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Future Work

Keep the first paper narrow. The current repo has a working no-NBBO proxy data and modeling package, but the headline paper still needs paper-grade data, robustness, and inference.

Before Paper Claims

Paper-grade market data:

  • Acquire or enable historical bid/ask or NBBO-equivalent option data.
  • Rebuild IVAR and strategy legs from quote/NBBO inputs rather than second-aggregate trade bars.
  • Report full bid-ask crossing as the main execution assumption.
  • Keep mid and haircut cases as sensitivity tables only.

Full sample:

  • Extend from the current 2022-onward entitlement-backed proxy sample to the target 2013-2025 sample.
  • Preserve monthly top-50 liquid single-name universe construction.
  • Keep ETF, index, volatility, commodity trust, and other non-single-name symbols out of the main universe.
  • Re-run dynamic calendar, event panel, trade panel, feature matrix, models, figures, and reports after the full data route is stable.

Robustness and inference:

  • Promote the current cost-stress and clustered forecast-loss diagnostics into final tables only after the paper-grade data route is rebuilt.
  • Re-run main DTE 5-14 and robustness DTE 3-21 samples separately.
  • Add block bootstrap confidence intervals.
  • Add model-confidence-set or SPA-style checks if many thresholds or models are compared.
  • Cross-tab results by year, ticker, sector, VIX regime, liquidity bucket, and BMO/AMC timing.

Sequence route:

  • Reduce sequence-selection risk before using any sequence model as a paper claim.
  • Report sequence coverage, drop rate, and missingness by year and ticker.
  • Keep mask-only and deterministic time-shuffle controls.
  • Keep official mamba-ssm framed as a diagnostic unless a future run beats mask-only/time-shuffle controls and tabular tuned rows on the common-row bootstrap gate.

Near-Term Engineering

  • Keep just data and just research as the public command surface.
  • Add explicit stale-artifact checks so docs cannot cite obsolete 50-event or 3-event calibration runs after a larger proxy run exists.
  • Promote key proxy report numbers into docs/results_snapshot.md from machine-readable artifacts.
  • Add a small command that prints the current sample window, event count, IVAR coverage, model rows, and paper-grade flag.
  • Keep stale-result checks for tuning_trials.csv, tuning_selected_params.json, and FT finite-prediction diagnostics so the curated snapshot cannot silently reintroduce old original-model rows into the current canonical tuned story.
  • Keep the same-code fe_v1_legacy versus fe_v2_sec_xbrl ablation table current. The 2026-05-12 run is negative for FE V2, so future FE V2 changes should be reported as diagnostics unless they improve locked-test ranking and economics without touching test-driven selection.
  • Track SEC CompanyFacts coverage, CIK misses, acceptance-time mapping, and fallback-filed usage as first-class data-quality diagnostics.
  • Keep generated data under the external DATA_DIR, and keep reports and figures under ignored artifacts/, reports/, or site/.

Deferred Extensions

Calendar straddles:

  • Add only after long straddle and short iron fly backtests are stable.
  • Treat as a relative-value strategy, not a pure event-variance bet.
  • Vega-normalize at entry and report residual Greeks.

Intraday execution:

  • Use OPRA or another intraday quote source only after the EOD quote/NBBO design is audited.
  • Study 15:45 or 15:59 entry, open-auction exit, and first 5/30/60 minute IV crush dynamics.

Richer event calendars:

  • Add vendor calendars only when timestamp disagreements are auditable.
  • Preserve BMO/AMC as the first paper sample.
  • Keep DMH excluded unless the execution design becomes intraday.

Portfolio construction:

  • Add volatility-budgeted allocation.
  • Cap ticker, sector, and earnings-date concentration.
  • Report capital-at-risk and premium-at-risk separately.

Do Not Add Yet

  • Naked short straddles.
  • Unbounded short-gamma strategies.
  • Hand-repaired earnings timestamps.
  • Vendor proprietary alpha features that cannot be separated from model leakage.
  • Claims based only on IV RMSE.
  • Claims that no-NBBO proxy PnL is full-spread executable performance.