What Your Round Trip Actually Costs, in R
Costs quoted in cents are meaningless. Costs quoted in R — multiples of the risk unit your edge is measured in — are comparable to the edge itself. Set your contract below and see the spread you pay next to the largest edge this research program has ever measured.
Option spread, round trip—
Time decay over the hold—
One tick on the underlying (for scale)—
Largest edge ever measured in this program+0.030 R
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Total cost per trade
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spread + decay, in R
Gross edge needed
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just to break even
Spread vs one tick
—
the option is the binding cost
Cost per day
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at your trade frequency
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Method. An option cost is converted to underlying terms by dividing by delta — a $0.03 spread on a 0.35-delta contract is a $0.086 move you must win back — then expressed in bps of price and divided by 1R. 1R defaults come from ATR(14) measured on 2,703 sessions of 1-minute bars resampled to 5m and 15m. Decay uses a flat 5% of premium per hour, the variance-risk-premium drag assumption from the underlying study; real theta accelerates into the close, so late-day holds cost more than this shows. The +0.030 R comparison line is the largest gross expectancy any hypothesis in the program has produced — and it was not statistically significant (n = 38,897, Holm p = 0.34).