> ## Documentation Index
> Fetch the complete documentation index at: https://docs.askfutures.com/llms.txt
> Use this file to discover all available pages before exploring further.

# The options trader's series

> Seven parts on using AskFutures as the underlying-behavior tool behind an options book — expected move, directional skew, vol regimes, event days, hedging, sweeps, and reading results.

AskFutures backtests futures, not options. It has no chains, no Greeks, no implied vol. What it has is six years of minute-level data on the underlyings your options settle into, and a plain-English engine for asking what those underlyings actually do. This series is about using that well — and about the four sentences it will refuse, and what to type instead.

<Info>
  Past performance does not guarantee future results. Always test before you trade.
</Info>

<Tip>
  Short on time? The one-page, table-first version is
  [For options traders](/guides/for-options-traders). This is the long read.
</Tip>

**In this series**

| Part | Title                                      | What it covers                                                                                      |
| ---- | ------------------------------------------ | --------------------------------------------------------------------------------------------------- |
| 00   | Read this first                            | What the engine is, what it isn't, and the ground rules that stop you wasting a backtest            |
| 01   | Expected move vs. realized move            | Pull the historical distribution of the range you're selling a strike against                       |
| 02   | Directional skew for spreads               | Does the setup you like actually drift? Backtests and setup scorecards as bias tests                |
| 03   | Volatility regimes without an IV feed      | Realized-vol percentiles, ATR, and VIX futures as the "IVR above 50" you can't type                 |
| 04   | Event days: what's possible                | No economic calendar — but clock windows, weekday gates and anchored ranges get you most of the way |
| 05   | Hedging and scalping around a book         | Gamma scalps, delta-hedge triggers and roll timing as testable futures rules                        |
| 06   | Sweeping the parameters that matter        | Band widths, stops and holds — up to 500 combinations per run                                       |
| 07   | Reading the results like an options trader | MAE is your path risk; exit reasons are your assignment story; then share it                        |
| —    | Appendix: say this, not that               | The translations, collected                                                                         |

***

## Part 00 — Read this first

Every option's P\&L is a function of one thing you can measure historically — the path of the underlying — and several things you can't get here: implied vol, skew, term structure, the Greeks. AskFutures is a tool for the first thing. Use it for that and it earns its keep every week. Ask it for the second and it will tell you, politely, no.

### What it is

* **A backtester you talk to.** You describe a futures strategy in a sentence or three; it builds the rules, runs them against real bars, and hands back trades, an equity curve and a metrics card in the chat.
* **Data:** 1-minute, 5-minute, hourly, daily and weekly bars on \~70 futures roots, continuous back-adjusted contracts, from late 2019 to yesterday. Plus weekly Commitment of Traders positioning.
* **Vocabulary:** \~40 TA-Lib indicators, opening ranges, VWAP, prior-day levels, rolling percentiles and z-scores, cross-market conditions, bar patterns, stops in dollars/ticks/points/percent/ATR multiples, trailing stops, time stops, end-of-day flat.
* **Three more tools** that matter more to an options trader than the backtester itself: *variable distributions* ("show me the distribution of the daily range"), *setup scorecards* (forward-return distributions for a condition vs. baseline), and *parameter sweeps*.

### What it isn't

It will say no to these — verbatim from the product:

| You type                                                      | It says                                                                      |
| ------------------------------------------------------------- | ---------------------------------------------------------------------------- |
| `sell 15 delta strangles, 1 week out, 1 lot`                  | *"cannot be represented with available indicators and kernels."*             |
| `sell 15 delta $3 wide call spreads when CL is up $2 or more` | *"Option spreads are not supported by the system."*                          |
| `on days when IVR is above 50%`                               | *"the required IVR data series or indicator is unavailable."*                |
| `on Fed announcement days` / `on NFP release days`            | *"Cannot identify Fed rate change announcement days without external data."* |

Those four refusals are the whole reason this guide exists. Each one has a futures-side question hiding inside it, and Parts 1–5 show how to ask that question instead.

### Ground rules

* **Contracts.** Name the futures root, not the ETF or the index. SPX/SPY options traders → `ES` (or `MES`). QQQ/NDX → `NQ`/`MNQ`. USO/crude options → `CL`/`MCL`. GLD → `GC`/`MGC`. TLT/rates → `ZB`, `ZN`. VIX options → `VX`. Full roster: ask `what symbols do you support?`
* **Clock times** are read as **US/Eastern**. NFP is 08:30, FOMC statements are 14:00, the RTH open is 09:30. If you think in Central, add an hour.
* **Backtest window** defaults to the **trailing 12 months**. Say `since 2020`, `last 5 years` or `2022 to 2024` to change it. Don't say "test 1 year back" — you'll get *"the backtest already covers…"* because it already does.
* **Costs.** State commission and slippage **when you create the strategy**: `assume $1.25 commission per side and 1 tick of slippage`. Commission is dollars per side; slippage is ticks per round turn.
* **Strategy types.** Three execution shapes: *Day Trading* (intraday bars, flat at the close), *24h* (intraday bars, can hold overnight), *Trade at close* (daily bars, fills at the settlement). Convert between them with `convert this to a trade-at-close strategy` — you get a preview of what changes before it's applied.
* **One strategy per chat.** A second strategy opens a sibling chat automatically. Edits ("tighten the stop to 1× ATR") stay in the current one and create a new version.

***

## Part 01 — Expected move vs. realized move

The market hands you an implied expected move every morning. What it doesn't hand you is the realized distribution that move is being priced against. This is the fastest win in the product, and it needs no strategy at all.

### The options question

You're selling a 7-day strangle on crude. The chain implies a ±\$2.40 one-sigma move. Is that rich or cheap against what CL has actually done over 5-session windows for the last few years — and what does the tail look like beyond your short strikes?

### What to type

AskFutures has a *describe* mode: ask about a variable derived from price and you get its historical distribution — mean, percentiles, a histogram — or the raw values if you ask for a list.

```text theme={null}
Show me the distribution of the weekly high-minus-low range on CL since 2020, in dollars per contract.
```

→ You get the percentile ladder. Read your short strikes against the 84th/16th percentiles (one sigma) and the 95th/5th (the tails).

```text theme={null}
What is the distribution of the daily close-to-close move on ES over the last 3 years, in points?
```

→ The daily version, for 1–2 DTE strikes.

```text theme={null}
Show me the distribution of the 09:30 to 16:00 range on ES since 2022.
```

→ The 0DTE question: how wide is the RTH session, really?

```text theme={null}
List the last 20 overnight gaps on NQ.
```

→ "List" instead of "distribution" returns the literal values — useful when you want to eyeball recent regime, not the 5-year average.

### How to read it

* **Implied vs. realized is the whole trade.** If the chain's one-sigma sits well outside the realized 84th percentile, the market is paying you for a move it usually doesn't make. If it sits inside, you're being paid too little for the tail that shows up at the 95th.
* **Units matter.** Ask in the units you trade — points, ticks, dollars per contract, or percent. CL is $1,000 per $1; ES is $50 per point; MES is $5. AskFutures knows the multipliers; you just have to say which you want.
* **Ask for the window you're actually selling.** A per-week range is not five daily ranges added up. Say "weekly", "per session", "per day" — the aggregation follows your words.

***

## Part 02 — Directional skew for spreads

Every vertical, every skewed strangle, every "lean" is a directional bet on the underlying over a horizon. That bet is exactly what a futures backtest measures. The trick is to phrase it as the futures position your spread is a proxy for, and to hold it for your DTE.

### The options question

When ES closes below its 20-day low, you like selling put spreads 5 days out on the theory that it bounces. Does it? By how much, how often, and how bad is the drawdown before the bounce?

### What to type — the backtest form

```text theme={null}
On ES daily bars, buy at the close when the close is below the lowest low of the prior 20 days. Hold for 5 days, with a 2× ATR(14) stop. Long only, one position at a time. Test since 2020.
```

→ A trade-at-close strategy, one trade per signal, exited by time or stop. The trade list is your sample of "what happened in the 5 sessions after the condition."

Now flip it, because a skewed strangle is two of these:

```text theme={null}
Add the short side: sell at the close when the close is above the highest high of the prior 20 days, same 5-day hold and 2× ATR stop.
```

→ AskFutures mirrors the boundary (highest high, not lowest low) — it won't copy-flip the operator and give you a rule that fires every bar.

### What to type — the scorecard form

A backtest gives you one path per signal after stops and exits. A *setup scorecard* gives you the raw forward-return distribution of the condition — no exits, no stops — against the unconditional baseline over fixed horizons (1h and 5h for intraday setups; 10 sessions for daily). It's the cleaner bias test. Build the strategy first, then convert its entry:

```text theme={null}
Show this strategy's entry condition as a setup scorecard.
```

→ You get the matched set's forward-return distribution vs. baseline, per horizon. Some strategies can't be expressed as a setup (position-state logic, exotic exits) — AskFutures tells you which part.

```text theme={null}
Explain the scorecard — where does the matched set differ from baseline most?
```

### How to read it

* **Mean vs. median vs. tails.** A put spread's max profit is capped; its max loss is the width. So you care less about the mean forward return and more about: what fraction of paths finished above your short strike, and how deep did the worst 5% go? The scorecard's percentile ladder and the backtest's MAE column (Part 7) answer those directly.
* **Baseline is the point.** If the conditional 10-day distribution looks like the unconditional one, your setup has no edge — you're just selling premium, and Part 3 matters more than this part.
* **Hold for your DTE.** "Hold for 5 days" is a calendar-day hold on intraday strategies and a 5-bar hold on daily ones; say sessions if you mean sessions. Match it to your expiry.

***

## Part 03 — Volatility regimes without an IV feed

"Only when IV rank is above 50" is the sentence AskFutures can't act on. But IVR is a proxy for a regime, and the regime leaves fingerprints in the futures data: realized range, ATR percentiles, Bollinger width — and VIX futures, which you can name directly.

### The options question

You sell premium when vol is elevated on the theory that it mean-reverts. The part of that theory a futures backtest can test: after a vol spike, does the underlying's realized move over your holding period come in *smaller* than the spike implied — and does price itself revert?

### What to type — three ways to say "vol is high"

**1. Realized vol percentile (closest to IVR)**

```text theme={null}
On CL daily bars: only trade when the 14-day normalized ATR is above its 80th percentile over the last 250 days. In that regime, sell at the close when the close is more than 2 standard deviations above its 20-day mean, and buy when it's more than 2 below. Exit after 5 sessions or on a 2× ATR stop. Test since 2020, $1.25 commission per side.
```

→ "NATR above its 80th percentile over 250 days" is a rolling percentile gate — the same shape as IV rank, computed on realized vol. A z-score fade inside it is the futures skeleton of "sell the wings into a spike and lean toward reversion."

**2. VIX futures as the regime switch**

```text theme={null}
On ES daily bars, only take trades when VX is above its 50-day simple moving average. Buy at the close when RSI(14) crosses above 30; exit after 3 sessions or on a 1.5× ATR stop. Long only, since 2020.
```

→ Cross-market gates are supported: the condition reads VX, the trade is in ES. Swap in `VX below 16` or `VX above its 20-day high` as needed.

**3. Bollinger squeeze / expansion**

```text theme={null}
On GC daily bars, when the Bollinger Band width (20, 2) is below its 50-day median, buy a close above the upper band and sell a close below the lower band. Hold 10 sessions, 2× ATR stop. Since 2021.
```

→ The long-straddle question in futures clothing: after a squeeze, does the breakout follow through over your expiry?

### How to read it

* **This is not a short-strangle P\&L.** A futures backtest has no theta and no vega. What it isolates is the *directional and realized-path* component of a premium trade. If the fade wins in the high-NATR regime, the underlying tends to revert after spikes — good for you. If the trade list shows big MAE before the reversion, that's the gamma risk your short wings carry; size the wings from it.
* **Also check the distribution, not just the trade.** Part 1 in a regime: `Show me the distribution of the 5-day close-to-close move on CL when the 14-day NATR is above its 80th percentile` — the conditional expected move.
* **Vol-of-vol.** `VX` is a tradable root here, so `Show me the distribution of the 5-day change in VX since 2020` is a valid question and a useful one.

***

## Part 04 — Event days: what's possible

Be clear-eyed: AskFutures has no economic calendar. It cannot select FOMC days, NFP Fridays or CPI mornings. What it *can* do is everything about the clock and the calendar that isn't a news feed — and for the two events options traders care about most, that's most of the way.

> **It will say no** to `on days when NFP is released` — logged as unsupported; the strategy still builds, but on *every* day. Read the assumptions card: it will say so.
>
> Say this instead: pin the **time** (08:30 ET), the **weekday** (Fridays), and the **anchored range**, and accept that you're testing all Fridays. The signal-day sample will be diluted by the non-event Fridays — which is itself informative.

### The options question

Your 0DTE play on jobs Friday is to sell the 08:30 opening-range break — or fade it. Which one has actually made money on Friday mornings, and how far past the range does it typically run before 10:00?

### What to type

```text theme={null}
On MES 1-minute bars, Fridays only: buy a break above the high of the 08:30–08:45 range and sell a break below its low. Stop = 1× the range size, target = 2× the range size, only between 08:45 and 11:00, first trade of the day only, flat at the close. Test since 2021.
```

→ Weekday gate + clock-anchored opening range + time-of-day window + one-trade filter + EOD flat. Every piece is native.

The FOMC version (statement at 14:00 ET):

```text theme={null}
On ES 1-minute bars, buy a break above the high of the 14:00–14:05 range and sell a break below its low, only between 14:05 and 15:30, max 2 trades per day, 20-tick trailing stop, flat at the close. Since 2022.
```

→ All days, so the FOMC afternoons are eight per year in a sample of \~250. Compare to the same rule at 10:00–10:05 to see whether the 2pm window is special at all.

And the distribution question underneath both:

```text theme={null}
Show me the distribution of the 08:30 to 09:00 range on ES since 2021, in points.
```

→ Your expected-move baseline for the post-print half hour. Then `List the last 12 08:30–09:00 ranges on ES` and pick out the NFP Fridays by eye.

### How to read it

* **Dilution is a feature.** If the Fridays-only breakout is profitable across all Fridays, the event isn't doing the work — the morning structure is. If it only pays on the event Fridays (check the trade list by date), you have an event trade and a 12-trade-a-year sample; treat the stats accordingly.
* **Clock times are Eastern.** A trader in Chicago will reach for "7:30 am" for NFP. Say 08:30.

***

## Part 05 — Hedging and scalping around a book

"I'm long 10 CL contracts and want to scalp around the core." Or: "I'm short a strangle and hedge delta when price breaches the wing." Both are futures rules with a defined trigger, exit and frequency — and both are exactly the kind of thing that whipsaws you to death if the bands are wrong. Backtest the bands.

### The options question

Gamma scalping a long straddle means buying dips and selling rips in the underlying. Delta-hedging a short strangle means the opposite at the wings. Either way: how wide should the trigger band be, how often does it fire, and what does the whipsaw cost over a month?

### What to type — the gamma scalp

```text theme={null}
On CL 5-minute bars, buy when the 20-bar z-score of the close is below −2 and sell when it's above +2. Exit when the z-score crosses back through 0. Max 4 trades per day, alternate directions, flat at the close. $1.25 commission per side, 1 tick slippage. Last 2 years.
```

→ Mean reversion with a frequency cap and forced alternation — the futures leg of a long-gamma book. The exit-reason breakdown will tell you how many closed at the mean vs. got carried to the close.

### What to type — the wing hedge

A short strangle's wing defense is a stop-and-reverse around a level. Test the whipsaw with a rolling level:

```text theme={null}
On ES 1-minute bars, buy when the close crosses above the prior session's high and exit when it crosses back below it. Short when the close crosses below the prior session's low and exit when it crosses back above. Max 6 trades per day, flat at the close. Since 2023.
```

→ Every trade here is a hedge you would have put on and taken off. Total P\&L is the cost of hedging at that band; trade count is how often you'd have been on the phone.

### What to type — roll timing

"When should I roll my long July position?" AskFutures knows each contract's roll and expiry dates, and "days before roll" is a condition:

```text theme={null}
On CL daily bars, buy at the close when the close is above the 20-day SMA, and exit 3 days before roll. Since 2020.
```

→ Compare against `exit 1 day before roll` and `exit at expiration` to see whether the roll week costs you anything in this contract.

```text theme={null}
Show me the distribution of the daily range on CL in the 5 days before roll versus the rest of the month.
```

### How to read it

* **The futures P\&L is the hedge cost, not the book P\&L.** A gamma scalp that loses −$1,800 over a year on 400 trades is telling you the futures leg bleeds $4.50 a trade after costs — that's the number to set against the theta you're collecting. State costs when you create the strategy; an 872-trade scalp run at zero commission is a very different picture at \$2.50 round turn.
* **Average hold time** (in the metrics card) is your realized hedging frequency. **Max consecutive losses** is the whipsaw streak your risk desk will ask about.

***

## Part 06 — Sweeping the parameters that matter

Every number in a strategy — the z-score band, the ATR multiple, the hold, the opening-range minutes — becomes a named parameter you can sweep. For an options trader the sweep is where the real answers live: not "does the fade work" but "at what band width does the whipsaw cost cross the premium collected?"

### What to type

```text theme={null}
Propose an optimization over the z-score threshold and the stop multiple.
```

→ AskFutures proposes ranges centered on your current values, fitted under a 500-combination cap, with a rationale per parameter. Nothing runs until you approve.

```text theme={null}
Run it.
```

→ Sweeps take minutes; you'll get a progress card, then a ranked table.

```text theme={null}
Show me the top 10 results ranked by profit factor, and apply the one with the lowest max drawdown.
```

→ Applying a result creates a new version of the strategy; the old one stays in the chat's history.

### How to read it

* **Look for plateaus, not peaks.** A band of 2.0 that wins while 1.8 and 2.2 lose is noise. A ridge from 1.6 to 2.4 is a real property of the underlying — and it tells you how much slop your hedge trigger can tolerate.
* **Sweep the hold against your DTE ladder.** Holding 3, 5, 10 sessions for the same entry is three expiries of the same spread. Ask for all three in one sweep.
* **Every backtest in a sweep is a backtest.** They count against your monthly allowance; a 500-combination run is 500 of them. Propose first, trim the grid, then run.

***

## Part 07 — Reading the results like an options trader

The metrics card is written for futures traders — win rate, profit factor, Sharpe, drawdown. Most of it maps onto options language directly; two columns in the trade list map onto it better than anything in the card.

### The card

| Metric                 | What the card says                                     | What it means for your options book                                                                                                                             |
| ---------------------- | ------------------------------------------------------ | --------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| Win rate               | % of trades closed positive                            | Roughly, how often the underlying finished on your side of the strike by expiry                                                                                 |
| Avg win / avg loss     | Mean P\&L of winners and losers                        | The asymmetry you need to know before choosing width: a 1:1 spread on a 47% win rate is a loser after costs                                                     |
| Profit factor          | Gross wins ÷ gross losses                              | Below 1.0 the directional component is against you — whatever you're making is theta, not edge                                                                  |
| Max drawdown           | Peak-to-trough on the equity curve                     | Your margin-call scenario if you were delta-one instead of defined-risk                                                                                         |
| Max consecutive losses | Longest losing streak                                  | The number of expiries in a row you'd have watched a spread go to max loss                                                                                      |
| Exit reasons           | stop / target / signal / session-close counts and P\&L | How your trades *end*. A short-premium analog that mostly exits at the session close is decaying quietly; one that mostly exits at the stop is getting run over |
| Average hold           | Mean time in trade                                     | Your realized hedging frequency, or the DTE you're actually using                                                                                               |

### The trade list — MAE and MFE

```text theme={null}
Show me the trades, with MAE and MFE, and the 10 worst.
```

→ Per trade: entry and exit time, direction, duration, P\&L, maximum adverse excursion and maximum favorable excursion, exit reason.

* **MAE is the column options traders were missing.** A trade that finished +$400 after going −$1,900 against you is a winner in the metrics card and a blown-out short put in real life. Sort by MAE. The 95th percentile of MAE across the trade list is how far past your short strike the underlying typically travels before coming back — that's your wing.
* **MFE is where you'd have been assigned early** on the other side, or where a take-profit on the spread would have triggered.

### Then share it

Any backtest can be published to a public link — equity curve, metrics and the sentence that generated it — for a trading group, a Discord, or a thread. Use **Share** on the strategy card and you get a URL; unpublishing revokes it. The published page shows the prompt too, so the person you send it to can fork the idea in their own chat.

***

## Appendix — Say this, not that

Left column is what an options trader types first; right column is what AskFutures understands.

| You want to say                            | Type instead                                                                                                               |
| ------------------------------------------ | -------------------------------------------------------------------------------------------------------------------------- |
| sell a 15-delta strangle when…             | go short (or fade both ways) when…; *hold for N sessions*; *2× ATR stop* — then read MAE for the wing                      |
| sell $3-wide call spreads when CL is up $2 | `sell CL when the close is more than $2 above the prior session's close; exit after 3 sessions or on a $3 stop`            |
| when IV rank is above 50                   | `when the 14-day NATR is above its 80th percentile over the last 250 days` or `when VX is above its 50-day SMA`            |
| on FOMC / NFP / CPI days                   | clock window in ET + weekday gate: `Fridays only, between 08:30 and 11:00` — and know it's all Fridays                     |
| the expected move                          | `show me the distribution of the 5-day close-to-close move on ES since 2020`                                               |
| gamma scalp / hedge band                   | z-score or level cross with `max N trades per day`, `alternate directions`, `flat at the close`                            |
| reduce commissions to \$0.75 per side      | say it when you create the strategy: `… assume $0.75 commission per side`                                                  |
| test 1 year back                           | the default already is one year — say `since 2020` or `last 3 years`                                                       |
| hold to expiry                             | `hold for 5 sessions` (daily) / `hold for 90 minutes` (intraday) / `exit 1 day before expiration` (the futures contract's) |
| skew toward reversion                      | a z-score fade: `buy below −2, sell above +2, exit at 0`                                                                   |
| is this setup any good?                    | `show this strategy's entry as a setup scorecard` — forward returns vs. baseline, no exits                                 |

### What's not here yet

Options chains, implied vol of any kind, an economic calendar, and multi-leg positions. If you need those, this isn't the tool. If you need to know what the underlying does — over your DTE, in your vol regime, at your hedge band, after your setup — it is.

***

*Contracts, timeframes and indicator names in this guide are AskFutures' current vocabulary. Ask `what symbols do you support?` in any chat for the live roster.*