V3: Multi-Day Estimator Error

v3Jun 1 - Jul 7, 2026159915.SZ Call K=4.0v1 vs v2

Run v1 (constant IV) and v2 (IV skew) estimators across 25 trading days. Daily error stats, trend analysis, which approach wins on which days.

Changelog:
v1 → Constant IV from ATM contract v2 → IV skew interpolation across strikes at 9:30 v3 → Multi-day backtest: run v1 and v2 for each trading day

Days Tested

v1 Wins

20/25

v2 Wins

5/25

Avg Improvement

-59.6%

Daily MAE: v1 vs v2

v2 Improvement over v1 (%)

IV & DTE by Day

Daily Detail

Date	v1 MAE	v2 MAE	Improve	IV	DTE	Range
20260602	0.0025	0.0037	-48.0%	25.1%	50	3.4%
20260603	0.0143	0.0180	-26.3%	24.7%	49	3.6%
20260604	0.0046	0.0021	+55.0%	23.6%	48	1.4%
20260605	0.0018	0.0026	-43.7%	24.4%	47	4.2%
20260608	0.0081	0.0077	+5.1%	27.5%	44	3.2%
20260609	0.0093	0.0082	+11.8%	25.9%	43	3.4%
20260610	0.0068	0.0092	-36.7%	24.5%	42	2.7%
20260611	0.0029	0.0058	-102.3%	26.0%	41	3.9%
20260612	0.0068	0.0120	-77.5%	24.1%	40	2.3%
20260615	0.0133	0.0137	-3.1%	26.1%	37	4.7%
20260616	0.0193	0.0217	-12.8%	21.5%	36	2.1%
20260617	0.0026	0.0069	-164.5%	24.9%	35	2.6%
20260618	0.0040	0.0133	-229.3%	26.5%	34	2.0%
20260622	0.0131	0.0221	-68.8%	28.5%	30	3.2%
20260623	0.0029	0.0068	-132.3%	28.1%	29	4.4%
20260624	0.0132	0.0145	-10.3%	31.9%	28	2.2%
20260625	0.0081	0.0177	-117.8%	29.9%	27	3.2%
20260626	0.0066	0.0042	+36.3%	29.4%	26	3.3%
20260629	0.0030	0.0057	-91.4%	33.7%	23	3.6%
20260630	0.0116	0.0184	-58.8%	33.7%	22	3.3%
20260701	0.0033	0.0144	-344.2%	29.6%	21	3.1%
20260702	0.0036	0.0054	-47.2%	32.8%	20	4.0%
20260703	0.0114	0.0130	-13.7%	35.7%	19	3.1%
20260706	0.0090	0.0091	-1.3%	34.7%	16	3.9%
20260707	0.0067	0.0045	+32.3%	33.9%	15	2.8%