How we measure
The study behind every reading
Every number the product shows is a statement about size, odds or cost, and each one appears with the backtest it rests on. These are those backtests: what was measured, on what sample, when, and what the reading does not claim. None of them says which way a stock will move — every study of direction in this data measured to chance, so no reading here is built on one.
Touch odds on the expected move
How often the next session touched, and closed beyond, the edges of the one-session range the options market priced. 4.0 million single-name sessions, 2016–2026, measured point-in-time from each day's own chain.
| Session | Touch 68% edge | Close beyond 68% | Touch 90% edge | Close beyond 90% |
|---|---|---|---|---|
| Single name | 59.6% | 30.5% | 19.2% | 9.3% |
| Single name, earnings in the session | 55.6% | 32.0% | 20.0% | 10.3% |
| Fund (ETF) | 55.8% | 32.6% | 17.4% | 9.5% |
The ratio of touch to close beyond is 1.95 at the 68% edge and 2.05 at the 90% edge, and it stayed between 1.86 and 2.19 in every year, every liquidity and implied-volatility tercile and on both edges. Earnings sessions and funds touch less often for the same close because more of their move arrives overnight. The sample is a survivor panel.
Every reading's record
The same records the stock page prints under each card.
Cost to be in the trade
Measured September 13, 2026 · 7.65M prints on 48 sessions, October 2025 to September 2026
What was measured. 91.4% of option prints fill at the bid or the ask with no improvement; the median listed spread is 18.6% of mid, and choosing by spread removes about a third of the cost.
How. Effective against quoted spread on sampled sessions of our own tape, priced against the end-of-day chain.
What it does not claim. A quote, not a fill: the spread can widen before an order arrives, and a cheaper contract is a different position.
Earnings move and IV crush
Measured September 13, 2026 · 129,298 earnings events with a pre-report chain, 2014–2026
What was measured. The move forecast ranked the reaction with IC 0.44 against 0.37 for the market's own straddle, 10 of 10 years; the crush forecast IC 0.56, 9 of 9.
How. Walk-forward by year, trained on prior years only; symbol hold-out 7 of 7.
What it does not claim. An unsigned size. It is not a straddle trade: the quoted spread is 4.7× the whole earnings variance premium.
Priced move (the expected-move ladder)
Measured September 16, 2026 · 3.7M expiry-rows over 3,852 names, one session a week 2016–2026
What was measured. The realised move was 1.00–1.05× the forecast at every horizon from 1 to 21 sessions, in all eight held-out years.
How. Walk-forward 2019–2026: total variance interpolated across the expiry ladder in trading sessions, the earnings jump split out, one multiplier per horizon fitted on prior years only.
What it does not claim. Size, not direction. The bands are close-to-close; how often a session only touches an edge is measured on the odds card.
Touch and close odds
Measured November 01, 2026 · 4.0M single-name sessions over 4,002 names and 2,675 sessions, 2016–2026; 733k fund sessions
What was measured. On single names the next session touched a 68% edge 59.5% of the time and closed beyond it 30.5% — 1.95×, and 2.05× at the 90% edge — within 1.86–2.19 in every year 2016–2026, every liquidity and IV tercile and both edges.
How. Point-in-time: the chain's band on the entry date against the next session's bars; date-clustered bootstrap on the ratio. Earnings sessions (1.73×) and funds (1.71×) measured as their own rows.
What it does not claim. A frequency, not a direction: a touch says the priced move arrived, not which way the day ends. Survivor panel; the within-session shape for single names is not measured.
The live 0DTE read (SPY and SPX)
Measured September 25, 2026 · SPY 0DTE sessions from 2016 and SPX from 2022, to September 2026
What was measured. The remaining-move cone held its 68% and 90% bands in every out-of-sample year, and a strike is touched about twice as often as it is closed beyond.
How. Calibrated by hour and distance on SPY and SPX 0DTE sessions, each year held out in turn; FOMC days measured separately.
What it does not claim. No direction. SPY's option-implied odds ran high in every year, so SPY shows the measured frequency and SPX the market's own.