# Tag Info

As I see it, a reasonable possibility is that it is a directional bet; money will only be made if the direction of the jump is correct, else the bet is lost. So if the random outcome is $X \in \{-J, 0, J\}$ with $\mathbb{P}(+J) = \mathbb{P}(-J) = \varphi /2 \;$ such that $\mathbb{P}(\pm J) = \varphi$, then it follows that $\mathbb{E}[X] = 0$, and \$\mathbb{...