Selling options when fear is high: the model said maybe, the real prices said no, and the model was wrong by 20%
Second pre-registered study of the day. Cash-secured put writing only when the VIX is above its one-year median - the idea that option premium pays most in the months our bots sit idle. A 17-year model passed half its gates and failed the ones that matter; 32 months of real option prices disagreed with it outright; and calibrating the model against those prices showed it overstated every premium by about a fifth. Recorded as INCONCLUSIVE by our rules, closed as a candidate by the arithmetic.