V2: BSM with IV Skew
v22026-07-03159915.SZ Call K=4.0±5%
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.
Changelog:
v1 → Constant IV from ATM contract v2 → IV skew interpolation — uses actual IV from each strike at 9:30, interpolates for target strike
v1 → Constant IV from ATM contract v2 → IV skew interpolation — uses actual IV from each strike at 9:30, interpolates for target strike
v1 MAE
0.0114
v2 MAE
0.0130
Improvement
-13.7%
Minutes
242