ID: S021
Slug: attention-spike-fade-v1
Type: REV
Date added: 2026-06-08
Status: blocked (double data) — promoted from
lab/candidates/attention-spike-fade-v1.md
Wall: 3 — Messy data that won't license cleanly
Blocked on TWO data deps: (1) a social/search attention scraper (net-new, highest data maintenance cost on the list — Reddit, X, Google Trends, StockTwits); (2) historical option chains (same blocker as S015/S016 — needs an options-history vendor). An equity-only fade variant is testable sooner, but throws away the best part of the edge (selling inflated premium).
One-line setup
We expect that short-horizon defined-risk option-premium-selling structures (iron flies / strangles) on small-to-mid-cap names where mention-velocity (social or search) has spiked sharply against the name's own baseline AND option premium is materially elevated, sized defensively and closed within a short horizon predict positive expected value as both attention and inflated implied vol fade in the messy-data small/mid-cap universe over a 5-20 trading-day window, because retail attention-buying is price-insensitive and crowding-driven; the crowding reverses over a short horizon once attention moves on, and the inflated option premium that came with the attention deflates with it — exactly the payoff shape the existing short-premium book exploits, reached through a different trigger.
Rationale (the "because", expanded)
Retail attention-buying is price-insensitive: people buy the name they just heard about, not the one that's cheap. That crowding tends to reverse over a short horizon once attention moves on. Better still for us, the attention inflates the stock's option prices — so the trade becomes selling that inflated premium, which rhymes with what the book already does well. The strongest cases live in messy, small names the big players can't size into.
Thematically close to the premium-selling book but reached through a totally different door (crowd behaviour, not capitulation). Highest data cost on the list because it carries two blockers at once.
Data required
- Social/search attention scraper — net-new build. Sources vary: Reddit (wallstreetbets etc.), X/Twitter (paid API), StockTwits, Google Trends. Each has its own rate limits, authentication, and historical-availability quirks. This is the highest-maintenance data dependency in the lab.
- Historical option chains — vendor required (same blocker as S015/S016)
- Tiingo EOD prices for baseline equity universe
- Universe filter: small/mid-cap band, liquidity floor for option tradeability
Quick-kill gate (Stage 1)
Will be considered to have passed Stage 1 if:
- Mean per-trade EV ≥ +0.50% of notional [suggested, to freeze]
- Welch p<0.05 AND mean>0 [suggested, to freeze]
- Win rate ≥ 60% [suggested, to freeze]
- Sample size ≥ 300 attention-spike events [suggested, to freeze]
- Effect present in both sample halves [suggested, to freeze]
- Worst single trade ≤ −5× mean win (tail check — selling premium on attention names is exactly where short-vol blows up when the crowd is right) [suggested, to freeze]
- Premium-conditional check: events where the option premium is materially elevated (IV percentile ≥ 70 of the name's own history) [suggested, to freeze] must outperform events at median IV — confirms the "inflated premium" half of the rationale is doing real work
What I expect to find
Effect probably exists in some form but is the noisiest setup on the list because (a) the attention-measure is easy to game, (b) the crowd is sometimes right and the move continues, and (c) the option- premium signal is often already faded by the time the attention is visible at the daily level. Probability of clearing the gate is low-moderate (~25-35%). Most likely failure modes: tail-check fires on a single meme-stock blowup, or premium-conditional check shows no incremental edge over a simpler vol-rank filter.
Notes
- Defined-risk (iron fly) over naked strangle — tail-control is critical for this signal type.
- The attention measure is the noisiest input. Building a robust "mention-velocity vs own baseline" metric across multiple platforms is harder than it sounds: bot activity, platform algorithms, and survivorship in subreddit/topic membership all distort it.
- An equity-only fade variant is the fast partial validator: if the underlying price-reversal effect is real, the equity short should also show some edge (smaller, friction-eaten faster, but testable without option history). Worth a sub-spec if the option variant stays blocked.
Disclosure boundary
This setup file is internal. Downstream result.md / kill.md
writeups must follow lab/DISCLOSURE_POLICY.md §2. Pre-publish:
python -m pytest tests/test_disclosure.py.