IV Backtest
Delta-neutral diagonal grid backtests — IV contango, term structure, and hit rate analysis.
V7: Cross-Strike 9:30 Estimate
Single day, all July call strikes. At 9:30, snapshot each contract's IV. Forecast BSM price all day. Shows which strikes have biggest error, how IV drift differs by moneyness.
V9: Next-Month Contract 9:30 Estimate
Same as v7 but next-month (August) contracts. DTE=54 vs DTE=19. Tests how higher DTE affects 9:30 IV estimate accuracy — lower gamma, less near-expiry uncertainty, more time value.
V10: Full Diagonal Grid (All Months)
All near-far month combos (5 months = 10 pairs), CC and PP only (only same-type can cancel delta with options). No underlying hedge. Tests which month pair and strike combo gives best natural delta neutrality.
V14: M1-M4 Term Structure Diagonal Grid
Delta-neutral diagonal grid across all month-pair combinations (M1-M4). Tests which term structure pair × option type × IV regime works best. PP+contango M2→M4 = 87% hit rate. Backwardation: flip the trade.