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Expiry containment
—
finish inside range
No-touch proxy
—
path remains inside
Touched + recovered
—
left range, expired inside
Lower / upper breach
—
expiry tail split
Effective N
—
adjusted / raw sample
Horizon σ
—
expiry-return std. dev.
02 / FRIDAY 0DTE DESK00:00 → 08:00 UTC · HOURLY-CLOSE PROXY
Session statistics and applied research range
ENTRY DELTA → PUT / CALL STRIKES
Compare evidence and selection rules
| SELECTION | PUT / CALL RULE | TRAIN / VALIDATE / TEST N | TEST CONTAINMENT | TEST OPTION / BTC RETURN | TEST COMBINED RETURN | TEST WORST-5% MEAN |
|---|
IMPORT HISTORICAL PREMIUMS FOR PROFIT COMPARISON
No option premiums loaded.
Use a JSON object with convention: "usd-linear-per-btc", pricingBasis: "executable-bid", a nonempty source, and a rows array. Every row requires UTC ISO strings entryTime, expiryTime and numeric entrySpot, expirySpot, putStrike, callStrike, putPremium, callPremium, putCosts, callCosts, putTarget, callTarget. Targets are positive absolute deltas from 0.01 to 0.49. Premiums must be executable entry bids—not marks or theoretical mids. Total costs must include the applicable entry and expiry/close fees plus estimated slippage, in USD per 1 BTC on each leg. Put/call strikes must bracket entry spot. Include every tested target pair for the same sessions. Raw inverse/BTC-quoted contracts require venue-correct conversion before import; booked P&L across currencies must not be naively normalized.
Only sessions matching the current price-data entry/expiry marks, lookback and regime are used. Candidate policies are grouped by their target pair. All candidates use the intersection of available sessions; minimum 30 training, 10 validation and 10 final holdout sessions. Imported prices must agree across candidates for each session. Source labels are user-supplied, not independently verified. Quotes stay in memory for this page session. No demo premiums are substituted.
Adjustable entry targets inspired by Deribit’s weekend study. Continuous Black–Scholes USD spot-delta estimates using manual IV/rate, not available exchange strikes or quotes. Applying transfers percentage distances to price-range research; it does not select historical contracts by delta. Historical Cases keeps its own volatility-source setting.
Actual Deribit delivery uses the 07:30–08:00 UTC index TWAP. This dashboard only has hourly BTC closes, so expiry containment is evaluated with the last completed 1H close before 08:00 UTC. Treat this as a historical price-range proxy, not exact exchange settlement replication.
02B / LIVE SESSION MONITORPUBLIC BTC MARKET FEED · NO API KEY
Separation rule: live BTC is used only for current-session monitoring, current dollar strikes, payoff/Greeks and preview values. Historical containment, calibration, walk-forward, holdout, distributions and regime statistics continue to use repository history only. Live feed is Binance BTCUSDT as a market reference, not the Deribit index or settlement TWAP.
03 / EXPIRY RETURN DISTRIBUTION
EMPIRICALNORMAL
04 / DESCRIPTIVES + DIAGNOSTICSSPSS-LIKE SUMMARY
05 / BREACH & PATH RISKWHAT HAPPENS WHEN THE RANGE FAILS?
05B / UNDERWRITING & CAPITALHYPOTHETICAL CREDIT · FULLY BACKED
Scenario accounting only. Historical option bids, fills, fees, slippage and broker margin are not reconstructed.
HYPOTHETICAL SEQUENTIAL PERFORMANCE
06 / WALK-FORWARD OUT-OF-SAMPLENO FUTURE DATA IN TRAINING
Each historical entry estimates its range only from trades whose expiry occurred before that entry. Minimum training sample: 20.
07 / CALIBRATIONTARGET VS OBSERVED WALK-FORWARD CONTAINMENT
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08 / ROLLING STABILITY52-TRADE ROLLING CONTAINMENT
09 / REALIZED VOL REGIMECURRENT MARKET CONTEXT
10 / STRIKE-DISTANCE HEATMAP
CLICK CELL TO APPLY
11 / DAY-OF-WEEK STUDYSAME RANGE + HORIZON
| ENTRY DAY | N | CONTAINMENT | NO-TOUCH PROXY | LOWER | UPPER |
|---|
12 / HORIZON × RANGE SURFACESYMMETRIC DISTANCE
13 / FRIDAY ENTRY-TIME SENSITIVITYSAME EXPIRY · SELECTED RANGE · 1H CLOSE PROXY
| ENTRY UTC | HOLD | N | CONTAINMENT | Δ VS BASE | HAC 95% CI | NO-TOUCH PROXY | σ | 5TH / 95TH |
|---|
Containment differences use matched expiries and a Newey–West interval, so nearby entry rules are compared as paired policies rather than independent samples.
14 / DERIBIT-STYLE WEEKEND BENCHMARKPRICE-BEHAVIOR CONTROL · NO OPTION P&L
Control experiment inspired by Deribit Insights: compare your Friday 00:00→08:00 0DTE session with Friday 16:00→Sunday 08:00 (~40h). Same BTC price history and selected percentage range; no historical delta, premium, fees, slippage, APR, or option P&L is inferred. Original study · Revisited.
15 / REQUIRED RANGE LADDERHOW WIDE DID BTC HISTORICALLY NEED?
| TARGET | 0DTE EQUAL-TAIL | 0DTE MIN-WIDTH | 0DTE SYMMETRIC | WEEKEND SYMMETRIC |
|---|
Symmetric width is the empirical percentile of |return|. For a price-only short straddle proxy, this is also the historical breakeven half-width required to contain that fraction of expiries.
16 / PARAMETER ROBUSTNESSENTRY TIME × RANGE WIDTH
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17 / HOLDOUT + TAIL CONCENTRATIONREVISITED-STYLE STABILITY CHECK
18 / HYPOTHETICAL STRUCTURE PAYOFF1 BTC NOTIONAL · SHARED CREDIT
19 / MODEL STRUCTURE GREEKSBLACK-SCHOLES · BACKING INCLUDED
NET Δ
—
NET Γ
—
NET Θ / DAY
—
NET VEGA / 1 VOL
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SHORT PUT STRIKE
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SHORT CALL STRIKE
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SHARED CREDIT
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STRUCTURE BREAKEVEN
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CAPITAL STRUCTURE
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DECLARED CAPITAL
—
Greeks use live BTC when available, fixed entry-anchored strikes, manual IV/rate, and remaining time. Long BTC is included for fully backed mode; protective long wings are included for defined-risk mode.
20 / HISTORICAL CASES—
RV uses 30 daily log returns from 31 consecutive completed daily bars, annualized with √365. Daily timestamps are treated as bar starts; a close is available only after that day ends. RV substitutes for IV; it is not historical option IV. Current/live Greeks still use manual IV.
| ENTRY | ENTRY BTC | PUT / CALL STRIKE | ENTRY VOL / SOURCE | PUT Δ SHORT / LONG | CALL Δ SHORT / LONG | ENTRY NET Δ | EXPIRY | RETURN | LOW / HIGH | PATH MIN / MAX | FIRST TOUCH | BREACH | RESULT | SCENARIO OPTION P&L | BACKED RETURN |
|---|
20B / CUMULATIVE RETURN & TRADE ANALYTICSHYPOTHETICAL
SEQUENTIAL COMPOUNDED RETURN
100% reinvestment of declared capital; initial equity = 1. Idle cash earns zero.
COMPOUNDED EQUITY / DRAWDOWN
Expiry observations only; excludes intratrade mark-to-market losses.
RETURN ATTRIBUTION
Backed · Options · BTC backing. Return contributions under the selected reinvestment mode.
ROLLING 20-TRADE EXPECTANCY
Each point uses that expiry and the preceding 19 trades; per-trade mean ROI, not annualized.
TRADE RETURN DISTRIBUTION · FULL SAMPLE
Red = negative ROI; green = nonnegative ROI. All finite returns included; bins never cross zero. A high win rate can coexist with a severe left tail.
CALENDAR RETURNS & YEARLY TRADING STATISTICS
UTC expiry month/year. Calendar returns follow the selected calculation mode. Blank months have no selected trades. Partial periods are not annualized.
| YEAR | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | PERIOD RETURN | N | WIN RATE | MEAN ROI | ROI PF | WORST TRADE |
|---|
DRAWDOWN EPISODES · DEEPEST 10
Peak → trough → first recovered expiry. Duration is calendar time from peak to recovery, or last expiry if still open. Depth is positive loss from peak.
| PEAK (UTC) | TROUGH (UTC) | RECOVERY (UTC) | DEPTH | DURATION DAYS | UNDERWATER OBSERVATIONS |
|---|
STRIKE RANGE EXPLORERPRICE-ONLY · TRAIN FIRST, TEST LATER
Compare independently chosen put and call distances for the active session, lookback and regime. Each target selects the narrowest qualifying range on earlier observations; ties favor lower worst breach. Targets are alternatives, not an automatic recommendation.
| TRAIN TARGET | PUT / CALL DISTANCE | TRAIN CONTAINMENT | HOLDOUT CONTAINMENT | HOLDOUT NO-TOUCH | PUT / CALL BREACH | MEAN / WORST EXCESS | MEAN EXPIRY CLAIM | WALK-FORWARD | APPLY |
|---|
Excess is percentage points beyond the strike, averaged across all test sessions / worst session. Claim is short-leg intrinsic liability as % of entry BTC, before premium, backing P&L and fees; it is not a return. No-touch uses the available measured path. Walk-forward reselects on earlier expired sessions every 13 test entries, using only sessions expired before that block starts. No quoted premiums: no profit ranking or optimal delta is claimed. Repeatedly tuning against the holdout makes it a validation set, not fresh evidence.
HOW TO USE THIS FOR CSP + CC
Look for acceptable unseen containment and tail severity across several targets and nearby grid settings. A wider range may collect too little premium. CSP evaluates only the put; covered mode evaluates both option strikes while keeping BTC holding P&L separate. Defined-risk wings are excluded from this short-strike diagnostic. Applying a row sets a fixed strangle range for exploration; other panels then show a retrospective fixed-range scenario. Historical option bid/ask, available strikes, IV, fees and contract conventions are still required to compare delta targets by net returns.
RESEARCH NOTEBOOKSAVED EXPLORER EXPERIMENTS
Save targets, settings, sample dates and validation results before trying another setup. Up to 12 snapshots are kept in this browser. Clearing browser data removes them.
| EXPERIMENT / SAVED UTC | SESSION / STRUCTURE | SAMPLE UTC / N | TARGET | PUT / CALL | HOLDOUT | WALK-FORWARD | WORST EXCESS | ACTIONS |
|---|
Saved results are frozen; Restore settings recalculates against currently loaded data. Compare matching sessions, sample dates and sample IDs. A matching ID helps detect changes but is not a cryptographic integrity proof. Looking repeatedly at holdout results adds selection bias. Results measure BTC price behavior, not option profitability.
DESIGN REFERENCE
Independent browser implementation inspired by QuantDinger's experiment workflows and bounded backtest caching. No QuantDinger source, frontend assets, services or trading integration are bundled.
21 / RESEARCH REPORTAUTO-SYNCED TO CURRENT CONTROLS
00 / START HERE
A field guide to every control, number, chart, and limitation.
This terminal studies BTC range behavior for short-premium research: where price finished, whether its measured path stayed between the selected boundaries, and how stable those observations were through time. It does not reconstruct a historical option chain or promise that a displayed containment rate was tradable at a profitable premium.
No matching index entry. Try a broader term such as “range,” “risk,” “vol,” or a panel number.
THE FOUR DATA BOUNDARIES
Keep these layers separate when interpreting a result.
HISTORICAL EVIDENCE
Repository BTC prices produce entry-to-expiry returns, containment, path proxies, regimes, distributions, and validation tests.
LIVE CONTEXT
Public Binance BTCUSDT supplies a current market reference, dollar strikes, countdowns, payoff markers, and current model Greeks.
USER SCENARIO
Credit, IV, interest rate, wing width, and capital structure are assumptions you enter—not recovered historical quotes.
NOT MODELED
Historical bid/ask, skew surface, fills, fees, slippage, funding, exact Deribit settlement TWAP, and broker-margin survival.
QUICK READING ORDER
A disciplined route from setup to conclusion.
STEP 1 / DEFINE
Choose the session and range. Start with Friday 0DTE, then set strangle distances or a straddle credit-defined band.
STEP 2 / COUNT
Read containment and no-touch together. Their gap shows how often expiry alone hides an interim boundary touch.
STEP 3 / INSPECT TAILS
Check breach severity. A high win rate can coexist with a few very large escapes beyond the selected boundary.
STEP 4 / CHALLENGE
Use walk-forward, calibration, holdout, and robustness. Prefer ideas that survive time and nearby settings.
STEP 5 / PRICE SCENARIO
Only then inspect payoff and capital. Treat the supplied credit and IV as scenario inputs, not historical evidence.
STEP 6 / REPORT
Finish at panel 21. Kid Mode translates the result; Quant Mode exposes diagnostics, flags, and scope limits.
PANEL DIRECTORY / SETUP + MAIN READOUT
Click a card to jump into that part of the terminal.
PANEL DIRECTORY / DISTRIBUTION + LOSS SHAPE
What the sample looked like and how the range failed.
PANEL DIRECTORY / VALIDATION
Tests whether the attractive number survives without hindsight.
PANEL DIRECTORY / RANGE DESIGN + ROBUSTNESS
Explore nearby policies instead of trusting one hand-picked setting.
PANEL DIRECTORY / MODEL + AUDIT TRAIL
Translate the range into a declared scenario, then inspect every case.
CONTROL REFERENCE
What changing each input actually changes.
OPEN CONTROL DICTIONARY
RESEARCH PRESET
Chooses the session builder: Friday 0DTE, weekend benchmark, custom same-day intraday, or multi-day research. It changes eligible timestamps and holding period.
STRATEGY INTERPRETATION
Strangle treats the lower and upper percentages as OTM strike distances. Straddle anchors both strikes at entry spot and uses the hypothetical credit as the ± breakeven band.
ENTRY / EXPIRY MARK UTC
Requested session clock marks. Historical tests use the last completed intraday observation before each mark, preventing a future bar from leaking into the test.
EVALUATION LOOKBACK
Limits the scored sample to recent years or all available data. Shorter windows are more current but have fewer observations and wider uncertainty.
REGIME FILTER
Keeps entries matching volatility percentile, 200-day trend, 30-day momentum, or drawdown state known before entry. Narrow filters can create small samples.
STRIKE RANGE METHOD
Manual uses your distances. Equal-tail allocates misses to both tails. Minimum-width finds the narrowest zero-spanning empirical interval that covers the target sample share.
TARGET CONTAINMENT
Coverage requested from an empirical auto-range. It is an in-sample construction target here; panel 07 checks whether walk-forward observations achieved it.
PUT / CALL STRIKE DISTANCE
Percentage from entry anchor to each short strike. Put distance is negative; call distance is positive. These are strike locations, not premium-adjusted breakevens.
WALK-FORWARD TRAINING WINDOW
Amount of already completed history available to each simulated decision. “All prior” expands over time; fixed windows forget older regimes.
WF MODEL / TARGET
Selects equal-tail or minimum-width estimation and its requested coverage for the no-lookahead walk-forward test.
BOOTSTRAP / BLOCK LENGTH
Controls uncertainty resampling. Moving blocks preserve short sequences of dependent observations; IID treats every observation as freely exchangeable.
CHRONOLOGICAL HOLDOUT
Reserves the latest 20–40% as unseen time. The range is fitted on the earlier portion, then evaluated on this later block.
HYPOTHETICAL NET CREDIT
Scenario premium as a percent of entry spot. The same input is repeated for every historical case; the app does not claim that credit existed in the market.
CAPITAL STRUCTURE
Fully backed uses one BTC for the call plus put-strike cash. Defined risk buys protective wings. CSP writes only the cash-secured put.
PROTECTIVE WING WIDTH
Distance from each short strike to its long option in defined-risk mode. Wider wings allow a larger maximum claim and require more declared capital.
MODEL IV ANNUALIZED
Manual implied-volatility input used for theoretical move, current Greeks, and historical entry-delta scenarios. It does not affect historical BTC returns or containment.
RISK-FREE RATE
Annualized rate in the Black–Scholes snapshot. For an hours-long horizon its numerical effect is usually small, but it remains an explicit assumption.
GLOSSARY / RANGE + OUTCOMES
The language used in the headline readout and case table.
OPEN CORE OUTCOME TERMS
0DTE
“Zero days to expiry.” Entry and expiry occur on the same UTC calendar day. The default study is Friday 00:00→08:00 UTC.
EXPIRY CONTAINMENT
Share of matching sessions whose expiry return finished between the selected lower and upper boundaries, inclusive. It is a terminal-location statistic—not an option win rate.
NO-TOUCH PROXY
Share whose measured intraday path never closed outside the range. With hourly-close data, moves between observations can be missed; it is not a tick-level barrier test.
TOUCHED + RECOVERED
BTC left the range on the measured path but returned inside by expiry. This exposes adjustment pressure hidden by terminal containment.
LOWER / UPPER BREACH
Fraction finishing below the put-side boundary versus above the call-side boundary. The split helps show directional tail asymmetry.
BOUNDARY EXCESS
How many percentage points an outside expiry traveled beyond the breached boundary. Example: −3% return against a −2% boundary equals 1 pp lower excess.
EFFECTIVE N
Raw observation count discounted for lag-1 dependence in the inside/outside sequence. It is a rough information-size diagnostic, not a replacement for full time-series modeling.
HORIZON / SESSION σ %
Sample standard deviation of entry-to-expiry percentage returns for matching sessions. It is not annualized unless explicitly labeled.
PERCENTAGE POINT (pp)
Absolute difference between percentages. A change from 70% to 75% is +5 pp, not +5% relative growth.
ABSOLUTE MOVE |RETURN|
Directionless size of the entry-to-expiry return. A −3% and +3% return both have a 3% absolute move.
EQUAL-TAIL RANGE
Empirical interval with the uncovered probability divided equally between lower and upper tails. It can be asymmetric in distance around zero.
MINIMUM-WIDTH RANGE
Narrowest observed return interval spanning zero that contains the requested fraction. It may place more uncovered cases in one tail.
GLOSSARY / STATISTICS + VALIDATION
How to read uncertainty, tail shape, and stability.
OPEN STATISTICAL TERMS
EMPIRICAL DISTRIBUTION
The observed historical returns themselves, without forcing a normal or other parametric shape.
HISTOGRAM
Counts returns inside value bins. Useful for clusters, asymmetry, multiple peaks, and unusually thick tails; appearance depends on bin width.
ECDF
Empirical cumulative distribution function: at each return, the share of observations less than or equal to it. Percentiles can be read directly.
NORMAL Q-Q
Plots observed quantiles against normal-theory quantiles. A straight diagonal is normal-like; curved or extreme departures flag skew or heavy tails.
MEAN / MEDIAN
Mean is the arithmetic average and is tail-sensitive. Median is the middle observation and is more resistant to extreme sessions.
SKEWNESS
Standardized asymmetry. Negative values indicate a longer/heavier downside tail; positive values indicate the upside tail dominates.
EXCESS KURTOSIS
Tail weight and peakedness relative to a normal distribution, whose excess kurtosis is zero. Positive values often signal more extreme observations.
JARQUE–BERA / JB P-VALUE
Normality diagnostic based on skewness and kurtosis. A small p-value argues against normality; dependence can make the textbook p-value optimistic.
ACF(1)
Lag-1 autocorrelation. Return ACF measures directional persistence; |return| and return² ACF help reveal volatility clustering.
WILSON 95% CI
Binomial confidence interval for terminal containment. It behaves better than the simple normal approximation, especially with modest samples or extreme rates.
SCENARIO MEAN ROI 95% CI
Percentile uncertainty interval for mean hypothetical backed ROI per session. Uses the Bootstrap and Block length controls and 5,000 seeded resamples; not an observed options return or PyBroker BCa metric.
RESAMPLED MAX DD · P95
95th percentile of maximum drawdown across same-length resampled expiry-equity paths. Disabled when trades overlap or capital can be exhausted. A scenario stress diagnostic, not a future loss limit.
BOOTSTRAP 95% CI
Re-estimates containment across 5,000 deterministic resamples. Moving-block mode preserves local ordering; it still cannot recreate unseen market regimes.
±2σ TAIL MULTIPLIER
Observed share beyond two sample standard deviations divided by the normal benchmark of about 4.55%. Above 1× means more such extremes than normal theory expects.
WALK-FORWARD OUT-OF-SAMPLE
At each historical entry, the model trains only on observations whose expiries already occurred. This blocks direct future leakage.
CALIBRATION
Agreement between requested and observed walk-forward containment. An 80% target that contains 72% has a −8 pp calibration error.
ROLLING STABILITY
Repeats the score through moving 52-trade windows. A wide min-to-max span shows strong time dependence even if the full average looks attractive.
CHRONOLOGICAL HOLDOUT
Fits on an earlier period and evaluates once on the latest reserved period. Unlike random splitting, it respects market time order.
NEWEY–WEST / HAC 95% CI
Confidence interval for matched policy differences that adjusts standard errors for heteroskedasticity and short-lag autocorrelation.
ROBUSTNESS SPAN
Highest minus lowest containment across nearby entry-time and boundary-width settings. Smaller suggests less sensitivity to one exact parameter choice.
TAIL CONCENTRATION SHARE
Fraction of total boundary excess caused by the largest one, three, or five breach events. High concentration warns that a few sessions dominate risk.
REGIME FILTER
Conditional slice defined using information available before entry. Useful for context, but repeated filter hunting raises selection-bias risk.
GLOSSARY / OPTIONS + CAPITAL
How the hypothetical underwriting layer is constructed.
OPEN OPTIONS AND RISK TERMS
SHORT STRANGLE
Short OTM put plus short OTM call with different strikes. The strike band is narrower than the premium-adjusted expiry profit band because received credit extends breakevens.
SHORT STRADDLE PROXY
Short put and call at the entry anchor. Because historical option premium is absent, the user-supplied net credit defines the assumed ± expiry breakeven band.
OTM
Out of the money: put strike below spot or call strike above spot at entry. OTM does not mean safe or guaranteed to expire worthless.
NO-CLAIM CORRIDOR / RATE
Price interval where terminal intrinsic claim on the short option layer is zero, and the fraction of historical expiries landing there.
OPTION-LAYER BREAKEVEN
Short-strike boundary adjusted outward by the shared credit. It describes the modeled short-option layer, not necessarily the combined backed structure.
OPTION SURPLUS
Hypothetical credit minus terminal net intrinsic claim. It omits historical mark-to-market path, fills, and transaction costs.
FULLY BACKED
One BTC backs the short call and cash equal to the put strike backs assignment. The displayed backed P&L includes the BTC leg.
DEFINED RISK / PROTECTIVE WINGS
Long farther-OTM put and call cap the option structure’s terminal claim. Declared capital is the larger wing width per one-BTC notional.
CASH-SECURED PUT (CSP)
Only the short put is modeled, with cash equal to its strike. The call is not written; the credit input is treated as put credit.
BACKED RETURN
Combined scenario P&L divided by declared capital. In fully backed mode it includes one BTC’s spot change; in defined risk it includes long-wing payoffs.
DECLARED CAPITAL
Normalizer used by the app: entry BTC plus put-strike cash for fully backed, maximum wing width for defined risk, or put strike for CSP.
CAPITAL EXCEEDANCE
A scenario where modeled backed loss is greater than declared capital. This diagnostic is not a broker liquidation or margin simulation.
CLAIM RAW SECOND MOMENT
Average squared claim-to-capital ratio, E[(claim/capital)²]. It penalizes large claims strongly but is not CVaR, VaR, or default probability.
WORST-5% BACKED
Mean of the worst 5% of modeled backed returns. It resembles an empirical tail-average scenario statistic but is conditional on hypothetical credit and expiry-only accounting.
DELTA (Δ)
Approximate dollar-value change for a $1 move in BTC under the current Black–Scholes snapshot. Net delta includes backing legs selected by capital mode.
GAMMA (Γ)
Rate at which delta changes as BTC moves. Short options usually contribute negative gamma; long wings contribute positive gamma.
THETA (Θ / DAY)
Modeled change in option value for one day passing, all else equal. It is a local snapshot and can be overwhelmed by BTC or IV changes.
VEGA
Modeled dollar-value change for a one-volatility-point rise in IV. Short options usually have negative vega; protective long wings offset part of it.
IMPLIED VOLATILITY (IV)
Market/model volatility input embedded in option prices. Here it is manual and affects only theoretical move and Greeks—not the historical sample.
REALIZED VOLATILITY (RV)
Annualized standard deviation estimated from historical BTC log returns over a stated window such as 7, 30, or 90 days.
MODEL IV / RV
Manual annualized IV divided by annualized realized volatility for the comparable session. It is context, not a complete volatility-risk-premium trade signal.
HAR-LIKE RV FORECAST
Transparent persistence forecast: 30% of RV5 + 40% of RV20 + 30% of RV60. The weights are fixed rather than fitted, and the current close-only source makes this a context estimate—not historical option IV.
INPUT IV − RV
Manual model IV minus the HAR-like close-to-close RV forecast, in volatility points. Because the IV is user-entered rather than an observed executable ATM quote, this is scenario context—not measured volatility-risk premium.
INPUT IV / RV
Manual model IV divided by the HAR-like close-to-close RV forecast. Values above 1 mean the input exceeds forecast RV; they do not prove that sellable volatility is rich after skew, spread, fees, and slippage.
EXECUTABLE-BID PRICING BASIS
Historical short-option entry premium must be the bid that could have been sold, not a mark or theoretical midpoint. Imported quote files declare
pricingBasis: "executable-bid"; costs must include applicable fees and estimated slippage.YANG–ZHANG UNAVAILABLE
Yang–Zhang volatility requires open, high, low, and close observations. The current daily source contains closes only, so the app degrades honestly to close-to-close RV instead of inventing missing range data.
GLOSSARY / DATA + TIMING
Exactly what the clocks and feeds mean.
OPEN DATA AND SESSION TERMS
ENTRY ANCHOR BTC
BTC reference used to convert percentage distances into fixed dollar strikes. During/after a session it prefers the session entry price; before entry it is a live preview.
LAST COMPLETED 1H CLOSE
Most recent repository intraday close strictly before the requested UTC mark. This avoids using a bar that had not finished at decision time.
DERIBIT DELIVERY TWAP
The actual 08:00 UTC settlement uses an index average over 07:30–08:00. This terminal does not reconstruct it; the prior completed hourly close is only a proxy.
LIVE BTC / PRICE AGE
Public Binance BTCUSDT reference and time since its last update. If unavailable or stale, the app falls back to the latest repository price.
PATH RESOLUTION
Frequency of observations used for no-touch and first-touch estimates. Hourly closes can miss intrabar extremes; multi-day studies may fall back to daily observations.
MODEL IV REMAINING MOVE
IV × √(remaining years), displayed as an approximate ± percentage move. It is a one-standard-deviation convention, not a forecast interval guarantee.
PROXY-SENSITIVE
Share of expiries within 0.25 percentage points of either selected boundary. A high rate means the hourly settlement approximation could flip more classifications.
REPOSITORY FALLBACK
When live market access is stale or unavailable, display-only live fields use the newest saved price. Historical tests always remain tied to repository datasets.
FINAL INTERPRETATION RULE: containment answers “where did BTC finish?”; no-touch answers “did the measured path remain inside?”; underwriting answers “what would this one assumed credit do at expiry?” None of those alone answers “could I repeatedly execute this trade after costs and survive broker margin?”