Cheap Directional Options on Trend Signals
Take the best trend signals (Donchian / HHV breakouts, MACD-aligned — the filter from the combo study) and, instead of trading the future, buy a cheap directional option in the signal's direction. We only keep the entry windows that survived the time study — DAY + WEEKEND (night was a confirmed loser on real prices). For each signal we test five structures over three expiries, price them two independent ways, and split LONG vs SHORT and by year.
How to read
- R = return on the net debit you pay. +1.0 = the option doubled (you got 2× the premium back); −1.0 = total loss of the premium. It is not % of account — premiums are small, so this is a lottery-ticket-style sleeve, not a core book.
- M2 = Model-2 (our vol surface, bias-corrected) — the broad 2024+ history. Tardis = real Deribit marks — the 2026 reality check (~4 months, small n).
- Year columns (24/25/26) = M2 cumulative R per calendar year at the ~1-week expiry.
- LONG signal → buy a CALL; SHORT signal → buy a PUT. Reported separately.
The structures
- Long ATM / 3% OTM — outright option. Full directional upside, you pay the whole premium.
- Vert spread 5% / 8% — buy ATM, sell an OTM option that far away. Cheaper, but upside is capped at the short strike.
- Butterfly 5/10% — buy ATM, sell 2× at +5%, buy +10%. Cheapest, but profit is pinned near the +5% target and collapses if the move overshoots — wrong tool for a trend that runs.
- Expiry ~1 / 2 / 4 weeks — shorter = cheaper premium and higher return-on-premium; the trend move is fast, so longer expiries mostly just pay extra theta.
Headline findings:
- The SHORT side (puts) carries the book — and it's the robust one. Donchian SHORT→put, day, short-dated outright: M2 +1.0–1.4 (ret/DD 13–15), real Tardis +1.7–2.2, positive every year. The LONG→call side is weaker and fragile in 2026 (HHV calls turn negative).
- Shortest expiry (~1 week) wins (cost ~2% of spot vs ~6% at 4 weeks).
- Outright (ATM / 3% OTM) > vertical spreads > butterfly. The butterfly caps the trend's fat tail and goes negative at longer expiries — don't use it for trend bets.
- Night excluded — cheap premium ≠ edge; it lost on real marks.
Caveats: Tardis is only ~4 months of 2026 (small n, flagged *) — read
it as direction, not precision. M2 is the long history but blind to intraday premium. Return is on the
premium (small absolute size).
donch_MACDaln
SHORT signal → long PUT
DAY · M2 (2024+) by expiry & by year
| structure | M2 ~1wk | M2 ~2wk | M2 ~4wk | 24 | 25 | 26 | cost% |
|---|---|---|---|---|---|---|---|
| Long ATM | +1.00 | +0.45 | +0.28 | +18 | +8 | +23 | 2.3% |
| Long 3% OTM | +1.43 | +0.57 | +0.32 | +26 | +6 | +37 | 1.4% |
| Vert spread 5% | +0.63 | +0.27 | +0.18 | +10 | +10 | +10 | 1.4% |
| Vert spread 8% | +0.73 | +0.30 | +0.18 | +11 | +11 | +13 | 1.8% |
| Butterfly 5/10% | +0.16 | -0.10 | -0.03 | +4 | +6 | -2 | 0.9% |
WEEKEND · M2 (2024+) by expiry & by year
| structure | M2 ~1wk | M2 ~2wk | M2 ~4wk | 24 | 25 | 26 | cost% |
|---|---|---|---|---|---|---|---|
| Long ATM | +0.55 | +0.22 | +0.13 | +10 | +1 | +4 | 2.4% |
| Long 3% OTM | +0.78 | +0.27 | +0.17 | +14 | +2 | +4 | 1.5% |
| Vert spread 5% | +0.43 | +0.12 | +0.02 | +8 | +1 | +3 | 1.4% |
| Vert spread 8% | +0.54 | +0.11 | +0.04 | +10 | +1 | +3 | 1.8% |
| Butterfly 5/10% | -0.13 | +0.54 | -0.31 | +3 | -2 | -4 | 0.9% |
LONG signal → long CALL
DAY · M2 (2024+) by expiry & by year
| structure | M2 ~1wk | M2 ~2wk | M2 ~4wk | 24 | 25 | 26 | cost% |
|---|---|---|---|---|---|---|---|
| Long ATM | +0.60 | +0.29 | +0.22 | +5 | +10 | +3 | 2.1% |
| Long 3% OTM | +0.66 | +0.35 | +0.23 | +1 | +19 | -1 | 1.1% |
| Vert spread 5% | +0.59 | +0.23 | +0.16 | +7 | +7 | +4 | 1.3% |
| Vert spread 8% | +0.54 | +0.24 | +0.15 | +6 | +7 | +3 | 1.7% |
| Butterfly 5/10% | +0.62 | +0.15 | -0.26 | +8 | +6 | +4 | 0.9% |
WEEKEND · M2 (2024+) by expiry & by year
| structure | M2 ~1wk | M2 ~2wk | M2 ~4wk | 24 | 25 | 26 | cost% |
|---|---|---|---|---|---|---|---|
| Long ATM | +0.93 | +0.46 | +0.33 | +3 | +11 | -0 | 2.5% |
| Long 3% OTM | +1.29 | +0.57 | +0.36 | +4 | +16 | -0 | 1.4% |
| Vert spread 5% | +0.62 | +0.28 | +0.20 | +2 | +7 | +0 | 1.5% |
| Vert spread 8% | +0.76 | +0.34 | +0.19 | +2 | +9 | +0 | 2.0% |
| Butterfly 5/10% | -0.40 | -0.09 | -0.01 | -0 | -7 | +1 | 0.9% |
hhv_MACDaln
SHORT signal → long PUT
DAY · M2 (2024+) by expiry & by year
| structure | M2 ~1wk | M2 ~2wk | M2 ~4wk | 24 | 25 | 26 | cost% |
|---|---|---|---|---|---|---|---|
| Long ATM | +0.50 | +0.16 | +0.09 | +15 | -1 | +17 | 2.4% |
| Long 3% OTM | +0.88 | +0.21 | +0.11 | +28 | -4 | +29 | 1.4% |
| Vert spread 5% | +0.33 | +0.10 | +0.05 | +12 | +3 | +5 | 1.4% |
| Vert spread 8% | +0.47 | +0.13 | +0.05 | +16 | +2 | +11 | 1.8% |
| Butterfly 5/10% | -0.08 | -0.11 | -1.76 | +4 | +4 | -13 | 0.9% |
WEEKEND · M2 (2024+) by expiry & by year
| structure | M2 ~1wk | M2 ~2wk | M2 ~4wk | 24 | 25 | 26 | cost% |
|---|---|---|---|---|---|---|---|
| Long ATM | +0.60 | +0.25 | +0.14 | +22 | -2 | +4 | 2.5% |
| Long 3% OTM | +0.93 | +0.34 | +0.18 | +35 | -1 | +5 | 1.6% |
| Vert spread 5% | +0.32 | +0.08 | +0.01 | +10 | -1 | +4 | 1.3% |
| Vert spread 8% | +0.48 | +0.14 | +0.06 | +15 | -0 | +4 | 1.9% |
| Butterfly 5/10% | -0.34 | +0.16 | -1.24 | -8 | -3 | -3 | 0.8% |
LONG signal → long CALL
DAY · M2 (2024+) by expiry & by year
| structure | M2 ~1wk | M2 ~2wk | M2 ~4wk | 24 | 25 | 26 | cost% |
|---|---|---|---|---|---|---|---|
| Long ATM | +0.27 | +0.03 | +0.03 | +3 | +13 | -5 | 2.2% |
| Long 3% OTM | +0.44 | +0.07 | +0.03 | +2 | +25 | -9 | 1.1% |
| Vert spread 5% | +0.09 | -0.04 | -0.02 | +4 | +3 | -4 | 1.4% |
| Vert spread 8% | +0.10 | -0.04 | -0.03 | +4 | +5 | -5 | 1.8% |
| Butterfly 5/10% | -0.12 | -0.16 | -0.03 | +5 | -8 | -2 | 1.0% |
WEEKEND · M2 (2024+) by expiry & by year
| structure | M2 ~1wk | M2 ~2wk | M2 ~4wk | 24 | 25 | 26 | cost% |
|---|---|---|---|---|---|---|---|
| Long ATM | +0.29 | +0.13 | +0.12 | +8 | +0 | +0 | 2.3% |
| Long 3% OTM | +0.38 | +0.20 | +0.13 | +12 | -0 | -1 | 1.2% |
| Vert spread 5% | +0.26 | +0.07 | +0.08 | +5 | +1 | +2 | 1.4% |
| Vert spread 8% | +0.30 | +0.11 | +0.08 | +7 | +1 | +1 | 1.8% |
| Butterfly 5/10% | -0.13 | +0.09 | -0.15 | -1 | -6 | +3 | 0.9% |
🔴 Tardis reality check — real 2026 option marks
Model-2 prices the whole 2024+ history but uses daily DVOL, so it cannot see intraday premium (it over-states night). These tables use real Deribit option marks from Tardis — the ground truth — but only for the ~4-month 2026 window, so n is small (
* = n<10). Where Tardis and M2 agree in sign, trust it more.donch_MACDaln
SHORT signal → long PUT
| structure | day n | day mean | day win | wknd n | wknd mean |
|---|---|---|---|---|---|
| Long ATM | 13 | +1.72 | 54% | 4 | +1.44* |
| Long 3% OTM | 13 | +2.22 | 38% | 5 | +1.14* |
| Vert spread 5% | 11 | +1.13 | 55% | 2 | +1.13* |
| Vert spread 8% | 8 | +0.71* | 50% | 3 | +1.31* |
| Butterfly 5/10% | 9 | +0.15* | 56% | 1 | -0.88* |
LONG signal → long CALL
| structure | day n | day mean | day win | wknd n | wknd mean |
|---|---|---|---|---|---|
| Long ATM | 8 | +0.60* | 62% | 2 | +0.30* |
| Long 3% OTM | 8 | -0.20* | 25% | 2 | +0.21* |
| Vert spread 5% | 8 | +0.80* | 62% | 2 | +0.49* |
| Vert spread 8% | 7 | +0.67* | 57% | — | — |
| Butterfly 5/10% | 5 | +1.02* | 60% | 1 | +0.41* |
hhv_MACDaln
SHORT signal → long PUT
| structure | day n | day mean | day win | wknd n | wknd mean |
|---|---|---|---|---|---|
| Long ATM | 18 | +1.16 | 39% | 3 | +1.77* |
| Long 3% OTM | 16 | +0.78 | 25% | 4 | +1.63* |
| Vert spread 5% | 16 | +0.66 | 38% | 1 | +3.19* |
| Vert spread 8% | 11 | +0.22 | 27% | 2 | +1.70* |
| Butterfly 5/10% | 11 | -0.18 | 36% | — | — |
LONG signal → long CALL
| structure | day n | day mean | day win | wknd n | wknd mean |
|---|---|---|---|---|---|
| Long ATM | 8 | -0.21* | 38% | 3 | +0.20* |
| Long 3% OTM | 8 | -0.59* | 25% | 2 | +0.54* |
| Vert spread 5% | 8 | -0.07* | 38% | 1 | +1.03* |
| Vert spread 8% | 7 | -0.09* | 43% | — | — |
| Butterfly 5/10% | 8 | +0.10* | 38% | — | — |
green = high return on debit, red = negative. Source:
run_signal_cheap_options.py.
Signals causal (MACD-aligned, regime as of prior close); options held to the trend algo's exit, capped at
expiry. Charts = cumulative R (1 unit = one premium risked), day+weekend pooled, ~1-week expiry.