V6: Best Time of Day

v6Jun 1 - Jul 7, 2026159915.SZ Call K=4.0Rolling v4

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.

Changelog:
v4 → Rolling single ATM IV, one day v6 → Same v4 method, 20 trading days, aggregate by time-of-day to find when forecasts are most accurate

Best Time

14:59:00

Best Avg MAE

0.0005

Worst Time

09:30:00

9:30 Avg MAE

0.0062

Days Tested

Improvement vs 9:30

+92%

Average MAE by Time of Day

Best Checkpoint Time per Day

DTE vs Accuracy (9:30 vs Best)

Daily Detail

Date	9:30 MAE	Best MAE	Best Time	Improve	DTE	9:30 IV
20260602	0.0015	0.0003	14:54:00	+80%	22	25.6%
20260603	0.0075	0.0006	14:59:00	+92%	21	25.1%
20260604	0.0033	0.0002	14:54:00	+94%	20	24.4%
20260608	0.0051	0.0001	14:54:00	+98%	16	29.5%
20260609	0.0048	0.0001	14:59:00	+98%	15	26.8%
20260610	0.0042	0.0003	14:29:00	+93%	14	26.1%
20260611	0.0019	0.0001	14:59:00	+95%	13	27.7%
20260612	0.0064	0.0003	14:54:00	+95%	12	24.4%
20260615	0.0098	0.0001	14:59:00	+99%	9	28.9%
20260616	0.0200	0.0005	14:59:00	+98%	8	19.5%
20260617	0.0037	0.0004	14:59:00	+89%	7	26.8%
20260625	0.0070	0.0006	14:54:00	+91%	27	29.9%
20260626	0.0079	0.0005	14:59:00	+94%	26	29.4%
20260629	0.0028	0.0002	14:54:00	+93%	23	33.7%
20260630	0.0101	0.0010	14:54:00	+90%	22	33.7%
20260701	0.0024	0.0008	14:59:00	+67%	21	29.6%
20260702	0.0049	0.0002	14:59:00	+96%	20	32.8%
20260703	0.0093	0.0005	14:59:00	+95%	19	35.7%
20260706	0.0068	0.0005	14:49:00	+93%	16	34.7%
20260707	0.0045	0.0004	14:29:00	+91%	15	33.9%