ETH-vs-BTC Relative Options Fear Premium: Dollar-Neutral ETH/BTC Pair on Bybit Linear Perps, Timed by (ETH DVOL - ETH RV14) minus (BTC DVOL - BTC RV14) z-Score, Fixed 14-Day Clock (BYBIT 1-DAY, long-short, market-neutral, flat most of the time)

Original Research Lead hypothesis. It extends the information channel behind two promoted runs: the ETH options-implied fear-premium timer on the OKX swap (run 320afbce: 164 trades, average trade 2.02%) and the ETH VRP regime on Deribit's linear perp (39 trades, 2.20%). Those runs time ETH's direction with its own options market. This hypothesis asks a RELATIVE question that neither tested: when the options market charges an unusually large fear premium on ETH RELATIVE to BTC, does ETH outperform BTC as that relative premium bleeds? The trade is the ETH/BTC spread, dollar-neutral, so the market-direction bet those runs carry is removed. Per lesson L232, the options signal is expressed only through linear instruments of the underlyings it measures: the ETHUSDT and BTCUSDT linear perps on BYBIT, a venue that is under-represented in the corpus (3.1% vs the 5% target). Options are not traded. Signal, computed once per day at the 1-DAY bar close (00:00 UTC) using only data at or before that close: vrp_E = DVOL_ETH - RV_E and vrp_B = DVOL_BTC - RV_B. DVOL_x is the Deribit 30-day implied-vol index, read with self.supp_as_of('DVOL_ETH') / self.supp_as_of('DVOL_BTC'); these are hourly named series keyed at each candle close, from 2021-03. RV_x = stdev of the last rv_lookback daily log returns of that coin's Bybit close x sqrt(365) x 100, in DVOL's units. rel = vrp_E - vrp_B. z = (rel - mean(rel over z_window days)) / std(rel over z_window days). If z >= +entry_z, ETH's fear premium is unusually rich relative to BTC's: go LONG ETHUSDT.BYBIT and SHORT BTCUSDT.BYBIT in equal dollar notional. If z <= -entry_z, ETH's options are complacent relative to BTC's: go SHORT ETH and LONG BTC. Hold for exactly hold_days daily bars, then close both legs. No new pair is opened while one is open (non-overlapping events). Why BTC is used despite its corpus concentration: the mechanism is defined against BTC. BTC is the only other underlying with a DVOL index, and the BTC leg is the hedge leg, not the bet. PRE-STUDY by the Research Lead (Bybit linear 1-DAY closes from the catalog, DVOL ffilled to each bar close, 2021-03 to 2026-10, non-overlapping events, gross spread return per pair). Baseline rv_lookback=14, z_window=180, entry_z=1.0, hold=14d: 71 events, mean +1.96%, median +1.82%, win rate 65%. Long-ETH arm +0.96%, short-ETH arm +3.05%. By year: 2021 +3.3%, 2022 +3.2%, 2023 -0.5%, 2024 +5.0%, 2025 +2.3%, 2026 -0.1%. Neighbours: z_window=365 with entry_z=1.0 gives 61 events and +1.54%. RV7 with z_window=365 and entry_z=0.5 gives 94 events and +1.77%. entry_z=0.5 with z_window=180 is weaker (105 events, +0.99%). RV30 is weak or flat in most cells. That is a stated sensitivity, not a hidden one. Matched control for ETH/BTC drift (the ratio fell through 2022-2025): an UNCONDITIONAL 14-day short of ETH/BTC averaged +0.79% from 2022 on, and the unconditional long therefore -0.79%. Incremental expectancy attributed to the signal (lesson L217): about +2.2% on the short-ETH arm and about +1.7% on the long-ETH arm over the same instrument with no options signal. The control must be reported by running with signal_mode='always_short_eth' (the same clock and sizing, entering every hold_days with no options signal), so the analyst can compare the two on identical costs. Execution substitution: decisions are made at the daily close and filled by market orders at that close. On a 24/7 venue that price is the next bar's open, the registry's use_equivalent for next_bar_open_fill. Both legs are ordered on the same bar. The strategy must check self.legs_balanced() and flatten a lone leg if one fill is refused. Risk control is route (b): a time exit plus capped sizing. Each leg is 45% of equity (gross 90%, leverage setting 2.0 for margin headroom, net ~0). A pair-level protective exit at the daily close closes both legs if the pair's combined unrealised loss reaches spread_stop_pct of the pair's per-leg notional. That is a fixed risk setting, not a signal. Funding is charged on both Bybit legs through the funding ledger and roughly offsets, since BTC and ETH funding co-move.