IWM · 10× spikes before and after the close: what they share

How often: by the size of the rise

Share of sessions in which at least one option reached the multiple (start and peak in 15:45–17:25).

If the peak must come while the options still trade (15:45–16:10), a 10× happens in 10% of sessions (19).

Entry price, entry time and what follows

A tenfold rise from $0.03 needs $0.30 of intrinsic value: the price has to pass the strike, about $0.56, and go $0.30 beyond it. From $0.50 the same tenfold needs $5 beyond the strike, which is rare. That is why nearly every 10× starts below $0.10.

Calendar

Why there are more spikes than profitable days

The page picks, after the session, the best of 20–40 strikes per side, the cheapest tick of the window and the extreme minute after hours. Three checks bring it closer to a trade that could be placed in advance.

Can a spike session be recognised in advance?

QQQ · SPY · IWM

Rule checks: chosen on January–June, judged on July–September

In each family the variant with the best January–June result is picked, then shown on July–September, which the choice never saw. QQQ, one contract per leg, $0.65 per contract per side, entry at the displayed ask, exit at intrinsic value at 17:25 or by a lock at k× the money spent (via shares after 16:15). Training sessions: 123, in the check: 59. “Active sessions”: the QQQ range over the 15 minutes before entry is at least 0.14% — the median of the training sessions. Active sessions in training: 62, in the check: 22.

Ideas from this page, tried on the best fixed-strike variant

Base: 15:45 · OTM +1 · lock at 3× · no lock on report days. Each idea gets the value that January–June prefers (at least 40 training sessions); July–September is the check.

Combinations (activity × minimum price × evenings, 30 variants): January–June picks ≥ 0.14% — +$3,406 → +$662 on July–September. All 30 of 30 are positive in both periods; 26 of 29 beat the unfiltered variant on July–September.

Predictors of a late QQQ move from another study

The study research/qqq_late_move_2026-09-24 looked for what, known by 15:45, comes before a QQQ move of at least 0.2% in 15:45–17:25. Its strongest predictor is the realised QQQ volatility of the 30 one-minute bars 15:15–15:44; the path and the range carry nearly the same information, and the volume adds little on top. The study split days into low (≤ 0.122%) and high (≥ 0.218%) volatility by the quartiles of 2023–2024, so 2026 never shaped these thresholds; the page filter (range ≥ 0.14%) was chosen on January–June 2026. Volatility here comes from the minute closes of the Call + Put snapshot and puts 182 of 182 sessions into the same group as the study’s own values; the volume (the 15 bars before 15:45 over their median in the previous 20 sessions) is taken from the study.

With the study’s thresholds, which 2026 never shaped, the low group loses in both halves of the year (−$967 in 2026) and the high group earns in both (+$3,086, +$77 per trade). That independently confirms the page’s activity filter. The page filter still makes the most money (+$4,068 in 84 sessions). High volatility only makes less but earns more per trade on about half as many trades; skipping low volatility on top of the page filter leaves the total where it was, and the volume does not help.

Choosing the strike by price and entering later looked profitable on January–June and lost on July–September. A fixed strike step near 15:45 with a 2–3× lock stayed positive on the new months. Filters on activity before entry and on the option price improve it on both periods; an earlier exit and skipping event days do not. The activity check has only 22 sessions. Future sessions are the real test.

Checks built 2026-09-24 01:06 · python -m scripts.research_spike_rules · open the best fixed-strike variant with the activity filter on the Call + Put page

Ways to lock the profit: close, insure or hedge

The pair is the default of the Call + Put page: 15:45 · OTM +1 · lock at 3× · no lock on report days · QQQ range over the 15 minutes before entry ≥ 0.14%, one contract per leg. The lock is triggered at the first minute the intrinsic value of the pair reaches 3× the money spent; the methods differ only in what is done then. Options cost $0.65 per contract per side, the share hedge $1 per 100 shares, every delta-hedge trade 1 cent a share; everything is valued at the QQQ price at 17:25. Lock days: 21. The last two columns repeat every method on all 48 fixed-strike variants without the activity filter (entry 15:45 or 15:50, OTM from the nearest strike to +3, lock at 2×, 3× or 5×, report days with or without the lock) and compare it with closing the same variant.

Hedging with shares or with the full delta beats closing in both periods: after the lock the position keeps its intrinsic value and gains again if QQQ turns back. The full-delta hedge with a 0.05 step makes the most on January–June. It needed 244 share orders after the close, while the plain share hedge trailed it by only $62 over the whole period with 25 orders. At a broker with a $0.35 minimum per order, the minimums alone would cost the delta hedge up to $85, more than its whole edge.

A vertical spread is rarely possible: only the premium of the sold option is guaranteed, and it must cover the money spent plus the chosen share of the profit. For 50% such an option existed on 5 of 21 lock days, for 70% and 80% on none. Buying an in-the-money option of the other side works like the share hedge but pays the option spread, and it is worse than the share hedge in both periods. Closing half, or hedging half of the delta, is worse than closing: the half left open gives back part of the move by 17:25.

Everything chosen together on January–June

1,200 variants: entry 15:45 or 15:50, OTM strike step, lock at 2×, 3× or 5×, report days, five filters (none, the page range, high 30-minute volatility and two combinations) and five lock methods (close, share hedge, full-delta hedge with a 0.05, 0.1 or 0.2 step). The same choice is repeated with a broker minimum of $0.35 per share order.

The ten best on January–June lie within $63, and all ten are positive on July–September. Ranking by the total alone rewards a few big days; the Call + Put page now picks its rule for stability instead (the largest January–June total without its three best days) — see its checks.

Checks built 2026-09-24 18:06 · python -m scripts.research_lock_methods. Share trades after 16:15 are assumed at the minute price of QQQ; after-hours spreads and order minimums differ between brokers.