V7: Cross-Strike 9:30 Estimate
v72026-07-03159915.SZ All CallsK=3.4-4.8
Single day, all July call strikes. At 9:30, snapshot each contract's IV. Forecast BSM price all day. Shows which strikes have biggest error, how IV drift differs by moneyness.
Changelog:
v6 → Best time of day, single ATM strike v7 → Single day, ALL call strikes, cross-strike comparison of 9:30 estimate accuracy
v6 → Best time of day, single ATM strike v7 → Single day, ALL call strikes, cross-strike comparison of 9:30 estimate accuracy
IV Skew: 9:30 vs End of Day
MAE by Strike (9:30 forecast all day)
MAPE (%) by Strike — percentage error grows for OTM
IV Drift (9:30 → End) by Strike
IV Intraday Path (sampled strikes)
All Strikes Detail
| K | OTM% | 9:30 IV | IV Drift | IV Range | MAE | MAPE | Delta | Gamma |
|---|---|---|---|---|---|---|---|---|
| 3.4 | -15.8% | 26.5% | 0.0% | 8.7% | 0.0089 | 1.3% | 0.992 | 0.073 |
| 3.6 | -10.8% | 36.5% | -10.9% | 14.6% | 0.0099 | 2.0% | 0.887 | 0.474 |
| 3.7 | -8.4% | 35.3% | -6.4% | 7.4% | 0.0082 | 2.0% | 0.833 | 0.639 |
| 3.8 | -5.9% | 35.5% | -4.8% | 4.8% | 0.0090 | 2.8% | 0.754 | 0.800 |
| 3.9 | -3.4% | 36.1% | -4.9% | 4.9% | 0.0123 | 4.9% | 0.661 | 0.914 |
| 4.0 | -0.9% | 35.7% | -4.1% | 4.1% | 0.0114 | 6.0% | 0.564 | 0.994 |
| 4.1 | +1.5% | 36.2% | -4.5% | 4.5% | 0.0130 | 9.3% | 0.465 | 0.989 |
| 4.2 | +4.0% | 36.3% | -4.4% | 4.4% | 0.0121 | 12.1% | 0.371 | 0.938 |
| 4.3 | +6.5% | 36.5% | -4.0% | 4.0% | 0.0102 | 14.6% | 0.287 | 0.841 |
| 4.4 | +9.0% | 36.8% | -3.9% | 3.9% | 0.0084 | 17.6% | 0.216 | 0.719 |
| 4.5 | +11.4% | 37.4% | -4.0% | 4.0% | 0.0071 | 21.8% | 0.162 | 0.590 |
| 4.6 | +13.9% | 37.9% | -4.3% | 4.4% | 0.0057 | 26.6% | 0.118 | 0.470 |
| 4.7 | +16.4% | 38.6% | -4.0% | 4.1% | 0.0044 | 30.2% | 0.086 | 0.367 |
| 4.8 | +18.9% | 39.3% | -3.5% | 3.5% | 0.0033 | 32.6% | 0.062 | 0.282 |