Adriano Dal Pastro cf72e395d3 research(options): gamma scalping (long-vol) — SCARTATO ...

"Scalping BTC/ETH con copertura in opzioni" = gamma scalping, lo specchio
esatto del VRP01 (long straddle ATM + delta-hedge -> incassa RV-IV).

Esito: perde ogni anno / ogni variante / ogni frequenza (Sharpe -3 a -6).
Diagnostica strutturale: a 1d IV>=RV (paghi il VRP); a 1h RV>IV gross ma il
rehedge orario paga 24x la fee di hedge -> variante peggiore. Marginale vs TP01
= DILUTES, non e' nemmeno un hedge. Muro eseguibilita': opzione BTC min $5968 >> $600.

Schiacciato tra due muri: rehedge lento = premio, veloce = fee -> nessuna
frequenza vince. Il VRP01 (lato short, gated) resta l'unico edge opzioni.

- scripts/research/options_gamma_scalp.py (harness: naked/cheap/rich, 1d+1h, diagnostica RV-IV)
- tests/test_gamma_scalp.py (lock della conclusione)
- docs/diary/2026-06-26-gamma-scalp-options.md
- CLAUDE.md: riga nella sintesi di ricerca

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-26 18:36:48 +00:00

..

alt

harness(causality): guardia look-ahead + calendar-artifact self-policing nel lab intraday

2026-06-21 15:22:58 +00:00

blind

research(blind): 52 agenti ciechi su curve anonime BTC/ETH — orchestratore valuta PnL/maxDD, niente di nuovo regge

2026-06-21 07:05:04 +00:00

intraday

research(intraday): PREVDAY block-bootstrap -> coda-fortuna vs persistente (blocker #2/#3)

2026-06-21 19:56:11 +00:00

ortho

research(ortho): caccia all'ortogonale a TP01 — relative-value BTC/ETH reale ma NON deployabile (hedge mono-regime)

2026-06-21 12:35:48 +00:00

skyhook

feat(skyhook): SKH01-V2-DD — asymmetric %-exits cut standalone DD <30% (2-wave agent research)

2026-06-23 16:10:38 +00:00

xsec

research(xsec): sweep cross-sectional su Hyperliquid (43 script/257 config) + verifica avversariale

2026-06-20 21:36:57 +00:00

combo_leverage_sim.py

research(report): sim leva 1x/2x/3x combo vs TP01 (DD reale + margin-call), da 2k/5k

2026-06-23 12:44:54 +00:00

combo_protected_yearly.py

research(report): resoconto PROTETTO (soft-guard DD -4%) anno-per-anno -> combo + TP01 + GTAA singoli

2026-06-23 14:16:59 +00:00

combo_yearly_report.py

research(report): resoconto anno-per-anno combo/TP01/GTAA da $2k (PnL/MaxDD/NumTrades)

2026-06-23 12:37:23 +00:00

crypto_lead_harness.py

research(cross-market): sweep 65-agenti crypto->mercati IB -> fenomeno gap robustissimo ma NON edge

2026-06-22 22:32:28 +00:00

crypto_macro_leadlag.py

research(cross-market): crypto x mercati IB -> trovata ANTICIPAZIONE weekend-crypto -> lunedi' equity

2026-06-22 21:55:01 +00:00

crypto_overnight_equity.py

research(cross-market): "monitor Deribit/trade IB" gap = LOOK-AHEAD, edge tradabile ~0

2026-06-23 11:23:18 +00:00

crypto_overnight_honest.py

research(cross-market): "monitor Deribit/trade IB" gap = LOOK-AHEAD, edge tradabile ~0

2026-06-23 11:23:18 +00:00

crypto_weekend_signal.py

research(cross-market): crypto x mercati IB -> trovata ANTICIPAZIONE weekend-crypto -> lunedi' equity

2026-06-22 21:55:01 +00:00

eq_crypto_combo.py

research(equities): EQ-GTAA01 trend multi-asset + COMBO cross-mercato (diversifica il crypto)

2026-06-22 21:42:42 +00:00

eq_gtaa_trend.py

research(equities): EQ-GTAA01 trend multi-asset + COMBO cross-mercato (diversifica il crypto)

2026-06-22 21:42:42 +00:00

eq_sector_momentum.py

research(equities): EQ-MOM01 momentum settoriale -> NON batte SPY

2026-06-22 21:33:38 +00:00

eq_spy_trend.py

research(equities): EQ-TREND01 trend difensivo su SPY = edge difensivo REALE (analogo TP01)

2026-06-22 21:37:37 +00:00

eq_tp01_gtaa_combo.py

research(equities): valida combo DEPLOYABLE TP01+GTAA (le due gambe eseguibili)

2026-06-22 21:48:35 +00:00

eqlib.py

research(equities): apre il fronte azioni/ETF via IB — dati certificati + cache su disco

2026-06-22 21:29:11 +00:00

eu_overnight_deepdive.py

research(cross-market): oltre SP500 (bond/commodity/indici esteri) -> niente, artefatto di confine UTC

2026-06-23 12:12:16 +00:00

fetch_dvol.py

research: imposta sleeve OPZIONI VRP — infrastruttura + prima validazione (LEAD reale, non deploy)

2026-06-19 20:30:08 +00:00

fetch_hl_funding.py

research(funding-carry): FC01 cross-sectional su HL -> fragile, NON regge + infra IB paper

2026-06-22 20:56:18 +00:00

fetch_ib_equities.py

feat(combo): paper-trade cross-venue TP01 (Deribit) + GTAA (IB), forward-only

2026-06-23 12:26:51 +00:00

fetch_ib_futures.py

research(cross-market): oltre SP500 (bond/commodity/indici esteri) -> niente, artefatto di confine UTC

2026-06-23 12:12:16 +00:00

funding_carry_hl.py

research(funding-carry): FC01 cross-sectional su HL -> fragile, NON regge + infra IB paper

2026-06-22 20:56:18 +00:00

fut_leadlag_generic.py

research(cross-market): oltre SP500 (bond/commodity/indici esteri) -> niente, artefatto di confine UTC

2026-06-23 12:12:16 +00:00

fut_overnight_leadlag.py

research(cross-market): futures overnight non-sovrapposto -> edge ~0 su SP500, soffio su small-cap

2026-06-23 11:51:15 +00:00

ib_equities_probe.py

research(equities): apre il fronte azioni/ETF via IB — dati certificati + cache su disco

2026-06-22 21:29:11 +00:00

ib_probe.py

research(funding-carry): FC01 cross-sectional su HL -> fragile, NON regge + infra IB paper

2026-06-22 20:56:18 +00:00

options_gamma_scalp.py

research(options): gamma scalping (long-vol) — SCARTATO

2026-06-26 18:36:48 +00:00

options_real_quote_check.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

options_vrp_calibrate.py

research: calibra VRP su quote REALI cerbero-bite — f≈1.0 (non 1.29), lead DEBOLE confermato non-deploy

2026-06-19 20:38:54 +00:00

options_vrp_lab.py

research: imposta sleeve OPZIONI VRP — infrastruttura + prima validazione (LEAD reale, non deploy)

2026-06-19 20:30:08 +00:00

options_vrp_managed.py

research(xsec): sweep cross-sectional su Hyperliquid (43 script/257 config) + verifica avversariale

2026-06-20 21:36:57 +00:00

options_vrp_v2.py

research: analisi strategie FinanceOld + VRP v2 (defined-risk spread + gate IV-rank)

2026-06-20 11:16:59 +02:00

stops_lab.py

research(stops): SL classici vs soft-guard -> il soft-guard vince (lo SL duro whippa nel grind)

2026-06-23 13:09:43 +00:00

tail_hedge_lab.py

research(tail-hedge): protezione DD combo (incl. opzioni) -> vince la guardia-drawdown

2026-06-23 12:55:14 +00:00

trackA_trend.py

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

trackB_ml.py

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

trackC_meanrev.py

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

trackD_lookahead_audit.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

trackD_timing.py

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

trackD_trendport.py

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

trackE_xsec_ensemble.py

integra(TP01): merge ricerca branch strategy-research-2026-06 (squash) — strategia vincente + harness + track A-E

2026-06-19 18:55:04 +00:00

trackF_seasonality.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

trackG_prior_levels.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

trackH_volume_vol.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

trackI_momentum_reversal.py

research: porta artefatti da strategy-research-calendar (tracks F-I + eval crypto_backtest + lead OPZIONI/VRP)

2026-06-19 20:24:16 +00:00

wf_crypto_lead.js

research(cross-market): sweep 65-agenti crypto->mercati IB -> fenomeno gap robustissimo ma NON edge

2026-06-22 22:32:28 +00:00