each day's open and tested against that same day's OHLC — so we can see whether wide-implied-move days carry a directional bias (more red closes) or break their bands more often than calm days.

IV Term Structure

Volatility Skew

Gamma Exposure (GEX) by Strike

Greeks at Key Strikes

Open Interest Distribution

Second-Order Greeks Insight

Signal Accuracy Scorecard

Each day we snapshot options signals and check if they correctly predicted the next trading day's direction. Historical data is backfilled using CBOE volatility indices (VIX, VIX9D, VIX3M, SKEW). If IBKR TWS is running, ticker-specific IV history can also be used. Signals are tested both as momentum and contrarian to find which interpretation has better predictive power.

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