Predicting which stock options will be profitable becomes twice as accurate when an AI looks at a company's financial statements instead of market prices.
April 26, 2026
Original Paper
Beyond the Greeks: Fundamentals-Driven Probability Estimation for Options
SSRN · 6630358
The Takeaway
Most professional options trading relies on price volatility and a set of metrics called the Greeks. This research shows that fundamental company health is a far more powerful and underutilized predictor for short-term profits. AI models that analyze balance sheets and income statements doubled the win rate compared to traditional methods. The market often ignores these slow-moving fundamentals when pricing fast-moving options. This suggests a massive opportunity for traders to exploit the gap between a company's real value and its option price.
From the abstract
<p>Most options analysis tools are built exclusively on market-derived signals — implied volatility, the Greeks, and price patterns — while largely ignoring the financial fundamentals of the underlying company. This paper presents Probabilist, a suite of three machine learning models that estimate the probability of profitable expiry for long calls, long puts, and short strangles on S&P 500 constituents, using publicly available financial statement data as a primary input alongside historica