The product's shortlist
Where the calls are dear
Sessions
11
Mean return
-0.85%
vs S&P 500
-0.89%
Verdict
no verdict yet
The hypothesis, as registered
Someone who knows something buys calls, and the price shows it before the stock does. Under put-call parity a call and a put at the same strike and expiry must carry the same implied volatility; when the call's is higher, calls are relatively expensive. Cremers and Weinbaum (2010) found that gap predicts positive returns over the following days. This asks whether it survives on one session, on our shortlist.
The rule
For each finalist, invert Black-Scholes on the mid-price of the at-the-money call and put at yesterday's close, nearest expiry at least seven days out, both legs quoted with open interest of fifty or more. Take the finalist with the largest positive call-minus-put implied volatility spread; ties go to the higher quantitative score. The models' verdicts are not read. Abstains when no finalist's calls are priced above its puts.
Session by session
| Session | Pick | What the rule read | Return | vs S&P 500 |
|---|---|---|---|---|
| 2026-10-14 | VZVerizon | call − put IV +25.36% · call IV +42.33% · put IV +16.97% · strike 43 · expiry 2026-10-23 · quant score 41.9 | pending | pending |
| 2026-10-13 | FIGSFIGS, Inc. Class A | call − put IV +86.62% · call IV +140.76% · put IV +54.14% · strike 15 · expiry 2026-11-20 · quant score 71.8 | +1.12% | +1.04% |
| 2026-10-12 | NVAXNovavax, Inc. | call − put IV +227.57% · call IV +259.27% · put IV +31.70% · strike 11 · expiry 2026-10-23 · quant score 72.7 | no price found | — |
| 2026-10-09 | DOCSDoximity | call − put IV +102.44% · call IV +121.70% · put IV +19.26% · strike 27.5 · expiry 2026-10-16 · quant score 62.9 | no price found | — |
| 2026-10-08 | PENGPenguin Solutions, Inc. | call − put IV +220.43% · call IV +233.24% · put IV +12.81% · strike 65 · expiry 2026-10-16 · quant score 69.5 | no price found | — |
| 2026-10-07 | FCELFuelCell Energy, Inc. | call − put IV +256.09% · call IV +290.84% · put IV +34.75% · strike 18 · expiry 2026-10-16 · quant score 67.9 | -3.49% | -3.68% |
| 2026-10-06 | NVAXNovavax, Inc. | call − put IV +385.11% · call IV +413.36% · put IV +28.26% · strike 10.5 · expiry 2026-10-16 · quant score 77.5 | -8.41% | -8.54% |
| 2026-10-05 | MXLMaxLinear, Inc | call − put IV +218.94% · call IV +264.62% · put IV +45.68% · strike 90 · expiry 2026-10-16 · quant score 62.7 | -0.48% | -1.15% |
| 2026-10-02 | ACNAccenture | call − put IV +305.39% · call IV +309.92% · put IV +4.54% · strike 182.5 · expiry 2026-10-09 · quant score 72.5 | -5.74% | -5.62% |
| 2026-10-01 | DNAGinkgo Bioworks Holdings, Inc. Class A | call − put IV +129.34% · call IV +195.48% · put IV +66.14% · strike 12 · expiry 2026-10-16 · quant score 81.9 | -0.79% | -0.75% |
| 2026-09-30 | CCLCarnival Corporation | call − put IV +223.84% · call IV +232.01% · put IV +8.17% · strike 22 · expiry 2026-10-09 · quant score 75.8 | -3.35% | -2.85% |
| 2026-09-29 | ABCLAbCellera Biologics Inc. - Common Shares | call − put IV +113.35% · call IV +157.68% · put IV +44.33% · strike 13 · expiry 2026-10-16 · quant score 72.8 | +4.96% | +5.30% |
| 2026-09-28 | ALMAlmonty Industries Inc. - Common Shares | call − put IV +130.45% · call IV +172.34% · put IV +41.88% · strike 12.5 · expiry 2026-10-16 · quant score 50.8 | +0.00% | +0.36% |
| 2026-09-25 | QMCOQuantum Corporation | call − put IV +152.28% · call IV +229.12% · put IV +76.84% · strike 25 · expiry 2026-10-16 · quant score 84.2 | +6.31% | +5.97% |
| 2026-09-24 | VICRVicor Corporation | call − put IV +287.55% · call IV +308.93% · put IV +21.38% · strike 220 · expiry 2026-10-16 · quant score 74.0 | +0.53% | +0.12% |
| 2026-09-23 | GRALGRAIL, Inc. | call − put IV +355.24% · call IV +399.34% · put IV +44.11% · strike 80 · expiry 2026-10-16 · quant score 82.1 | no price found | — |
| 2026-09-22 | passed | No finalist had a readable option chain this morning. | — | — |