Weekend Calendar-Time Theta Harvest on Deribit BTC Weekly Options — Short ~3%-OTM Strangle Opened Friday 09:00 UTC, Closed Monday 08:00 UTC (crypto weekend realized vol runs below calendar-priced implied; cross-venue BTCUSDT.BINANCE 1H reference/stop leg, no IV gate, 3-parameter)

A MARKET-NEUTRAL, CROSS-VENUE, CALENDAR-GATED short-volatility strategy on DERIBIT BTC weekly options, using BTCUSDT.BINANCE 1-HOUR perp bars only as the reference/stop leg. The mechanism is NOT a VRP/IV-rank harvest (that family is already in flight on ETH/BTC Deribit and is explicitly avoided): it is a CALENDAR-TIME vs CLOCK-TIME mismatch. Listed option time value decays on calendar days, but crypto realized volatility is measurably lower on Saturday/Sunday (institutional desks, CME, TradFi hedging flow and most spot volume are absent). A position that is SHORT premium only across the Fri->Mon window collects two calendar days of theta against a weekend whose realized variance is structurally below the pro-rata implied variance, then stands flat all week. NO IV filter, NO trend filter, NO regime gate — the entry is a pure calendar rule, which is what makes it hard to overfit. FEE ARITHMETIC: 7-day BTC option at ~45% IV → 7-day sigma 6.2% of spot; a ~3%-OTM strangle costs ~1.4% of spot per leg (~2.8% the pair); holding 3 of 7 calendar days consumes ~25-28% of value = GROSS theta ~0.70-0.78% of underlying notional; if weekend realized vol runs ~0.8x priced, the gamma bill eats ~60-65%, leaving EXPECTED NET ~0.25-0.35% per cycle vs ~0.12% Deribit round trip (2 legs open+close) = 2.1-2.9x costs. Near-the-money strikes are deliberate: Deribit charges on UNDERLYING notional, so far-OTM strangles are structurally fee-dead. ~52 cycles/yr, 694 BTC expiries in catalog back to 2018. DEVELOPER NOTE: build the expiry→strike table ONCE in __init__ and use bisect — a prior BTC Deribit options hypothesis died at Layer-3 sandbox timeout from per-bar chain rescans.