Options Alpha (Model)

The ticket-outcome model book — a gradient-boosted model trained directly on realized condor P&L (6,283 real-NBBO-priced tickets, 2022-2026) scores every candidate iron condor monthly and trades only the top-10 with predicted edge above threshold. When nothing clears the bar (thin-premium regimes), it abstains and sits in cash — by design. Model v1 is FROZEN so the forward record is attributable to exactly what was backtested.

• Selection18 entry features — credit richness, quote cost, IV percentile, trailing VRP, term slope, vol regime — predicting P&L per $ of max-loss (never a proxy metric)
• Backtestbeats the trailing-VRP screen in 3/3 walk-forward folds at WORST-CASE fills; combined +0.073/ticket t=3.1, 79% ticket win; rescues 2025 (+0.135 w/ threshold, 87% win)
• Structure1σ/2σ iron condors ~30 DTE, 10 tickets/cycle, $5k max-loss each, manage-at-50% exits, VIX<30+contango gate
• Honest caveat29-month backtest; 2026 regime negative for ALL vol selling (model loses least and abstains); underwrite ~half the backtest — expect ~3-4%/mo on at-risk capital, real losing streaks