QUALITY GATES
MARKET DATA
THESIS
Kelly answers: "what fraction of your portfolio maximises long-run growth?" Win probability comes from the model. Enter your actual premium and max loss below to compute from real reward/risk — a 0.6× safety discount is always applied and the result is capped at 5%. A negative raw fraction means no edge at these terms — widen the spread or skip the trade.
| METRIC | VALUE | NOTES |
| Win Probability | | Est. prob expires worthless |
| Kelly Fraction | | (p·b − q) / b |
| Empirical (×0.6) | | Kelly × 0.6, max 5% |
| Dollar Allocation | | Empirical × portfolio size |
POSITION SIZING
~30 DTE ESTIMATE
EST. PREMIUM
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ALLOCATION
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CONTRACTS
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Live market data required for position sizing
21–35 DTE target
Close @ 50% profit
Stop @ 2× premium
Exit @ 21 DTE