OPEN · ETH-27MAY26-3360-C
Covered-Call Recycler on ETH · regime LOW_VOL_COMPRESSION · decided in 18.74 ms of a 5000 ms budget.
Model snapshot at decision time
SleeveCR.2 — Covered-Call Recycler
Decided at2026-05-20T14:30:12.000Z
UnderlyingETH
Spot$3,200.00
IV percentile 90d84.0%
IV–RV spread2,400 bps
RegimeLOW_VOL_COMPRESSION
Confidence78.0%
Expected edge240 bps
Expected payoff$12,400
Capital at risk$85,000
Latency budget5000 ms
Decided within18.742 ms
Rationale tree · 4 of 4 rules fired
CR2.SELL_CALL_WHEN_IV_RICHweight 40% · v1.4
iv_percentile_90d >= 0.8 (obs 0.84)
IV percentile 0.84 ≥ 0.80 threshold; premium-rich vs 90d distribution
CR2.IV_RV_SPREAD_POSITIVEweight 25% · v1.4
iv_rv_spread_bps >= 1500 (obs 2400)
IV–RV spread of 2400 bps exceeds 1500 bps; implied compensates realised
CR2.REGIME_GATEweight 20% · v1.4
regime in ["LOW_VOL_COMPRESSION","RANGE_BOUND"] (obs LOW_VOL_COMPRESSION)
Regime LOW_VOL_COMPRESSION matches sleeve playbook
CR2.RISK_BUDGETweight 15% · v1.4
capital_at_risk_pct <= 0.1 (obs 0.071)
€85k notional is 7.1% of sleeve NAV; under 10% cap
Resulting order intent
SELL · 2 · ETH-27MAY26-3360-C
Side
SELL
Qty
2
Limit
$42.50
Fill
$42.50