Option Price Estimate
BSM price prediction accuracy tests — track how well the model predicts option prices intraday.
V1: BSM Constant IV
At 9:30, calculate BSM price estimates using constant IV from market open. Track actual 1-min prices all day. Shows where BSM holds and where it breaks down (IV drift, time decay).
V2: BSM with IV Skew
At 9:30, fetch all call strikes and build IV skew curve. Use strike-appropriate IV (interpolated) instead of constant IV. Compares v1 vs v2 prediction accuracy.
V3: Multi-Day Estimator Error
Run v1 (constant IV) and v2 (IV skew) estimators across 25 trading days. Daily error stats, trend analysis, which approach wins on which days.
V4: Rolling IV Re-calibration
Re-snapshot ATM IV every 5 minutes, compute new forecast, compare against rest of day. Track IV drift: forecast IV vs actual IV over time.
V5: Rolling IV Skew
Like v4 but rebuilds the full IV skew curve at each checkpoint. Compares v4 (single IV) vs v5 (skew IV) with rolling re-calibration.
V6: Best Time of Day
Run v4 (rolling ATM IV) across 20 trading days. Aggregate MAE by time-of-day to find when forecasts are most accurate. Also tracks DTE vs accuracy.
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.