Weekend Calendar-Time Theta Harvest on Deribit BTC Weeklies — Sell the Near-ATM Straddle at Friday's Daily Close, Buy It Back at Monday's Daily Close (Unhedged, Spot-Band Stop, 2-Parameter)

A SHORT-VOLATILITY, MARKET-NEUTRAL-AT-ENTRY, calendar-seasonality strategy on DERIBIT BTC weekly options. Once per week, at the close of Friday's 1-DAY bar (00:00 UTC Saturday), sell ONE near-ATM straddle (short 1 call + short 1 put, same strike, same expiry) on the front weekly Friday expiry (~6 days to expiry at entry), then buy both legs back at the close of Monday's 1-DAY bar (00:00 UTC Tuesday). The position is NEVER held to expiry and is NEVER delta-hedged with a perp — it is opened and closed with two option legs only, so the implementation is 4 option transactions per week and no cross-venue hedging loop (the two options-venue timeouts in the failure log came from per-bar chain rescanning and multi-leg hedging code; this design needs neither). The claim is NOT 'implied vol is rich' (that unconditional VRP framing has already been tested and abandoned here). The claim is narrower and structural: options decay in CALENDAR time while BTC realized volatility is materially LOWER on Saturday/Sunday than on weekdays, because the dominant institutional flow is mechanically absent — CME BTC futures close Friday 21:00 UTC and do not reopen until Sunday 22:00 UTC, US spot-BTC-ETF creation/redemption and authorized-participant hedging halt entirely, and the US macro calendar (CPI/FOMC/NFP/PCE) never prints on a weekend. Three days of premium (Sat, Sun, Mon) decay off the option while only ~one day of full-intensity flow (Monday) actually occurs. The trade monetizes the mismatch between the pricing clock and the flow clock, not a view on the vol level. Implementation notes for the developer to keep it cheap and robust: (1) build the expiry->strike->instrument map ONCE in __init__ from the declared/extra instruments, never rescan a chain inside on_bar; (2) select the straddle strike as the strike NEAREST to the Friday close among strikes that have BOTH a call and a put with bar data, skipping the week if the nearest usable strike is further than max_strike_dist_pct from spot; (3) size so the underlying-equivalent notional of the straddle is notional_pct of equity (default ~25%, i.e. ~0.25 BTC-equivalent per $100k of equity at a $100k spot), which caps a 6% adverse weekend gap at roughly 1.5% of equity; (4) risk stop: if the underlying (BTCUSDT.BINANCE 1-DAY close, the spot reference leg) closes more than breach_band_pct away from the strike on Saturday or Sunday, close both legs on that bar instead of waiting for Monday. Data reality check (verified against the catalog before proposing): 380 BTC Deribit expiries from 2019 through 2026 carry at least one strike with BOTH a call and a put on 1-DAY bars, at a steady ~52 per year — i.e. ~350 investable weekends, which is a real sample and not a best-of-N artifact.