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S032 · forward-paper · real chains
Buy-write — forward-paper tracking (DIA Δ30 + QQQ Δ30)
buy-write-rsi2-etf-v1
5 completed
5 open
horizon 5/30 trades · 3.1/12 months
forward paper · 2026-07-17 00:00:00 → 2026-09-30 00:00:00
Running record — per-trade Sortino, buy-write vs matched naked long
| Cell | n | Sortino bw/nk | Mean bw | Mean nk | Win | Worst | Gate |
|---|---|---|---|---|---|---|---|
| DIA-d30 | 2 | -0.16 / -0.28 | -0.36% | -0.75% | 50% | -3.20% | clears |
| QQQ-d30 | 3 | — / — | +2.88% | +2.65% | 100% | +1.79% | below |
Open positions — held to expiry
| Signal | Cell | ETF entry | Strike | Δ | IV | Premium | Expiry |
|---|---|---|---|---|---|---|---|
| 2026-09-30 00:00:00 | DIA-d30 | 511.31 | 518.00 | 0.31 | 12.86% | 2.46 | 2026-10-16 00:00:00 |
| 2026-09-16 00:00:00 | DIA-d30 | 515.00 | 525.00 | 0.30 | 13.06% | 3.45 | 2026-10-16 00:00:00 |
| 2026-09-10 00:00:00 | DIA-d30 | 524.43 | 536.00 | 0.30 | 13.08% | 3.55 | 2026-10-16 00:00:00 |
| 2026-09-10 00:00:00 | QQQ-d30 | 706.00 | 727.00 | 0.30 | 17.90% | 6.95 | 2026-10-16 00:00:00 |
| 2026-09-01 00:00:00 | DIA-d30 | 535.03 | 547.00 | 0.31 | 12.38% | 4.25 | 2026-10-16 00:00:00 |
Completed trades — buy-write vs matched naked long
| Signal | Cell | ETF entry→exit | Buy-write | Naked long |
|---|---|---|---|---|
| 2026-08-18 00:00:00 | QQQ-d30 | 712.32 → 719.62 | +1.79% | +0.72% |
| 2026-08-17 00:00:00 | DIA-d30 | 535.17 → 516.29 | -3.20% | -3.83% |
| 2026-07-24 00:00:00 | QQQ-d30 called | 670.09 → 713.83 | +4.65% | +6.23% |
| 2026-07-17 00:00:00 | DIA-d30 called | 519.06 → 532.71 | +2.48% | +2.33% |
| 2026-07-17 00:00:00 | QQQ-d30 | 704.71 → 713.80 | +2.19% | +0.99% |
Forward-paper, not live. Real Tastytrade chains — real IV, skew, and a conservative bid fill on the written call — replace the flat-ATM-IV assumption of the modelled screen (which overstated the premium). The question: does the real premium still clear the matched naked long the way the model claimed? Gate inherits the S032 spec §9 (per-trade Sortino > matched naked long, tail-aware). Directional until the promotion horizon — frozen at ≥ 30 completed trades or 12 months, whichever first (5/30 trades · 3.1/12 months); nothing is promoted or called live before then. Low-alpha by design, risk-reducing, not tail-protected.