NO_OP · —
BlackScholes Vol-Arb on BTC · regime VOL_BLOWOFF · decided in 32.42 ms of a 100 ms budget.
Model snapshot at decision time
SleeveCR.3 — BlackScholes Vol-Arb
Decided at2026-05-23T21:48:26.019Z
UnderlyingBTC
Spot$64,240.42
IV percentile 90d47.3%
IV–RV spread1,011 bps
RegimeVOL_BLOWOFF
Confidence30.0%
Expected edge—
Expected payoff$1,909
Capital at risk—
Latency budget100 ms
Decided within32.421 ms
Rationale tree · 1 of 2 rules fired
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
CR3.IV_RICH_EXTREMEskipped · v1.1
iv_percentile_90d >= 0.9 (obs 0.4732)
IV percentile 0.47 < 0.90 extreme threshold
Resulting order intent
BUY · 0 · —
Side
BUY
Qty
0
Limit
—
Fill
pending