Insights

The Lock-Up Expiration Framework

Alphanume Team · March 15, 2026

Selecting and timing lock-up shorts.

Converting the lock-up expiration anomaly into a systematic strategy requires combining several inputs into a coherent selection-and-timing framework. The mechanics are repeatable: identify upcoming expirations, score them by structural strength, time entry, manage through expiration, and exit on schedule or signal.

The four-step framework

Step 1: Population identification. From a maintained lock-up calendar, identify all expirations scheduled in the forward 30-60 day window.

Step 2: Strength scoring. Apply quantitative filters to identify the highest-conviction subset.

Step 3: Entry timing. Establish positions on a defined schedule before expiration.

Step 4: Exit management. Close positions on a defined schedule or on confirmed thesis-invalidation signals.

Strength scoring inputs

For each candidate expiration:

Input	High-strength signal
Lock-up size / float	> 200%
Holder mix	Sponsor or event-driven PIPE concentration
Pre-expiration price action	Rally into expiration
Operating cash flow	Negative
Cash runway	< 18 months
Recent strategic announcements	Absent
Borrow availability	Available at < 50% annualized
Short interest	< 30% of float (avoid squeeze risk)

The intersection of high-strength signals produces a smaller, more concentrated candidate list with higher expected drift per name.

Entry timing

For a typical de-SPAC sponsor lock-up at 12 months:

T-30 days: Initial position established. Small size to start.
T-15 days: Scale up to target size if pre-event drift is developing as expected.
T-5 days: No new size addition. Borrow conditions are tightening; new locates are expensive.
Day 0: Hold through expiration.
Day +1 to +30: Monitor for realized distribution. Scale down if rally rather than drift develops.
Day +30 to +60: Standard exit window.

Position sizing

Concentration constraints:

Max per-name position: 1.5% of portfolio.
Max total lock-up sleeve exposure: 15-20% of portfolio.
Max concurrent expirations per week: ~5 to manage concentrated entry risk.
Scale per-name size with strength score and borrow availability.

Exit management

Exits by exception, not just by calendar:

Default exit: 30-60 days post-expiration.
Early exit on confirmed positive signal: Reduce or close on unexpected positive operational news.
Early exit on squeeze signal: Close on confirmed squeeze setup development (rising short interest, widening borrow, retail flow).
Early exit on insider non-selling: If post-expiration filings show low actual selling, the thesis is weakened; close.

What to monitor post-expiration

The post-expiration window has its own information stream:

Form 4 filings by named insiders. Realized selling by lock-up-eligible holders.
13G/13D filings. Crossing of ownership thresholds — often reflects post-unlock distribution.
Prospectus supplements in cases where the unlocked shares are being sold under registered offerings.
Volume patterns. Sustained elevated volume in days/weeks post-expiration confirms realized distribution.

These provide real-time evidence of the thesis playing out — or not.

Failure-mode awareness

Standard lock-up short failure modes — see lock-up short failure modes — should be incorporated as filters or sizing adjustments:

Squeeze-risk names: down-weight or exclude.
Names with imminent positive scheduled catalysts: avoid.
Names with very small float (post-redemption de-SPACs): tighter position sizing.

The implementation infrastructure

Required data:

Comprehensive lock-up calendar across IPO + de-SPAC + PIPE universe.
Locked-up share counts by holder category.
Float and ADV data point-in-time.
Borrow availability and cost data.
Quarterly financial data for runway and burn analysis.

Alphanume's Dilution Events dataset provides the lock-up and structural-event components of this stack.