Method, assumptions & limitations

Each strategy is rolled across the price series. An option is priced at entry with Black-Scholes (European, no dividends) and settled at intrinsic value at expiry, using the close on the expiry date or the nearest earlier trading day.

• Expiry 30 calendar days (FR-2.5).
• Strike spot = entry-day close; single legs 5% out-of-the-money; spread long 0% / short 5% (FR-2.3).
• Volatility 20-day historical vol (previous 20 rows, ×√252) or a fixed % (FR-2.4).
• Roll the next position opens on the first trading day after the settlement date (FR-3.2).
• Commission 0.65 per contract per leg, on entry and pre-expiry exits; not at settlement (FR-2.9).

• Prices Raw, unadjusted close. Splits and dividends are out of scope (FR-2.1).
• Dates ISO YYYY-MM-DD, an opaque ordering key (FR-2.2).
• Contracts 1 contract = 100 shares, a fixed constant (FR-2.7).
• Capital 10,000 starting; cash never goes below zero (FR-2.8, FR-3.3).
• Buy-and-hold 100 shares bought at the close of the first trade date, held to the last day, marked at the daily close (FR-5.1).
• Risk-free 4% (FR-2.6).

• Not market data Option prices are model estimates, not market quotes.
• Deterministic No randomness or wall-clock time in the calculations (NFR-1).
• Browser-only All maths run in your browser; nothing is uploaded or saved (NFR-2, AC-10).
• Out of scope (v1) Real options chains, intraday data, early exercise, dividends, accounts, saving results.