Two-day burst chain · The Bid & Ask

Day-1 (yesterday) closed up >= +10 % on >= 2x average volume; day-2 (today, the entry) confirmed with another >= +5 % on >= 1.5x. The day-1 close-in-range gate excludes blow-off closed-at-the-high prints. Validated in research/null_results.md (burst_continuation entry): post-T+1 drift averages ~+9 % over 20d and ~+13 % over 40d, hit-rate 0.70 (n=720). The single-day burst alone is too thin; the day-2 confirmation is what distinguishes a Nanexa-style continuation from a one-off blow-off.

Recommended position

Structure: Long 100 % strike call · short 110 % strike call · 45 days to expiry
Take profit: Hold to expiry — grid showed every early TP loses on both Sharpe and mean
Stop loss: None. Max loss = the debit you paid (the spread can only go to zero). Size the position accordingly — the −50 % stop was tested and lost.
Expected per trade: +31.2 % mean on premium, 47 % hit rate, edge +14.2 pp vs same-name controls, Sharpe 0.22. n=718. See research/burst_options_exits.py.
Thesis: Day-1 burst (+10 %/+2x vol) confirmed by day-2 follow-through (+5 %/+1.5x vol) marks a real continuation chain. The debit call spread captures the post-T+1 drift at bounded cost; hold-to-expiry beat every early-TP rule because the cohort's PnL distribution is fat-right-tailed and clipping winners leaves alpha on the table.
Important note: Per-trade variance is high (event std ~140 % of premium). Stop-free hold-to-expiry is the validated edge, but every trade can lose 100 % of premium; size by total burst-cohort allocation, not per-trade conviction.

Alternative: stock-side exit

Structure: Long the underlying at close[T+1] (the day-2 confirmation entry)
Exit rule: Close on the first day the close falls below the day-1 trigger-day low. If never breached, time-stop at T+1 + 45 sessions.
Expected per trade: +5.3 % mean stock return, 47.6 % hit rate, Sharpe 0.143. Mean hold ~34 sessions. Edge vs same-name controls under the same rule: +4.9 pp on mean and +29.7 pp on hit-rate — the biggest hit-rate edge of any stock-exit rule tested. n=718. See research/burst_stock_exits.py.
Thesis: The day-1 trigger-day low is the structural support of the setup. A close below it means the burst impulse has been absorbed and the continuation thesis is invalidated; further holding becomes random-walk exposure. ATR and percentage trailing stops both underperform this technical level because they fire on noise, not on pattern failure.
Important note: A wider time-stop (time_45, just hold 45 days) has a marginally higher Sharpe (0.18 vs 0.14) but ~zero edge in hit-rate vs random — it harvests generic market drift, not cohort-specific alpha. The day-1-low rule is the actionable selection-aware exit.