Continuous reconciliation
Market data, balances, positions, orders and fills are kept in sync with the exchange. The engine compares that information with its own records; unexplained discrepancies block new risk until they are resolved.
Options Strategy and Engine Status
The operating overview describes isolated accounts, ongoing exchange reconciliation and mandate-led execution. The wider strategy catalogue and historical research do not establish which strategies an account is authorised to trade.
System overview / Updated 27 October 2026
How the options system operates
Each managed account runs in an isolated trading environment with its own records, exchange connections and approved mandate. Account identity, permissions and live exchange balances are verified before trading can become ready, replacing static capital constants with reconciled account equity.
Deribit, Coincall dual-account and the OKX demo instance use venue-specific account and margin models. Reported mandates authorise specific long- and short-volatility structures including credit spreads, iron structures and long straddles; the broader 26-strategy catalogue remains a description of available designs rather than permission to trade every strategy.
Risk before entry
Portfolio exposure, volatility stress, margin, drawdown, market conditions and data freshness are checked throughout operation. A candidate must meet the account mandate and qualify after costs before it can enter.
Controlled order execution
Entries and exits use monitored limit orders, with repricing inside defined execution bounds. Order progress and fills are reconciled with the exchange. Limits can constrain execution; a fill at the intended price is not guaranteed.
Managed exits and hedges
Profit targets, loss limits, approaching expiry and risk-reduction decisions can trigger closing orders. The engine manages hedges and tracks each structure through its lifecycle, subject to the account mandate and available liquidity.
Operating modes follow risk conditions
- Normal: manage existing positions and assess qualifying new entries.
- Throttled: pause new structures while continuing to manage existing exposure, exits and hedges.
- Defensive: cancel pending entries and seek to reduce exposure when risk limits are breached.
- Halted or disabled: block trading activity when critical checks fail or the account is not enabled.
This is a summary of the latest reported system capabilities, not a live account audit. Account permissions, enabled strategies and operational readiness require separate confirmation. Controls cannot guarantee execution, uninterrupted operation or a maximum realised loss.
Profitability remains unproven. Engineering verification is not evidence of an investment edge.
Earlier strategy research
The V8.1 diagrams and 22-strategy matrix below are retained as historical research references. They are not an active deployment inventory and do not establish which structures an account may trade.
Five-Tiered IVR System & Market Regimes
Volatility Classification Framework
Visual representation of the five-tiered IVR system mapping to 10 distinct market regimes
IV Rank Thresholds
Calibrated for 2024-2025 volatility regime: 25%/35%/50%/65%/85%
VERY LOW
<25%
Long Vega
LOW
25-35%
Balanced
MEDIUM
35-65%
Premium Selling
HIGH
65-85%
Credit Spreads
PANIC
≥85%
Deep OTM
10 Market Regimes
Low IV (<35%)
low_iv_bullish
→ Long Call
low_iv_bearish
→ Long Put
low_iv_neutral
→ Calendar/Diagonal
Medium IV (35-65%)
medium_iv_bullish
→ Flying Wheel, Calendar
medium_iv_bearish
→ Bear Call, Protective Put
medium_iv_neutral
→ Iron Condor, Butterfly
High IV (65-85%)
high_iv_bullish
→ Bull Put Spread
high_iv_bearish
→ Bear Call Spread
high_iv_neutral
→ Iron Condor
Panic (≥85%)
high_iv_panic
→ Deep OTM Put Sale
Extreme fear-driven premium capture with automatic Flying Wheel transition on assignment
Decision Flow
Market Data
CME + Deribit
→
IV Rank Calc
5-Tier Classification
→
Bias Detection
Bullish/Bearish/Neutral
→
Regime Selection
1 of 10 Regimes
→
Strategy Execution
Automated Trade
Enhanced Decision Tree Process
V20.x Defined-Risk Strategy Selection Framework
Five-tiered IVR system with 10 market regimes, 5-minute cycles, TWAP hedging and fully autonomous execution — all strategies defined-risk
0. Alpha Centre & Bias Calculation
GEX & Gamma Wall Levels: Market maker positioning analysis for volatility prediction and strike selection
Aggregated Funding Rate Sentiment: Multi-exchange funding rate analysis with contrarian signal processing for extreme readings
VPIN Toxicity Scoring: Volume-synchronised probability of informed trading for flow quality assessment
Options Max Pain & Fear/Greed: Contrarian signals trigger bias adjustments when sentiment reaches extremes
0.5. Pre-Execution Analysis & Market Timing
Real Greeks Integration: Fetch exchange Greeks (Delta/Gamma/Theta/Vega) with Black-Scholes fallback for ±0.001 precision
Market Microstructure Analysis: Bid/ask spread filtering, volume profile assessment and liquidity health validation
Structure Registry Scan: Full structural audit detecting existing spreads, calendars, orphans and excess positions
Hedge Convergence Gate: Blocks new structure entry until delta converges below threshold for 3 consecutive reads
1. Enhanced Position Management
Real-time portfolio Greeks tracking: Monitor total Delta ($-exposure), Gamma (acceleration risk), Theta (daily decay) and Vega (vol sensitivity)
Intelligent position monitoring: Dynamic take-profit/stop-loss based on Greeks evolution, not just P&L
TWAP Delta Hedging: All perp hedges route through time-weighted average price execution (0.5 BTC / 10s) to prevent IM clawback
2. Panic Market Detection (IVR >= 85%)
Trigger: IV Rank >= 85% + is_panic_in_market() returns True
Action: Deploy Iron Butterfly or Wide Iron Condor
Mechanism: Extreme premium capture via defined-risk structures. Maximum credit collection with bounded maximum loss known at entry.
3. High Volatility Environment (IVR >= 50%)
Trigger: IV Rank >= 50% + Enhanced volatility term structure analysis
Defined-Risk Strategy Selection based on Vega Skew:
- Iron Condor: If term structure suggests volatility will fall (short-term IV > long-term IV)
- Reverse Iron Condor: Defined-risk breakout play with bounded loss
- Bear Call / Bull Put Spread: Directional credit with defined risk
4. Medium Volatility Range (20% <= IVR < 50%)
Trigger: Moderate volatility + Market trend analysis
Defined-Risk Strategy Options:
- Iron Condor: For range-bound expectations
- Bear Call Spread: For bearish bias with high call skew
- Bull Put Spread: For bullish bias with credit collection
- Butterfly: For pinning near a strike
5. Regime-Adaptive Strategy Selection
Alpha Centre-Informed Bias: Market regime detection combines IV environment with funding/sentiment/GEX data
low_iv_bearish
→ Bear Call Spread (defined-risk)
low_iv_bullish
→ Bull Put Spread (defined-risk)
high_iv_bearish
→ Bear Call Spread (credit)
high_iv_bullish
→ Bull Put Spread (credit)
high_iv_neutral
→ Iron Condor (range-bound)
low_iv_neutral
→ Calendar/Diagonal Spread
6. Low Volatility Environment (IVR < 20%)
Trigger: Low implied volatility + Price-aware leg finding for optimal execution
Defined-Risk "Long Vega" Strategies:
- Calendar Spreads: Sell short-term option, buy longer-term option at same strike. Automated 3-phase interleaved roll with credit capture.
- Diagonal Spreads: Similar to calendars but with different strikes, adding directional bias while maintaining vega exposure.
- Enhanced execution: Flexible date searching and price-aware leg selection ensure tradeable options in sparse market conditions.
7. Default: Iron Condor Strategy
Trigger: Fallback when no extreme conditions are met
Fully Automated Defined-Risk Process:
- Deploy Iron Condor with defined-risk wings
- Continuous monitoring with 5-minute cycles
- Configurable auto-approval for seamless execution
- TWAP hedging for all delta management
8. Automation, Recovery & Margin Protection
Autonomous Operation with Escalation:
- Auto-approval: Configurable for seamless trade execution
- Structure registry: Full structural scan detecting orphans and excess positions
- Proactive teardown: Automatically closes least-valuable structures when IM exceeds thresholds
- Delta gate: Restricts to delta-reducing trades when limits exceeded (doesn't block cycles)
- Calendar roll automation: DTE-triggered scanning with 3-phase interleaved execution
Institutional-Grade Strategy Selection Engine
Transformation Summary: From Basic Systematic → Hedge Fund-Level Sophistication
Complete enhancement of options trading capabilities with institutional-grade analytics and execution
Greeks Precision
±0.05 approximation → ±0.001 exchange data
Market Intelligence
Basic indicators → Alpha Centre data fusion
Regime Detection
Static rules → Adaptive bias calculation
Risk Architecture
Mixed risk → 100% defined-risk mandate
Execution Quality
Basic systematic → TWAP + institutional-grade
Complete Defined-Risk Strategy Library
BTC and ETH options strategy library — 14 defined-risk strategies covering all market conditions. Every strategy has bounded maximum loss.
| Strategy | Market Bias | IVR Range | Type | Profit Mechanism | Risk Profile |
|---|---|---|---|---|---|
| Iron Condor | Neutral | ≥50% | Credit Spread | Market neutral premium seller | Defined risk — spread width minus credit |
| Bear Call Spread | Bearish | 20-50% | Credit Spread | Bearish premium capture | Defined risk — spread width minus credit |
| Bull Put Spread | Bullish | 20-50% | Credit Spread | Bullish premium capture | Defined risk — spread width minus credit |
| Iron Butterfly | Neutral (pinning) | ≥50% | Credit Spread | ATM premium capture with defined wings | Defined risk — wider spread minus credit |
| Debit Spread | Directional | <40% | Debit | Directional call/put verticals | Defined risk — net debit paid |
| Protective Put | Insurance/Hedging | Any | Debit | Insurance against downside | Defined risk — premium paid |
| Butterfly Spread | Range-bound | 30-50% | Debit | Targeted range-bound strategy | Defined risk — net debit paid |
| Collar | Protective | Any | Defined-Risk | Hedged income on underlying | Defined risk — strike difference |
| Calendar Spread | Neutral/Range-bound | <40% | Time-based | Short-term decay, long-term gamma | Defined risk — net debit paid |
| Diagonal Spread | Directional + Time | <40% | Time-based | Combines time + directional exposure | Defined risk — net debit paid |
| Condor Spread | Range-bound | 30-50% | Credit Spread | Wider version of butterfly | Defined risk — spread width minus credit |
| Back Ratio Spread | Skew Exploitation | ≥40% | Defined-Risk | Implied skew exploitation with long bias | Defined risk — limited to debit |
| Reverse Iron Condor | Breakout Expected | <35% | Debit | Breakout play with lower cost basis | Defined risk — net debit paid |
Coinglass Market Intelligence Integration
Professional fund-level market intelligence informing every trade decision
Real-Time Derivatives Data
- • Options Max Pain tracking across expiries
- • Aggregated funding rate sentiment
- • Fear & Greed Index with contrarian signals
- • Multi-exchange positioning data
Contrarian Signal Processing
- • Extreme funding rate triggers contrarian bias
- • Sentiment extremes (> 80 or < 20) flip signals
- • Deribit options + CME futures fusion
- • Regime-adaptive strategy selection
Regime-Adaptive Strategy Selection
Coinglass-informed bias calculation drives automatic strategy selection — all defined-risk
| Market Regime | IV Environment | Bias Direction | Selected Strategy | Rationale |
|---|---|---|---|---|
| low_iv_bearish | IVR < 35% | Bearish | Bear Call Spread | Defined-risk bearish credit collection |
| low_iv_bullish | IVR < 35% | Bullish | Bull Put Spread | Defined-risk bullish credit collection |
| low_iv_neutral | IVR < 35% | Neutral | Calendar/Diagonal Spread | Long vega, volatility expansion play |
| medium_iv_bullish | IVR 35-65% | Bullish | Bull Put Spread, Calendar Spread | Balanced credit with upside bias |
| medium_iv_bearish | IVR 35-65% | Bearish | Bear Call Spread, Protective Put | Defensive credit with downside protection |
| medium_iv_neutral | IVR 35-65% | Neutral | Iron Condor, Butterfly | Range-bound premium collection |
| high_iv_bearish | IVR 65-85% | Bearish | Bear Call Spread | Collect premium, defined risk bearish |
| high_iv_bullish | IVR 65-85% | Bullish | Bull Put Spread | Collect premium, defined risk bullish |
| high_iv_neutral | IVR 65-85% | Neutral | Iron Condor | Maximum defined-risk premium, range-bound |
| high_iv_panic | IVR ≥ 85% | Panic | Iron Butterfly, Wide Iron Condor | Extreme premium capture via defined-risk structures |
Low Volatility Strategies
Advanced time-based strategies for IVR < 20% environments
Calendar Spreads
Structure: Sell short-term option, buy longer-term option at the same strike
Advantage: "Long vega" positioning that profits from volatility expansion while benefiting from time decay on the short leg. Automated 3-phase interleaved roll architecture with credit capture.
Diagonal Spreads
Structure: Similar to calendars but with different strikes, adding directional bias
Advantage: Combines time decay and volatility benefits with directional exposure. Perfect for low volatility environments with a directional bias.
Volatility Term Structure Analysis
Advanced "Vega Skew" analysis for enhanced decision-making
The system analyses the relationship between short-term and long-term implied volatility to make more sophisticated strategy decisions:
Short-term IV > Long-term IV
Suggests volatility may be peaking. In high IVR environments, favours Iron Condors or credit strategies that benefit from volatility contraction.
Long-term IV > Short-term IV
Indicates potential volatility expansion ahead. Favours Calendar Spreads or other defined-risk strategies that benefit from increasing volatility.
Enhanced Risk Management Framework
- Dynamic Position Sizing: Account equity-based sizing with enhanced risk parameters for all strategy types
- Price-Aware Execution: Advanced leg finding ensures only tradeable options with valid bid/ask spreads are selected
- Flexible Date Searching: Enhanced expiry date search for Calendar and Diagonal strategies in sparse market conditions
- TWAP Hedging: All perp hedges route through time-weighted average price execution
Automation & Resilience
- 5-Minute Cycles: Continuous market analysis and position management every 5 minutes
- Intelligent Error Recovery: Automated orphan position handling with escalation for critical events
- Structure Registry: Full structural scan detecting spreads, calendars, orphans and excess positions
- 24/7 Operation: Designed for continuous deployment with human oversight for edge cases
Trade Logging & State Management
All trades are logged with comprehensive details including:
- Strategy state and selected approach
- Individual option legs and strikes
- Premium collected or debit paid
- Execution timestamp and market conditions
- Risk metrics and position sizing
- Take-profit and stop-loss levels
- Market indicators at time of trade
- Complete audit trail for analysis
Enhanced Strategy Matrix
Advanced Multi-Dimensional Decision Framework
V20.x defined-risk system analyses multiple market indicators with volatility term structure analysis for superior strategy selection
Five-Tiered IVR System (Calibrated 2024-2026)
- • Very Low: <25% — Calendar/Diagonal Spreads for volatility expansion
- • Low: 25-35% — Bull Put/Bear Call Spreads and directional strategies
- • Medium: 35-65% — Iron Condor, Butterfly and balanced approaches
- • High: 65-85% — Premium selling with tighter risk controls
- • Panic: ≥85% — Iron Butterfly / Wide Iron Condor for extreme premium capture
Coinglass Market Intelligence
- • Options Max Pain: Real-time tracking across expiries for strike selection
- • Funding Rate Sentiment: Aggregated multi-exchange with contrarian signals
- • Fear & Greed Index: Contrarian bias triggers at extremes (> 80 or < 20)
- • Multi-Exchange Data Fusion: Deribit options + CME futures
Regime-Adaptive Strategy Selection
- • low_iv_bearish: Bear Call Spread for defined-risk bearish
- • low_iv_bullish: Bull Put Spread for defined-risk bullish
- • high_iv_bearish: Bear Call Spread for credit collection
- • high_iv_bullish: Bull Put Spread for credit collection
Advanced Execution Factors
- • Price-Aware Leg Selection: Only tradeable options with valid bid/ask pricing
- • TWAP Hedging: All delta hedges via time-weighted average price execution
- • Hedge Convergence Gate: Blocks new entries until delta converges
- • Structure Registry: Full structural scan and orphan detection
Complete Defined-Risk Strategy Decision Matrix
All strategies have bounded maximum loss — no naked or unlimited-risk exposure
| IVR Range | Primary Condition | Strategy Selected | Enhanced Execution |
|---|---|---|---|
| Any | Client Blocklist Active | Blocked strategies excluded | Absolute precedence — blocked strategies removed before any other filtering occurs. |
| ≥ 85% | Panic Market Detection | Iron Butterfly / Wide Iron Condor | Extreme premium capture via defined-risk structures. Maximum credit collection with bounded loss. |
| 65-85% | High Volatility + Term Structure Analysis | Iron Condor, Bear Call/Bull Put Spread | Vega Skew analysis determines optimal defined-risk spread structure. All positions bounded. |
| 35-65% | Medium Volatility + Coinglass Bias | Iron Condor, Bear Call Spread, Butterfly | Coinglass-informed bias determines directional spread selection. Funding rates and sentiment drive bias. |
| 25-35% | Low Volatility + Directional Bias | Calendar Spread, Butterfly | Time-based strategies for modest volatility. Automated roll scanning with credit capture. |
| < 25% | Very Low Volatility Environment | Calendar Spread, Diagonal Spread | Long vega defined-risk structures with 3-phase interleaved roll architecture. |
| Any | Regime-Adaptive Selection | Based on detected regime (e.g., low_iv_bearish → Bear Call Spread) | Combines IV environment with Alpha Centre data for automatic defined-risk strategy mapping. |
| Any | Default/Fallback Condition | Iron Condor (Default) | Defined-risk premium generation with continuous monitoring and TWAP hedging. |
Low Volatility Strategy Details
Advanced time-based strategies for IVR < 20% market conditions
Calendar Spread Strategy
- • Structure: Sell short-dated, buy long-dated at same strike
- • Market View: Low volatility with expansion expected
- • Profit Drivers: Time decay on short leg + vega expansion
- • Roll Automation: 3-phase interleaved roll with credit capture
Diagonal Spread Strategy
- • Structure: Different strikes + different expirations
- • Market View: Low volatility + directional bias
- • Profit Drivers: Time decay + vega + directional movement
- • Execution: Enhanced date searching for optimal setup
Full Automation & Enhanced Execution
5-Minute Cycle Operation
Continuous 5-minute analysis and execution cycles with configurable auto-approval. TWAP hedging for all delta management. Structure registry tracks all open positions with orphan detection.
Intelligent Error Recovery
Advanced orphan position handling with configurable strategies. Proactive teardown when IM exceeds thresholds. Delta gate restricts to delta-reducing trades rather than blocking entire cycles.
Enhanced Execution Logic
Price-aware leg finding ensures only tradeable options with valid bid/ask spreads are selected. Hedge convergence gate blocks new entries until delta converges for 3 consecutive reads.
Position Management & Rolling
Intelligent Position Rolling
5 rolling strategies evaluated at 70% of stop loss threshold:
- • out: Same strike, later expiry (time extension)
- • down: Move strike more OTM (defensive)
- • up: Move strike less OTM (aggressive)
- • out_and_down: Time extension + OTM move
- • out_and_up: Time extension + ATM move
Tuned Risk Parameters (Calibrated 2024-2026)
- • Take profit: 35% (tightened from 50%)
- • Stop loss: 25% (tightened from 30%)
- • Roll threshold: 18% (consider rolling before stop)
- • Delta tolerance: ±1.0 (tightened from ±2.0)
- • Emergency threshold: ±3.0 (tightened from ±5.0)
- • Hedge frequency: 10 minutes
- • Target DTE: 21 days optimal
- • Max position: 5 BTC per trade
Institutional Execution Standards
- • Maximum 5% bid-ask spread (options)
- • Minimum 25 BTC 24-hour volume
- • Minimum 15 BTC open interest
- • 60% max book imbalance filter
Automated Portfolio Hedging
- • 10-minute hedge evaluation cycles
- • HIGH/CRITICAL urgency hedges execute automatically via TWAP
- • MEDIUM urgency logged for manual review
- • Respects paper/live trading mode
Strategy Transition Logic
Market Condition Changes
The bot continuously monitors market conditions every 5 minutes. If conditions change significantly (e.g., IV Rank moves from low to high), it will close existing positions at profit targets and deploy a new defined-risk strategy appropriate for the updated market environment.
Calendar Roll Automation
DTE-triggered scanning detects when front-legs approach expiry. 3-phase interleaved roll execution: close front → open new front → verify structure integrity. Targets positive roll credit on each transition.