Home/Experiments/Option Price Estimate/V9

V9: Next-Month Contract 9:30 Estimate

v92026-07-03159915.SZ August CallsDTE=54, K=3.6-4.8

Same as v7 but next-month (August) contracts. DTE=54 vs DTE=19. Tests how higher DTE affects 9:30 IV estimate accuracy — lower gamma, less near-expiry uncertainty, more time value.

Changelog:
v7 → Current month (July, DTE=19) v9 → Next month (August, DTE=54), same day, same methodology

Key finding: Next-month (DTE=54) has ~3x less IV drift than current-month (DTE=19): avg -1.6% vs -4.9%. But MAE is similar (0.0097 vs 0.0088) because lower gamma means IV changes move price less. OTM MAPE is dramatically better with next-month: K=4.8 goes from 32.6% → 14.1% error.

IV Skew: 9:30 vs End of Day (Next Month)

MAE by Strike (9:30 forecast all day, next month)

MAPE (%) by Strike — next month has much lower % error for OTM

IV Drift (9:30 → End) by Strike — much smaller than current month

IV Intraday Path (sampled strikes, next month)

v7 vs v9: Current Month vs Next Month (same day)

K	v7 MAE	v9 MAE	Ratio	v7 Drift	v9 Drift	v7 MAPE	v9 MAPE

All Strikes Detail (Next Month, DTE=54)

K	OTM%	9:30 IV	IV Drift	IV Range	MAE	MAPE	Delta	Gamma
3.6	-10.8%	23.0%	+4.7%	5.3%	0.0126	2.4%	0.879	0.467
3.7	-8.4%	26.2%	+1.7%	8.3%	0.0097	2.2%	0.793	0.584
3.8	-5.9%	31.5%	-3.9%	3.9%	0.0159	4.1%	0.698	0.593
3.9	-3.4%	30.1%	-1.3%	2.0%	0.0059	1.8%	0.637	0.666
4.0	-0.9%	31.9%	-2.4%	2.7%	0.0122	4.5%	0.566	0.659
4.1	+1.5%	31.7%	-2.0%	2.2%	0.0080	3.5%	0.499	0.673
4.2	+4.0%	32.9%	-2.6%	2.6%	0.0128	6.8%	0.439	0.641
4.3	+6.5%	32.5%	-2.0%	2.5%	0.0079	5.2%	0.377	0.625
4.4	+9.0%	33.3%	-2.6%	2.8%	0.0097	7.9%	0.325	0.579
4.5	+11.4%	33.5%	-2.5%	2.9%	0.0084	8.4%	0.276	0.534
4.6	+13.9%	33.6%	-2.2%	2.8%	0.0071	8.9%	0.232	0.486
4.7	+16.4%	34.4%	-3.0%	3.1%	0.0082	12.9%	0.198	0.433
4.8	+18.9%	34.6%	-3.1%	3.5%	0.0071	14.1%	0.165	0.384