V1: BSM Constant IV
v12026-07-03159915.SZ Call K=4.0±5%
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).
Changelog:
v1 → Constant IV from ATM contract — ignores volatility skew
v1 → Constant IV from ATM contract — ignores volatility skew
9:30 IV
0.0%
Day MAE
0.0114
Day RMS
0.0123
Minutes
242