Macro event decay management checklist

If your thesis does not define a time expiry, decay can keep the risk visible too long.

Set these before the release:

These prevent one idea from becoming a stale inventory in a fast-normalizing market.

If implied volatility falls below the threshold without a thesis upgrade, the position must cool down.

• a hard maximum holding window after release, such as 15 minutes
• a decay-confirmation threshold for implied volatility
• a minimum favorable move before adding size
• a mandatory review time when you only reduce or flatten

Use fixed checkpoints tied to time from event time:

At T+2

At T+6

At T+15

Do not skip these checkpoints when "story is still strong." Stories are cheaper to keep and re-test later than to force execution by delay.

• validate whether first-print imbalance is still visible
• if spread and depth are not normalizing, keep size capped
• if no thesis improvement, remove optional carry actions
• check whether move velocity has shifted from reaction to mean-reversion
• remove half of discretionary add-ons even if spread still looks attractive
• force a hedging re-check before any hold decision
• require both spread and IV stability to restart directional add
• if decay dominates and no new signal appears, trim to neutral
• if thesis upgrade remains valid, restart with explicit smaller size

The post-release decay rule has to map to units.

For each checkpoint, apply this sequence:

1. measure IV burn and depth support 2. divide the position into 3 blocks 3. remove one block unless both conditions are clear: - thesis improved - execution quality still supports target size

For covered shorts, apply this first to the hedge leg; only then adjust the core thesis leg.

Not every chain should cool at the same speed. Add a separate rule for wide-skew, deep-IV names.

This keeps decay control a risk protocol, not a post-hoc excuse.

• if depth remains weak for two checkpoints, only exit at predefined minimum
• if skew narrows too fast, reduce faster than normal size plan
• if one leg is stale, do not rebalance with a new opposite leg

Every macro week, record:

Archive one short sentence per chain. A sentence is enough if it changes next week’s rules.

• which checkpoint level forced the final size decision
• whether the thesis upgrade happened before or after the first reduction
• what the re-entry rule was at T+15
• which chains should have tighter decay limits next time