V4: Rolling IV Re-calibration
v42026-07-03159915.SZ Call K=4.0Every 5 min
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.
Changelog:
v1 → Constant IV from ATM at 9:30 v2 → IV skew interpolation at 9:30 v3 → Multi-day backtest v4 → Rolling re-calibration: new forecast every 5 min with current IV
v1 → Constant IV from ATM at 9:30 v2 → IV skew interpolation at 9:30 v3 → Multi-day backtest v4 → Rolling re-calibration: new forecast every 5 min with current IV
Best Checkpoint
14:59:00
Best MAE
0.0005
9:30 MAE
0.0093
IV Drift
-9.0%