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T20 · Volatility Management

Option Momentum

Steven L. Heston et al. (5 authors), 2023 · Journal of Finance

16%
pass@1 across 16 systems
6/16
systems with ≥1 successful attempt
4/5
4/5 attempts passed for the best system
80 attempts · 16 systems × 5
Claude Code + Opus 5
80%
Claude Code + Opus 4.8
0%
Claude Code + Opus 4.7
20%
Codex + GPT-5.6-sol
80%
Codex + GPT-5.5
0%
OpenCode + Kimi-K3
40%
OpenCode + Opus 4.7
20%
OpenCode + GPT-5.5
0%
OpenCode + Sonnet 4.6
20%
OpenCode + Qwen3.7-Max
0%
OpenCode + GLM-5.2
0%
OpenCode + DeepSeek V4-Pro
0%
OpenCode + GLM-5.1
0%
OpenCode + Qwen 3.6 Plus
0%
OpenCode + MiniMax-M3
0%
OpenCode + MiniMax M2.7
0%
all checkers pass Type-A clean, Type-B fail fail checking timeout no result / incomplete
Strategy

What the paper asks for.

At-the-money straddle returns on individual equities exhibit cross-sectional momentum: options on stocks with high formation-period straddle returns continue to outperform options with low formation-period returns over multi-month holding horizons.

Type
technical
Implementation
pandas
Rebalance
monthly
Long-short
yes
Declared task setup
Data
One-command fetcher for WRDS-sourced task data
Operational scope
Use standardized 30-day ATM option-surface premiums and consecutive-month premium changes in place of contract-level held-to-expiry returns.
Six-stage quantitative strategy pipeline
  1. 01 Data loading
  2. 02 Feature engineering
  3. 03 Model fitting
  4. 04 Signal generation
  5. 05 Portfolio construction
  6. 06 Execution
Checker suite

19 properties · 80 attempts.

Each row is one requirement the strategy must satisfy. The bar reports the share of observed checker verdicts that pass; missing checker output is not converted into a property verdict.

TYPE A · DOMAIN-LEVEL (8)
  • A1
    no backfill
    stage · data loading
    75/75
  • A3
    no future data access
    stage · feature eng
    74/75
  • A4
    causal consistency
    stage · signal gen
    65/75
  • A5
    no survivorship bias
    stage · portfolio
    75/75
  • A7
    data frequency alignment
    stage · data loading
    74/75
  • A8
    transaction timing
    stage · execution
    65/75
  • A9
    signal delay test
    stage · signal gen
    69/75
  • A10
    e2e metric consistency
    13/75
TYPE B · PAPER-SPECIFIC (11)
  • B1
    straddle delta weighting
    §§I (p.3145) “This entails holding the call and put with weights that are proportional to -δP·C and δC·P, respectively, where C (P) is the bid-ask midpoint of the call (put) and δ denotes the option's delta. The constant of proportionality is chosen such that the weights sum to one.”
    provenance · paper-explicit
    stage · feature eng
    72/75
  • B2
    formation period lags 2 to 12
    §Table II Panel A / §II.A “the 'classic' momentum strategy, based on lags 2 to 12, is the strongest, in terms of both average return spread and statistical significance.”
    provenance · paper-explicit
    stage · feature eng
    73/75
  • B3
    quintile portfolio sorting
    §§II.A (p.3150) “We sort firms into quintile portfolios based on average returns in the formation period and report the mean and t-statistic of each quintile's equally weighted portfolio returns.”
    provenance · paper-explicit
    stage · signal gen
    75/75
  • B4
    long short q5 minus q1
    §Table II “We also report the long/short high-minus-low portfolio.”
    provenance · paper-explicit
    stage · signal gen
    75/75
  • B5
    equal weight within quintiles
    §§II.A (p.3150) “We sort firms into quintile portfolios based on average returns in the formation period and report the mean and t-statistic of each quintile's equally weighted portfolio returns.”
    provenance · paper-explicit
    stage · portfolio
    59/75
  • B6
    monthly rebalance at expiration
    §§II.A / §I “On each expiration day, we select two matching call/put pairs for each stock, where all calls and puts expire in the following month.”
    provenance · paper-explicit
    stage · portfolio
    72/75
  • B7
    common equity only
    §§I (p.3143) “We retain options on common equity only and discard options with expiration dates that are outside the regular monthly cycle.”
    provenance · paper-explicit
    stage · data loading
    75/75
  • B8
    formation return simple average
    §Table II / §II.A “A '2 to 12' momentum strategy based on cumulative returns delivers a high-minus-low return of 4.4% per month (t = 5.94)”
    provenance · paper-explicit
    stage · feature eng
    74/75
  • B9
    straddle return weighted average
    §§I (p.3145) “Straddle returns are simply the weighted average of the returns on the call and the put.”
    provenance · paper-explicit
    stage · feature eng
    72/75
  • B10
    formation requires full 11 months
    §Table II, Panel A and Section II.A “The classic momentum strategy is based on lags 2 to 12.”
    provenance · benchmark-specified
    stage · feature eng
    62/75
  • B11
    portfolio return end of holding month
    §Sections I and II.A “On each expiration day, we select matching call and put pairs that expire in the following month.”
    provenance · benchmark-specified
    stage · portfolio
    71/75
What this task reveals

The lowest-passing observed requirement is e2e metric consistency: 13 of 75 observed checker verdicts pass. The full property list above shows whether errors concentrate in domain-level validity or the paper-specific strategy logic.

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