{
  "as_of": "2026-08-19",
  "cycle_count": 199,
  "first_cycle": "2010-01-21",
  "last_cycle": "2026-08-19",
  "method": {
    "position": "Long 1,000 TSMC shares plus short one monthly TXO call",
    "entry": "First trading day after the prior monthly expiry; sell at displayed normal-session closing bid",
    "exit": "Hold to monthly expiry; settle against the official TAIFEX final settlement price",
    "delta": "Model-reconstructed Black-76 delta using call/put mid parity forward and call implied volatility",
    "costs": "NT$40 opening commission; 0.1% option-premium tax; if ITM, NT$40 settlement commission and 0.002% settlement tax",
    "daily_market_data": "Yahoo Finance unadjusted OHLC; cross-checked against cached official TWSE monthly files",
    "daily_market_crosscheck": {
      "stock": {
        "matched_days": 1456,
        "within_0_01_days": 1452,
        "mean_abs_close_difference": 0.010921,
        "max_abs_close_difference": 5.3
      },
      "index": {
        "matched_days": 1434,
        "within_0_01_days": 1434,
        "mean_abs_close_difference": 0.000188,
        "max_abs_close_difference": 0.000469
      }
    },
    "filters": {
      "all": "Trade every eligible month",
      "high_iv": "Trade only when reconstructed ATM IV is at or above the trailing 24-cycle median",
      "momentum": "Trade only when prior 20-session TAIEX momentum is no more than +5%",
      "high_iv_momentum": "Both high-IV and momentum conditions"
    }
  },
  "delta_results": {
    "0.05": {
      "all": {
        "full": {
          "cycles": 199,
          "trades": 199,
          "trade_rate_pct": 100.0,
          "breach_rate_pct": 8.0,
          "touch_rate_pct": 13.1,
          "call_win_rate_pct": 88.4,
          "average_actual_delta": 0.049,
          "average_otm_pct": 7.38,
          "average_premium_ntd": 428.0,
          "average_option_pnl_ntd": -441.0,
          "annual_overlay_return_pct": -0.7,
          "annual_overlay_ci95_pct": [
            -2.67,
            0.91
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -2.59,
              0.83
            ],
            "block_12_months": [
              -2.54,
              0.76
            ]
          },
          "stock_cagr_pct": 28.04,
          "combined_cagr_pct": 27.44,
          "combined_ann_vol_pct": 23.59,
          "combined_max_drawdown_pct": -37.9
        },
        "train_2010_2017": {
          "cycles": 95,
          "trades": 95,
          "trade_rate_pct": 100.0,
          "breach_rate_pct": 8.4,
          "touch_rate_pct": 11.6,
          "call_win_rate_pct": 92.6,
          "average_actual_delta": 0.048,
          "average_otm_pct": 6.17,
          "average_premium_ntd": 306.0,
          "average_option_pnl_ntd": -46.0,
          "annual_overlay_return_pct": -0.16,
          "annual_overlay_ci95_pct": [
            -3.74,
            2.55
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -3.84,
              2.45
            ],
            "block_12_months": [
              -3.94,
              2.31
            ]
          },
          "stock_cagr_pct": 21.58,
          "combined_cagr_pct": 21.54,
          "combined_ann_vol_pct": 18.55,
          "combined_max_drawdown_pct": -17.64
        },
        "test_2018_2026": {
          "cycles": 104,
          "trades": 104,
          "trade_rate_pct": 100.0,
          "breach_rate_pct": 7.7,
          "touch_rate_pct": 14.4,
          "call_win_rate_pct": 84.6,
          "average_actual_delta": 0.05,
          "average_otm_pct": 8.48,
          "average_premium_ntd": 540.0,
          "average_option_pnl_ntd": -801.0,
          "annual_overlay_return_pct": -1.2,
          "annual_overlay_ci95_pct": [
            -2.98,
            0.56
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -2.79,
              0.52
            ],
            "block_12_months": [
              -2.38,
              0.44
            ]
          },
          "stock_cagr_pct": 34.24,
          "combined_cagr_pct": 33.08,
          "combined_ann_vol_pct": 27.31,
          "combined_max_drawdown_pct": -37.9
        }
      },
      "high_iv": {
        "full": {
          "cycles": 199,
          "trades": 93,
          "trade_rate_pct": 46.7,
          "breach_rate_pct": 9.7,
          "touch_rate_pct": 14.0,
          "call_win_rate_pct": 84.9,
          "average_actual_delta": 0.05,
          "average_otm_pct": 8.76,
          "average_premium_ntd": 511.0,
          "average_option_pnl_ntd": -813.0,
          "annual_overlay_return_pct": -0.73,
          "annual_overlay_ci95_pct": [
            -2.03,
            0.31
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -1.96,
              0.23
            ],
            "block_12_months": [
              -1.72,
              0.23
            ]
          },
          "stock_cagr_pct": 28.04,
          "combined_cagr_pct": 27.29,
          "combined_ann_vol_pct": 24.02,
          "combined_max_drawdown_pct": -38.13
        },
        "train_2010_2017": {
          "cycles": 95,
          "trades": 23,
          "trade_rate_pct": 24.2,
          "breach_rate_pct": 17.4,
          "touch_rate_pct": 17.4,
          "call_win_rate_pct": 87.0,
          "average_actual_delta": 0.049,
          "average_otm_pct": 6.42,
          "average_premium_ntd": 343.0,
          "average_option_pnl_ntd": -189.0,
          "annual_overlay_return_pct": -0.65,
          "annual_overlay_ci95_pct": [
            -2.69,
            0.68
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -2.59,
              0.7
            ],
            "block_12_months": [
              -2.48,
              0.7
            ]
          },
          "stock_cagr_pct": 21.58,
          "combined_cagr_pct": 20.8,
          "combined_ann_vol_pct": 19.22,
          "combined_max_drawdown_pct": -15.56
        },
        "test_2018_2026": {
          "cycles": 104,
          "trades": 54,
          "trade_rate_pct": 51.9,
          "breach_rate_pct": 7.4,
          "touch_rate_pct": 14.8,
          "call_win_rate_pct": 81.5,
          "average_actual_delta": 0.05,
          "average_otm_pct": 10.71,
          "average_premium_ntd": 629.0,
          "average_option_pnl_ntd": -1394.0,
          "annual_overlay_return_pct": -1.01,
          "annual_overlay_ci95_pct": [
            -2.77,
            0.34
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -2.59,
              0.22
            ],
            "block_12_months": [
              -2.2,
              0.14
            ]
          },
          "stock_cagr_pct": 34.24,
          "combined_cagr_pct": 33.24,
          "combined_ann_vol_pct": 27.59,
          "combined_max_drawdown_pct": -38.13
        }
      },
      "momentum": {
        "full": {
          "cycles": 199,
          "trades": 156,
          "trade_rate_pct": 78.4,
          "breach_rate_pct": 9.0,
          "touch_rate_pct": 12.2,
          "call_win_rate_pct": 88.5,
          "average_actual_delta": 0.048,
          "average_otm_pct": 7.08,
          "average_premium_ntd": 398.0,
          "average_option_pnl_ntd": -593.0,
          "annual_overlay_return_pct": -0.62,
          "annual_overlay_ci95_pct": [
            -2.41,
            0.89
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -2.44,
              0.89
            ],
            "block_12_months": [
              -2.55,
              0.92
            ]
          },
          "stock_cagr_pct": 28.04,
          "combined_cagr_pct": 27.55,
          "combined_ann_vol_pct": 23.58,
          "combined_max_drawdown_pct": -37.9
        },
        "train_2010_2017": {
          "cycles": 95,
          "trades": 81,
          "trade_rate_pct": 85.3,
          "breach_rate_pct": 8.6,
          "touch_rate_pct": 11.1,
          "call_win_rate_pct": 92.6,
          "average_actual_delta": 0.047,
          "average_otm_pct": 6.06,
          "average_premium_ntd": 301.0,
          "average_option_pnl_ntd": -39.0,
          "annual_overlay_return_pct": 0.13,
          "annual_overlay_ci95_pct": [
            -3.12,
            2.47
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -3.4,
              2.55
            ],
            "block_12_months": [
              -3.71,
              2.82
            ]
          },
          "stock_cagr_pct": 21.58,
          "combined_cagr_pct": 21.92,
          "combined_ann_vol_pct": 18.38,
          "combined_max_drawdown_pct": -17.95
        },
        "test_2018_2026": {
          "cycles": 104,
          "trades": 75,
          "trade_rate_pct": 72.1,
          "breach_rate_pct": 9.3,
          "touch_rate_pct": 13.3,
          "call_win_rate_pct": 84.0,
          "average_actual_delta": 0.05,
          "average_otm_pct": 8.18,
          "average_premium_ntd": 502.0,
          "average_option_pnl_ntd": -1191.0,
          "annual_overlay_return_pct": -1.31,
          "annual_overlay_ci95_pct": [
            -3.1,
            0.44
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -2.88,
              0.4
            ],
            "block_12_months": [
              -2.49,
              0.33
            ]
          },
          "stock_cagr_pct": 34.24,
          "combined_cagr_pct": 32.92,
          "combined_ann_vol_pct": 27.39,
          "combined_max_drawdown_pct": -37.9
        }
      },
      "high_iv_momentum": {
        "full": {
          "cycles": 199,
          "trades": 70,
          "trade_rate_pct": 35.2,
          "breach_rate_pct": 10.0,
          "touch_rate_pct": 12.9,
          "call_win_rate_pct": 85.7,
          "average_actual_delta": 0.049,
          "average_otm_pct": 8.32,
          "average_premium_ntd": 460.0,
          "average_option_pnl_ntd": -1047.0,
          "annual_overlay_return_pct": -0.41,
          "annual_overlay_ci95_pct": [
            -1.45,
            0.39
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -1.4,
              0.38
            ],
            "block_12_months": [
              -1.23,
              0.4
            ]
          },
          "stock_cagr_pct": 28.04,
          "combined_cagr_pct": 27.7,
          "combined_ann_vol_pct": 24.0,
          "combined_max_drawdown_pct": -38.13
        },
        "train_2010_2017": {
          "cycles": 95,
          "trades": 19,
          "trade_rate_pct": 20.0,
          "breach_rate_pct": 15.8,
          "touch_rate_pct": 15.8,
          "call_win_rate_pct": 89.5,
          "average_actual_delta": 0.049,
          "average_otm_pct": 6.16,
          "average_premium_ntd": 338.0,
          "average_option_pnl_ntd": -18.0,
          "annual_overlay_return_pct": 0.05,
          "annual_overlay_ci95_pct": [
            -0.85,
            0.66
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -0.86,
              0.68
            ],
            "block_12_months": [
              -0.78,
              0.78
            ]
          },
          "stock_cagr_pct": 21.58,
          "combined_cagr_pct": 21.68,
          "combined_ann_vol_pct": 19.07,
          "combined_max_drawdown_pct": -15.56
        },
        "test_2018_2026": {
          "cycles": 104,
          "trades": 35,
          "trade_rate_pct": 33.7,
          "breach_rate_pct": 8.6,
          "touch_rate_pct": 14.3,
          "call_win_rate_pct": 80.0,
          "average_actual_delta": 0.05,
          "average_otm_pct": 10.78,
          "average_premium_ntd": 575.0,
          "average_option_pnl_ntd": -2199.0,
          "annual_overlay_return_pct": -1.03,
          "annual_overlay_ci95_pct": [
            -2.84,
            0.33
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -2.71,
              0.26
            ],
            "block_12_months": [
              -2.34,
              0.23
            ]
          },
          "stock_cagr_pct": 34.24,
          "combined_cagr_pct": 33.19,
          "combined_ann_vol_pct": 27.67,
          "combined_max_drawdown_pct": -38.13
        }
      }
    },
    "0.10": {
      "all": {
        "full": {
          "cycles": 199,
          "trades": 199,
          "trade_rate_pct": 100.0,
          "breach_rate_pct": 18.1,
          "touch_rate_pct": 25.1,
          "call_win_rate_pct": 82.9,
          "average_actual_delta": 0.098,
          "average_otm_pct": 5.49,
          "average_premium_ntd": 1095.0,
          "average_option_pnl_ntd": -1048.0,
          "annual_overlay_return_pct": -2.62,
          "annual_overlay_ci95_pct": [
            -6.3,
            0.61
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -6.42,
              0.62
            ],
            "block_12_months": [
              -6.82,
              0.59
            ]
          },
          "stock_cagr_pct": 28.04,
          "combined_cagr_pct": 25.38,
          "combined_ann_vol_pct": 22.4,
          "combined_max_drawdown_pct": -36.98
        },
        "train_2010_2017": {
          "cycles": 95,
          "trades": 95,
          "trade_rate_pct": 100.0,
          "breach_rate_pct": 14.7,
          "touch_rate_pct": 23.2,
          "call_win_rate_pct": 86.3,
          "average_actual_delta": 0.098,
          "average_otm_pct": 4.67,
          "average_premium_ntd": 708.0,
          "average_option_pnl_ntd": -191.0,
          "annual_overlay_return_pct": -1.07,
          "annual_overlay_ci95_pct": [
            -7.73,
            4.38
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -8.38,
              4.39
            ],
            "block_12_months": [
              -9.67,
              4.71
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          },
          "stock_cagr_pct": 21.58,
          "combined_cagr_pct": 20.55,
          "combined_ann_vol_pct": 18.12,
          "combined_max_drawdown_pct": -21.46
        },
        "test_2018_2026": {
          "cycles": 104,
          "trades": 104,
          "trade_rate_pct": 100.0,
          "breach_rate_pct": 21.2,
          "touch_rate_pct": 26.9,
          "call_win_rate_pct": 79.8,
          "average_actual_delta": 0.099,
          "average_otm_pct": 6.23,
          "average_premium_ntd": 1449.0,
          "average_option_pnl_ntd": -1831.0,
          "annual_overlay_return_pct": -4.03,
          "annual_overlay_ci95_pct": [
            -7.41,
            -0.48
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -7.28,
              -0.7
            ],
            "block_12_months": [
              -7.22,
              -0.79
            ]
          },
          "stock_cagr_pct": 34.24,
          "combined_cagr_pct": 29.96,
          "combined_ann_vol_pct": 25.64,
          "combined_max_drawdown_pct": -36.98
        }
      },
      "high_iv": {
        "full": {
          "cycles": 199,
          "trades": 93,
          "trade_rate_pct": 46.7,
          "breach_rate_pct": 19.4,
          "touch_rate_pct": 28.0,
          "call_win_rate_pct": 80.6,
          "average_actual_delta": 0.099,
          "average_otm_pct": 6.36,
          "average_premium_ntd": 1414.0,
          "average_option_pnl_ntd": -1774.0,
          "annual_overlay_return_pct": -2.42,
          "annual_overlay_ci95_pct": [
            -5.07,
            -0.17
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -4.99,
              -0.27
            ],
            "block_12_months": [
              -4.79,
              -0.35
            ]
          },
          "stock_cagr_pct": 28.04,
          "combined_cagr_pct": 25.39,
          "combined_ann_vol_pct": 23.26,
          "combined_max_drawdown_pct": -37.56
        },
        "train_2010_2017": {
          "cycles": 95,
          "trades": 23,
          "trade_rate_pct": 24.2,
          "breach_rate_pct": 21.7,
          "touch_rate_pct": 34.8,
          "call_win_rate_pct": 82.6,
          "average_actual_delta": 0.097,
          "average_otm_pct": 4.92,
          "average_premium_ntd": 757.0,
          "average_option_pnl_ntd": -667.0,
          "annual_overlay_return_pct": -1.84,
          "annual_overlay_ci95_pct": [
            -6.12,
            1.22
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -5.99,
              1.22
            ],
            "block_12_months": [
              -5.74,
              1.11
            ]
          },
          "stock_cagr_pct": 21.58,
          "combined_cagr_pct": 19.39,
          "combined_ann_vol_pct": 19.25,
          "combined_max_drawdown_pct": -15.56
        },
        "test_2018_2026": {
          "cycles": 104,
          "trades": 54,
          "trade_rate_pct": 51.9,
          "breach_rate_pct": 20.4,
          "touch_rate_pct": 27.8,
          "call_win_rate_pct": 77.8,
          "average_actual_delta": 0.099,
          "average_otm_pct": 7.65,
          "average_premium_ntd": 1867.0,
          "average_option_pnl_ntd": -2837.0,
          "annual_overlay_return_pct": -3.2,
          "annual_overlay_ci95_pct": [
            -6.55,
            -0.5
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -6.37,
              -0.82
            ],
            "block_12_months": [
              -6.41,
              -0.95
            ]
          },
          "stock_cagr_pct": 34.24,
          "combined_cagr_pct": 30.79,
          "combined_ann_vol_pct": 26.39,
          "combined_max_drawdown_pct": -37.56
        }
      },
      "momentum": {
        "full": {
          "cycles": 199,
          "trades": 156,
          "trade_rate_pct": 78.4,
          "breach_rate_pct": 20.5,
          "touch_rate_pct": 26.3,
          "call_win_rate_pct": 80.8,
          "average_actual_delta": 0.098,
          "average_otm_pct": 5.14,
          "average_premium_ntd": 1030.0,
          "average_option_pnl_ntd": -1392.0,
          "annual_overlay_return_pct": -2.6,
          "annual_overlay_ci95_pct": [
            -6.02,
            0.48
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -6.33,
              0.66
            ],
            "block_12_months": [
              -6.94,
              0.79
            ]
          },
          "stock_cagr_pct": 28.04,
          "combined_cagr_pct": 25.44,
          "combined_ann_vol_pct": 22.27,
          "combined_max_drawdown_pct": -36.98
        },
        "train_2010_2017": {
          "cycles": 95,
          "trades": 81,
          "trade_rate_pct": 85.3,
          "breach_rate_pct": 16.0,
          "touch_rate_pct": 23.5,
          "call_win_rate_pct": 85.2,
          "average_actual_delta": 0.098,
          "average_otm_pct": 4.58,
          "average_premium_ntd": 699.0,
          "average_option_pnl_ntd": -221.0,
          "annual_overlay_return_pct": -0.83,
          "annual_overlay_ci95_pct": [
            -7.01,
            3.91
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
              -7.8,
              4.54
            ],
            "block_12_months": [
              -9.44,
              5.07
            ]
          },
          "stock_cagr_pct": 21.58,
          "combined_cagr_pct": 20.98,
          "combined_ann_vol_pct": 17.41,
          "combined_max_drawdown_pct": -22.04
        },
        "test_2018_2026": {
          "cycles": 104,
          "trades": 75,
          "trade_rate_pct": 72.1,
          "breach_rate_pct": 25.3,
          "touch_rate_pct": 29.3,
          "call_win_rate_pct": 76.0,
          "average_actual_delta": 0.099,
          "average_otm_pct": 5.76,
          "average_premium_ntd": 1387.0,
          "average_option_pnl_ntd": -2657.0,
          "annual_overlay_return_pct": -4.21,
          "annual_overlay_ci95_pct": [
            -7.72,
            -0.64
          ],
          "annual_overlay_ci95_sensitivity_pct": {
            "block_6_months": [
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