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.

1R = 23.1 bps of price
basis points of the underlying
5.0% of premium
decay at 5%/hour of premium
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
——
Total cost per trade
—
spread + decay, in R
Gross edge needed
—
just to break even
Spread vs one tick
—
the option is the binding cost
Cost per day
—
at your trade frequency
—
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).