Options Research
A self-contained research hub for building a predictive options engine—kept separate from market code.
Research Roadmap v1
Scope & Guardrails
- Targets: Realized Variance (RV), Earnings IV dynamics, day-ahead IV surface (SVI).
- Data: OptionMetrics IvyDB, Cboe DataShop (Open-Close/EOD), VIX methodology docs.
- Models: HAR-RV/GARCH baselines; GBM/boosting for ΔIV; constrained SVI outputs.
- No-arb projection on predicted surfaces; standardized snapshots (e.g., 15:45 ET).
- Evaluation maps to P&L with fees/slippage & assignment logic.