{
  "version": "1.0",
  "north_star": [
    "A: Forecast realized variance (5–22d) and compare to model-free IV to harvest VRP.",
    "B: Model earnings IV ramp and post-release IV crush magnitude by ticker.",
    "C: Predict day-ahead IV surface via SVI parameters with no-arbitrage projection."
  ],
  "data": [
    "OptionMetrics IvyDB (US / Intraday) for cleaned IV & Greeks snapshots.",
    "Cboe DataShop Open–Close/EOD for microstructure-aware P&L and assignment logic.",
    "VIX methodology docs for 30d variance swap proxy and VRP construction."
  ],
  "theory": [
    "Stochastic & rough volatility inform features/priors (Heston; rough-vol evidence).",
    "SVI parameterization with butterfly/calendar no-arbitrage constraints.",
    "Risk-neutral density extraction (Breeden–Litzenberger) to monitor tails."
  ],
  "features": [
    "Surface: ATM IV by tenor, 25Δ skew, smile curvature, term slopes, VIX term spread.",
    "RV: daily/weekly/monthly realized vol; HAR components; optional GARCH(1,1).",
    "Risk premia: VRP at 7/30/90d; regime flags.",
    "Events & microstructure: days-to-earnings, historical crush size, OI/volume deltas, bid-ask width, Open–Close flow (where available)."
  ],
  "modeling": [
    "Baselines to beat: HAR-RV (RV), naive pre-earnings IV pattern, linear ΔIV models.",
    "Tabular GBMs for RV/ΔIV; temporal CNN/Transformer on (moneyness×tenor) time slices.",
    "Constrained outputs: predict SVI params, then project to arbitrage-free surface."
  ],
  "guardrails": [
    "No-arb projection on any predicted surface (SVI).",
    "Standardized input snapshots (e.g., 15:45 ET), filter stale/zero-volume quotes.",
    "Treat earnings windows as a separate regime."
  ],
  "evaluation": [
    "RV: QLIKE/MSE vs HAR-RV at 5/10/22d horizons.",
    "Surface: loss on SVI params + no-arb penalty; risk-neutral tail metrics.",
    "Strategies: walk-forward P&L on simple rules (30–45 DTE 20Δ spreads; condors) with fees/slippage & assignment."
  ],
  "sprints": [
    "Sprint 1 – RV & VRP: labels, model-free IV, VRP regimes; benchmark vs HAR/GARCH.",
    "Sprint 2 – Earnings IV: pre-ramp & crush maps by ticker/sector; event playbook.",
    "Sprint 3 – Surface Tomorrow: day-ahead SVI with no-arb; evaluate vs verticals/condors."
  ],
  "risks": [
    "Leakage → strict timestamping; inputs from fixed snapshot for next-day only.",
    "Microstructure artifacts → spread/volume/OI filters.",
    "Overfitting → cross-ticker & walk-forward splits; mega-cap vs others."
  ]
}