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An 80% Win Rate on One of the Most Expensive Entries in the Ticker's History. Would You Take It? Here's a trade the OptionBench pre-earnings scanner flagged, and a question worth sitting with before you read the answer. [CAPTURE 1 — Win Rate 80% / Average Return +21% (median +22% · consistency 0.63) / Earnings Move avg ±3.0% implied ±3.1% / Next Earnings 2026-07-16] TSM reports earnings on July 16. The scanner flags a Long Strangle entered fourteen trading days out — on Thursday, June 25 — with Δ ≈ 0.25 on each side, expiring one week after earnings, taking profit at +10%. The headline numbers look strong: an 80% win rate over 20 past cycles, a +21% average return, a +22% median. Then you look closer, and two things should make you hesitate. First, the strangle is expensive. Its cost as a share of the underlying — the entry's relative value — sits at 4.5%, against a historical average of about 3.1% at this point in the cycle. Second, implied volatility is elevated: around 52% at entry, climbing toward 59%, well above the ~37% this name usually carries here. Every instinct trained on "buy low, sell high" says the same thing: it's expensive, IV is high, wait for it to come back down. And here's the part that should really give you pause — this entry isn't just above average. It ranks among the most expensive entries the scanner has on record for TSM at this point in the cycle, with implied volatility near the very top of its historical range. So: one of the most expensive entries on record, IV at its highs, and every reflex telling you to pass. Would you take the trade? The instinct that costs you the trade Most traders pass here, and their reasoning feels airtight: if it's the priciest it's ever been, mean reversion says it gets cheaper, so I'm overpaying. That reasoning conflates two different things — the price of the option and its expected value. They are not the same axis, and treating them as one is the single most common way traders talk themselves out of good pre-earnings trades. Let me show you why, with this exact trade, using numbers you can pull from the scanner yourself. "Expensive" is not the same as "overpriced" The first question a rigorous trader should ask isn't "is this expensive?" It's "is the market pricing the move correctly?" [CAPTURE 2 — Relative Value « is this trade expensive? », tooltip T-14 : 2026-06-25, Value 4.50%] The scanner answers this directly. Two figures sit side by side in the banner: Implied move at entry: ±3.1% — the move the strangle prices in, averaged across the 20 past cycles at this entry point. Realized earnings move: ±3.0% — the actual average move TSM has made on earnings, same 20 cycles. These are essentially equal. The market is not systematically underpricing TSM's earnings move, and it isn't wildly overpricing it either. The strangle is priced fairly relative to what the stock actually does. So if the option is fairly priced on the move, where does an 80% win rate come from? If the market gets the move right, the edge can't be coming from a mispriced move. It isn't. And that's the whole point. Where the edge actually lives The edge in this trade is not a bet that TSM moves more than the options imply. It's the capture of IV expansion into the event. [CAPTURE 3 — IV % : IV rising from ~52% (T-14) to ~59% (T-9), above historical band ~37%] You enter at T-14. The plan is a good-till-cancelled order to take profit at +10%, exiting before earnings and the volatility crush. And if the +10% never triggers? You still exit before the print — the position is closed at T-2 (for a before-market report) or T-1 (for an after-market one), no exceptions. You never carry the trade through earnings. That's the key risk control: this strategy has no exposure to the earnings gap itself, win or lose. In the window you hold the position, the option premium tends to inflate as the market crowds into the event. You're not holding through the print and hoping for a big move. You're buying anticipation and selling it a few days later, richer. [CAPTURE 4 — Value $, tooltip T-11 (2026-06-30) : Value $26.91, Return +37.5%, Rank 1/20] On the current cycle, that's exactly what played out. Entered at T-14 near $19.57, the strangle was marked at +37.5% by the close of T-11 (June 30) — and earnings hadn't even happened yet. Now, you wouldn't have pocketed +37.5%: your +10% GTC would have filled well before that, somewhere in the intraday tape as the position ran up. The realized gain is +10%, the take-profit. But that +37.5% end-of-day mark is the evidence that the target was hit comfortably, and early. The move you'd have been "waiting to see" is irrelevant to this trade, because you're out before it happens. This reframes "expensive" and "high IV" completely. They aren't warning signs to avoid. They're the fuel. A cheap, low-IV strangle would have far less premium to expand. You want the anticipation. You're selling it, not buying into it. (One honest note for the careful reader, because it matters: the "realized move" measures the one-day earnings gap, while the "implied move" is priced by an option that lives a full week past the event. They're not a perfect apples-to-apples comparison — the option captures the gap plus residual post-earnings vol. If anything, that makes the "fairly priced" read conservative. I'd rather flag it than have someone catch it and assume I was hiding it.) What should have driven the decision Not the price. Not the IV level. The conditional statistics — the numbers the scanner exists to surface: Win rate: 80%, conditional on entering at T-14, over 20 cycles — meaning 80% of those cycles hit the +10% take-profit before the event. (It's a TP-hit rate, not a vaguer "was it green" rate; worth being precise, since it's the number the setup is actually built around.) Average return +21%, and — this is the one that kills the "it's an outlier" objection — median return +22%. The median sitting at or above the mean tells you the average isn't propped up by one lucky cycle. The typical outcome is a strong winner. This is a regular edge, not a lottery ticket. That distinction is everything. An 80% win rate with a median of +22% is a fundamentally different animal from an 80% win rate where the average is dragged up by a single monster cycle while everything else limps. The scanner shows you which one you're looking at, and here it's the good kind. The honesty that makes this defensible I'm not going to pretend this is a free lunch, because it isn't, and the scanner won't let me pretend. There's a consistency ratio of 0.63 on this trade — mean return divided by the standard deviation of per-cycle returns. It measures how regular the edge is, and 0.63 is moderate. The edge is real and it repeats, but there's genuine dispersion: the 20% of cycles that lose, lose meaningfully. This is a trade to size with control, not to back up the truck on. That's not a caveat buried at the bottom. It's the point. A tool that only ever tells you a trade is great is a marketing tool. A tool that hands you an 80% win rate and a 0.63 consistency ratio in the same breath is giving you what you need to size the position honestly. And one more line I won't blur: the current cycle is a single live data point, and a single data point proves nothing. That the take-profit was hit early this time is encouraging, not evidence. The case for entering doesn't rest on it. It rests on the 20-cycle conditional distribution: 80% of cycles hitting the +10% target, a +22% median across all of them. The live cycle is an illustration of that statistic playing out, not the proof of it. If you take one thing from this piece, take that sentence. The takeaway Don't confuse the price of an option with its expected value. They live on different axes. An option can be among the most expensive it has ever been — near the top of its own historical range, IV at its highs — and still be the right trade, because the price of the option and the odds of the trade are two separate questions. "Expensive" answers the first. The 80% win rate, the +22% median, and the 0.63 consistency ratio answer the second. That second set is what should drive the decision. The whole reason a tool like this earns its place is that it puts both answers on the same screen — so you're not passing on a good trade because an instinct trained on the wrong axis told you it looked expensive. Numbers in this piece are pulled directly from the OptionBench pre-earnings scanner (TSM, Long Strangle, T-14 entry on June 25, 2026, 20-cycle sample). Every figure — implied vs. realized move, median return, consistency ratio, entry relative value — is visible in the tool. Verify them yourself; that's the point. Beta-testing is ending by the end of July but you can still give your feedback and ask for signing in on the OptionBench Beta Web Site.

@Romuald no rush I'm sure there are other more pressing issues that need your attention ... good luck with the maintenance over the weekend

Quick heads-up for anyone using or checking out OptionBench this weekend: app.optionbench.com will be in scheduled maintenance from this Friday 10th of July afternoon (France Time) through the weekend, back to normal Monday. We're doing a planned infrastructure migration on the backend — consolidating the data layer so the scanners run faster and cleaner as we grow. Nothing's broken; we'd just rather take it offline than serve half-migrated data. If you hit a maintenance page over the weekend, that's why — everything will be back Monday. If you were mid-analysis on something and want a hand once we're back up, just ping me and I'll help you pick it back up. Thanks for your patience — doing the plumbing properly now so the tool holds up as more of you come on board. — Romuald, OptionBench.com

@Romuald thanks for sharing those thoughts .... I did consider both of them before jumping in .... the richness factor did concern me somewhat and I realize there may be a reduced edge due to that .... I also looked at the other cycles and well not as good as 8 cycles they were all still acceptable in my books as an aside is there anyway to pick more than one strategy in the scanner .. . it would be nice to be able to choose straddles and strangles together as they are closely related ... thanks for the words of thanks it has been a great ride thus far in being able to play a small role in the development of OB

@Romuald first test run was a success as BAC hit 10% target just after open .... that write up is awesome very worthy of a second or even third read ... thanks

Good morning Romauld, Great Analysis and discussion! Thank you. Sarang

@Romuald here we go wish me luck 😁

Building OptionBench with you, not just for you What three weeks of beta feedback changed When we opened the OptionBench beta a few weeks ago, the plan was simple: put the tool in front of real options traders and listen. Sixteen of you took us up on it. A handful have been relentless — sending detailed questions, catching things we missed, pushing back when something didn't add up. This post is a thank you to those of you who've been active, and a look at what your feedback actually changed. Because it changed quite a lot. The thread running through all of it is one idea: put yourself in the trader's seat. Not "here is some data" — but "here is what you need to see, at the moment you're deciding whether to take this trade." You questioned the live values — so we built entry context One of you noticed that the live value of a position on the chart didn't line up cleanly with the historical cycles plotted next to it. A small thing on the surface. But it pointed at a bigger gap: the chart showed you where past cycles went, but not where you stand right now relative to them. So we added it. When the market is open and you're inside the entry window, the live banner now tells you exactly how today's entry ranks against every past cycle at the same point in time: 💰 Cheaper than 50% of past cycles at this point — RV 2.1% 📊 IV lower than 88% of past cycles — 24.9% Hover the live marker on any sub-plot and you'll see its rank there too — Rank 2/8, 5/8, whatever it is — so you can tell at a glance whether you're getting in cheap, average, or rich versus the stock's own history. This is the part we're most happy with, because it's exactly what experienced traders already do by eye when they read a relative-value chart. We just made it explicit, and put a number on it. You asked how much the stock actually moves — so we measured it A recurring question: how much does this name typically move on earnings? It's the first thing you want to know before buying a straddle or a strangle into a report. We now compute the realized earnings move directly from each stock's history — the average and maximum one-day move of the underlying on its past earnings reactions, properly aligned to whether the company reports before the open or after the close. We cross-checked the numbers against two other websites on several names and they line up. It's shown as a plain historical fact — this is how the stock has moved — not a prediction. What you do with it is your call. You read the RV chart by eye — so we drew the distribution If you trade calendars or volatility setups on SteadyOptions, you already live in relative-value charts. The usual approach is to eyeball the average line and ask "am I above or below it?" That works, but it hides something: a single average line tells you nothing about how spread out the past cycles were. Being "below average" means very different things depending on whether the cycles were tightly clustered or all over the place. So each RV and IV sub-plot now shows the dispersion band — the middle 50% of past cycles (25th to 75th percentile) plus the median — at every point before the event: Now "cheap" isn't a guess. You can see the full range the stock has traded in at this point in its cycle, and exactly where today sits inside it. The common thread None of these are flashy. They won't promise you an edge or a win rate. What they do is the same quiet thing: make visible, at the moment you decide, what you used to have to estimate in your head. Where does today's entry rank against history? How much does this stock really move? How wide is the range I'm trading inside? Those are the questions a careful trader asks anyway. We're just trying to answer them on the same screen, while it still matters. That's what "putting ourselves in the trader's seat" means to us — and honestly, we've only been able to get close to it because you've been telling us, in detail, where we were getting it wrong. Keep it coming The beta is free until 31st of July, and the feedback loop is the whole point. If something looks off, if a number doesn't match what you expect, if there's a question the tool should answer but doesn't — tell us. The most useful changes so far have all started as a message from one of you. Thank you for building this with us. Romuald & The OptionBench team

Reading a low-IV name with the OptionBench IV Scanner: TLT today Every morning OptionBench flags the highest and lowest average IV Rank among the tickers we scan — not the whole market, just our watchlist. This morning (Monday, June 22), TLT came up as the lowest: an average IV Rank of 0, with 30-day IV at 8.8%. At the other end, TSM topped the list around 50.8% — the scan surfaces both extremes, so on any given day you can see which names are sitting at the cheap end of their own vol range and which are at the rich end. Here I'll walk through the low end. A low IV Rank on its own isn't a signal — it just says "this name's implied vol is near the bottom of its own recent range." It's easy to glance at a low rank and reach for a reflexive conclusion ("vol is cheap, buy premium" or "nothing to do here"), but the rank alone doesn't tell you whether that low IV is actually cheap relative to how the stock tends to move. That's the gap the scanner is built to close: it tells you what that low IV has historically meant for TLT's actual movement. That's the piece I want to show. What the IV is actually pricing Here's the line that I think earns its keep. Pulling three years of TLT history, the scanner compares what IV priced (the 1-sigma implied move) against what the stock actually did: Over 45 trading days, IV priced 68% more move than realized (median ±6.4% implied vs ±3.82% realized, 756 observations). Right now, IV is pricing a ±4.34% move — in the cheapest 2% of the last three years, 14% above what this name typically realizes. When IV priced a move like today, TLT historically realized ~±2.05% (median, n=128 comparable days). So instead of "IV is low," you get "IV is in the cheapest 2% of its three-year range, and historically when it was priced this way, TLT moved about ±2% — meaning even this cheap IV has tended to overstate the realized move." That's a far more actionable read, and it's grounded in this ticker's own history rather than a generic rule of thumb. The supporting context The scanner rounds it out with a few descriptive reads, each measured against TLT's own 12-month history rather than absolute thresholds: Mean reversion: IV is currently below its 12-month median — historically the lower-premium regime for this name. Volatility premium: IV 30D 8.8% vs HV20 7.3% is a 1.2× ratio, sitting at the 35th percentile of its own range. IV carries its usual premium to realized vol here — nothing unusual, no strong edge from IV/HV alone. I want to be clear about what this is and isn't. None of it is a forecast. IV can stay compressed for weeks, and "cheapest 2% of three years" is a description of where we are, not a prediction of where we're going. What the scanner gives you is context: a precise, ticker-specific picture of how today's implied vol compares to this name's own behavior, so you can decide whether a setup makes sense for your thesis. In practice, that's how I'd use a read like this — not as a trigger, but as a starting filter. A name showing cheap IV that has also tended to underdeliver on realized move is a different proposition from one that's cheap but has a history of surprising to the upside. The scanner won't make the call for you, but it puts the relevant history in front of you in a few seconds instead of an afternoon of spreadsheet work. Try it From the daily "Today" view, the lowest-IV-Rank badge links straight to the TLT scanner page — one click and you're looking at everything above. If you're in the beta and want to poke at it, this is one of the tools I'd love feedback on. EXAMPLE-IV-TLT.mp4

A 90% win rate on a naked put — what the probability doesn't tell you One of the things I hoped for in this beta was that testers would find uses of the tools I hadn't spelled out myself. This week one of them did — and it turned into a good illustration of why a high probability of profit, on its own, can be quietly dangerous. The workflow a tester found A beta tester was hunting for naked-put entries using Forecast by Options (the implied-probability tool). The steps: Pick a ticker and an expiry Set the target to Probability, with a lower threshold (he used 85%) Turn backtest validation on Read the implied-probability curve across strikes, and choose a strike sitting at a comfortable distance in the left tail (he anchored around the 15% line) It's a disciplined way to enter: instead of guessing a strike, you let the options market's own implied distribution tell you how far out you are. I liked it enough to want to share it. But it also surfaces the limit of choosing a strike on probability alone — so here's the second half of the workflow I'd add. Probability is not the whole story The implied-probability curve tells you how likely the spot is to reach a strike. It says nothing about how much you lose if it does. For a naked put, that downside is open-ended — the loss can run to many times the premium you collect. A strike that looks safe at "85% it won't get there" can still carry a heavy left tail. So I took a representative trade through Trade Doctor: a short AMD put near the money, ~10 days out, take-profit 30%. Here's what comes back: POP: 90% — looks great Expected P&L: +$6.93 — positive IV Rank 92%, liquidity good, no earnings before expiry — all green And then the line that changes the picture: Loss profile: open-ended risk — average loss ~$33, worst-5% tail ~$74 — roughly 3× the credit collected What that means A 90% probability of profit is sitting on a tail that, when it bites, gives back about three times the premium you took in. You win often and small; you lose rarely and large. That's not automatically a bad trade — plenty of people sell premium in high IV on purpose — but it's a profile you want to see before you size it, not discover afterward. This is the same lesson I keep coming back to: a win rate tells you how often, not how much. On a defined-risk spread the damage is capped. On a naked put it isn't, and the only honest way to judge the trade is to put a number on the tail. That's what the new Loss profile does — it shows the average loss and the worst-5% (CVaR) side by side, so the gap between them tells you how fat the tail is. When they're close, the loss is contained. When the tail is several times the average — as here — the downside is the thing to respect. Two tools, one decision The point isn't that Forecast by Options is wrong and Trade Doctor is right. They answer different questions, and they're meant to be used together: Forecast finds you a strike; Trade Doctor tells you what that strike risks. Probability picks the entry; the loss profile sizes the position. Used in sequence, you get a trade you've actually stress-tested rather than one that merely looked good on a single number. Try it This is all live in the OptionBench beta — free through the summer. If you sell premium, the Loss profile on naked and uncovered positions is the piece I'd most want your eyes on. And as always: tell me where I'm wrong. The best feedback in this beta has come from testers using the tools in ways I didn't anticipate — this post exists because of one of them. Launch waitlist: https://www.optionbench.com

Apologies if I am asking about something super obvious, but how is it possible to get an average return of about 22.7% if the TP is set at 10%? Is it because many days option prices will simply gap up in the morning and you get higher than the TP fill?