- options_real_quote_check.py: fetches real weekly BTC put chain, measures premium
haircut (bid vs BS@DVOL-ATM), re-runs CSP sleeve with real haircut
- KEY FINDING (reverses a prior critique): backtest UNDER-prices the OTM put by using
ATM DVOL; real skew (+28% gross) exceeds the ~4% bid/ask spread -> real bid premium
= 1.29x modeled. Sleeve premium is conservative at current (calm) quotes.
- Real risk SHIFTS to the tail + roll-liquidity in stress (skew = market pricing fat
tail), not premium magnitude. Breakpoint: sleeve dies below ~70% premium capture.
- updated eval diary with the verification
- spot sleeve independently confirms our TP01 (12h vol-targeted trend); our multi-horizon
blend is slightly better (Sharpe 1.32 vs their 0.77 window / 1.07 full)
- options sleeve (75% weight) = the most promising lead to break the ~1.3 Sharpe ceiling
(adds VRP, a different return source) BUT priced on modeled IV (DVOL+BS, no real bid/ask,
ATM vol on OTM puts ignoring skew, tail under-modeled, leverage no funding, window bias)
-> headline blend Sharpe 1.21 must be discounted until validated on real option quotes
- next steps: real Deribit quotes/skew, crash-week stress, testnet paper trading
Adriano