Checkmate borrows the architecture of the Stockfish chess engine — minimax search with alpha-beta pruning — and applies it to derivatives trading decisions. Instead of evaluating piece positions on a chessboard, the engine evaluates 40+ market variables (Greeks, vol surface, momentum, funding, carry) to score every available trade action. The highest-scoring action is the recommended move.
The engine uses an evaluation function with five weighted components: directional momentum, volatility structure, Greeks positioning, carry income, and tail risk. Component weights shift by regime — in a trending bull market, directional score carries 45% weight; in a vol expansion, Greeks positioning carries 30%. The output is an edge score in basis points analogous to Stockfish's centipawn score.
| Chess Concept | Checkmate Equivalent |
|---|---|
| Board state | 40+ market variables (Greeks, vol, MACD…) |
| Available moves | 25 trade actions (options / perps / spot / stETH) |
| Engine depth (ply) | Time horizon (1h → 4h → 1d → 1w → 1m) |
| Centipawn score | Edge score in basis points |
| Opening book | Regime playbooks (6 regimes) |
| Endgame tablebase | Known options payoff at expiry |
| Alpha-beta pruning | Prune dominated strategies early |
| Evaluation function | Direction + Vol + Greeks + Carry + Risk |
| Regime | Bias | Preferred Actions |
|---|---|---|
| Low Vol Compression | SHORT VOL | Sell straddle, sell strangle |
| Trending Bull | LONG DELTA | Buy call, buy stETH, sell put |
| Trending Bear | SHORT DELTA | Buy put, short perp |
| High Vol Expansion | LONG GAMMA | Buy straddle, covered call |
| Crisis | REDUCE RISK | Hold, buy put, reduce perp |
| Normal | NEUTRAL | Covered call, sell put, stETH |
| Condition | Signal | Action |
|---|---|---|
| Vol premium > +25 pts | SELL VOL | Sell straddle / strangle |
| Vol premium < -10 pts | BUY VOL | Buy straddle, long gamma |
| Gamma$ > $3,000 | HIGH GAMMA | Buy straddle, long vol |
| RSI > 70 + above EMA200 | BULL MOM | Buy call, buy stETH |
| IV > 150% or spot −15% 24h | CRISIS | Reduce risk, hold |
| Funding < stETH yield | CARRY | Buy stETH, covered call |
| Variable | Unit | Low | Base | High |
|---|
| Type | Strike | DTE | IV% | Dir | Qty | Price | Δ Delta | Γ Gamma | Θ Theta/d | ν Vega/1% | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Strategy | Annual Carry | Hedge Cost/yr | Net Yield | Break-even Move | Risk |
|---|
| Expiry | Strike | Type | IV% | IV Rank | Gamma$ | Theta/d | Vega/1% | θ/ν Ratio | Volume | Flag |
|---|