OPEN · BTC-27MAY26-66000-C / 70000-C calendar
BlackScholes Vol-Arb on BTC · regime VOL_BLOWOFF · decided in 42.01 ms of a 100 ms budget.
Model snapshot at decision time
SleeveCR.3 — BlackScholes Vol-Arb
Decided at2026-05-20T13:30:01.000Z
UnderlyingBTC
Spot$64,800.00
IV percentile 90d92.0%
IV–RV spread3,100 bps
RegimeVOL_BLOWOFF
Confidence81.0%
Expected edge290 bps
Expected payoff$18,900
Capital at risk$65,000
Latency budget100 ms
Decided within42.006 ms
Rationale tree · 2 of 2 rules fired
CR3.IV_RICH_EXTREMEweight 50% · v1.1
iv_percentile_90d >= 0.9 (obs 0.92)
IV percentile 0.92 ≥ 0.90 extreme threshold; sell front-month vol
CR3.GAMMA_NEUTRAL_HEDGEweight 30% · v1.1
delta_after_hedge abs <= 0.05 (obs 0.02)
Structure leaves sleeve delta ±0.02 after hedge; flat
Resulting order intent
SELL · 1 · BTC-27MAY26-66000-C / 70000-C calendar
Side
SELL
Qty
1
Limit
$410.00
Fill
$410.00