Our project started with a research paper by Leonidas Rompolis (2025), which shows how the options market prepares for scheduled events like earnings. We wondered what happens with surprise announcements in 8-K filings instead. One kind stood out: when a company issues convertible notes, the hedge funds buying them short the company's stock to protect themselves. That creates selling pressure that has nothing to do with the business itself.
Massive And Slightly Passive uses the Massive API to spot these filings. Each time, it buys the stock and sells a call option against it, holding for about a month. Since selling options tends to make money on ordinary days too, we compared every trade to the same trade on days without an announcement. The strategy only gets credit for what the filing itself adds.
The hardest part was not fooling ourselves. Some filings came out after the market closed, and several rules that looked great on 2024 data failed on new data. So we used the SEC's exact filing times, locked our settings on 2024, and tested once each on 2025 and 2026 with realistic trading costs. In 2026 the strategy stayed profitable, earning about 1% per trade after costs. The effect is promising, though not yet statistically proven.
To make the results accessible, Gemini turns our tables into a short plain-English summary, and ElevenLabs reads it aloud for people with visual impairments. Next, we want to test whether the stock itself drops after these announcements, and see how the strategy holds up in rougher markets.
Log in or sign up for Devpost to join the conversation.