NO_OP · —
BlackScholes Vol-Arb on BTC · regime RANGE_BOUND · decided in 45.22 ms of a 100 ms budget.
Model snapshot at decision time
SleeveCR.3 — BlackScholes Vol-Arb
Decided at2026-05-23T21:47:47.131Z
UnderlyingBTC
Spot$65,571.93
IV percentile 90d32.7%
IV–RV spread908 bps
RegimeRANGE_BOUND
Confidence30.0%
Expected edge—
Expected payoff$4,068
Capital at risk—
Latency budget100 ms
Decided within45.223 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 0.3268)
IV percentile 0.33 < 0.90 extreme threshold
Resulting order intent
BUY · 0 · —
Side
BUY
Qty
0
Limit
—
Fill
pending