I Graded My Own ML Option Forecasts: Here's the Brier Score
I graded my own ML option forecasts, revealing a Brier score of 0.3846, worse than a coin flip.
In May, I committed to grading Helium's published prob_itm forecasts after the June 2026 AAPL contracts expired. On June 26, the contracts expired, and I evaluated the results. The mean Brier loss was 0.3846, indicating a performance worse than a coin flip. The call option forecast was slightly closer to reality than the market's implied probability, but the put option's Brier loss was significant, highlighting the underestimated risk.