ETH Deribit Long-Gamma – Hourly Backtest

Hypothesis

Derived by the Research Lead from helloimgeorgia's question and Newquant's answer on optimal delta-hedging frequency: test whether a finite delta-rebalancing band improves net-of-cost Sharpe for a long ATM straddle when realized volatility exceeds implied volatility. The source discusses hedging costs, not a complete strategy or a solved optimal threshold; the entry filter, rolling structure, sizing, exits and hedge-band search are Research Lead choices. Only the supplied excerpt was available; both linked pages were marked FAILED and an additional fetch failed. Use synchronized 1-HOUR bars, rolling ETH Deribit options and an ETH Binance linear perpetual hedge. Orders execute at signal-bar closes. This is a discrete hourly implementation, not continuous hedging or an exact implementation of the cited Hoggard–Whalley–Wilmott model. Replace the invalid fixed leg_sides dictionary with fixed numeric call_side=1 and put_side=1; the developer translates 1 into BUY internally.

Options represent approximately 4.9% of experiments against a 15% target, cross-venue experiments 7.8% against 15%, and long-only exposure is substantially overrepresented. This delta-hedged options mechanism addresses those gaps without repeating price momentum or small-swing mean reversion. Corpus concentration was empty, so instrument-specific recent shares could not be assessed. ETH is chosen to avoid another BTC experiment. Binance is used for the linear hedge because inverse hedging outside BINANCE_CM is unsupported; Deribit remains the options venue.

verification_loop: Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'rolling_options', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error:……Show moreShow less

verification_loop: Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'rolling_options', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - steady_downtrend: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - flat_ranging: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - volatility_spike: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - zero_volume: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - price_gap: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis.

Implementation

Blocked ETH rolling ATM long-straddle and Binance delta-band hedge experiment; no executable implementation is claimed.

Inspection confirms the reported rolling-base limitation persists. Preserve the previous class, imports and fail-fast guard; removing it would execute unconditional scheduled trades outside the hypothesis. Numeric call_side and put_side remain 1, but BUY translation cannot be dispatched through permitted hooks. No edge conclusion is available.

Verification Results

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'rolling_options', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error: RuntimeError:……Show moreShow less

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'rolling_options', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - steady_downtrend: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - flat_ranging: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - volatility_spike: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - zero_volume: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - price_gap: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis.

Iteration History

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error: RuntimeError: infrastructure_blocked:……Show moreShow less

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error: RuntimeError: infrastructure_blocked: RollingOptionsStrategy bypasses signal and sizing hooks; conditional straddle entry, premium sizing, holding exits and synchronized delta hedging require prohibited lifecycle overrides. - steady_downtrend: Setup error: RuntimeError: infrastructure_blocked: RollingOptionsStrategy bypasses signal and sizing hooks; conditional straddle entry, premium sizing, holding exits and synchronized delta hedging require prohibited lifecycle overrides. - flat_ranging: Setup error: RuntimeError: infrastructure_blocked: RollingOptionsStrategy bypasses signal and sizing hooks; conditional straddle entry, premium sizing, holding exits and synchronized delta hedging require prohibited lifecycle overrides. - volatility_spike: Setup error: RuntimeError: infrastructure_blocked: RollingOptionsStrategy bypasses signal and sizing hooks; conditional straddle entry, premium sizing, holding exits and synchronized delta hedging require prohibited lifecycle overrides. - zero_volume: Setup error: RuntimeError: infrastructure_blocked: RollingOptionsStrategy bypasses signal and sizing hooks; conditional straddle entry, premium sizing, holding exits and synchronized delta hedging require prohibited lifecycle overrides. - price_gap: Setup error: RuntimeError: infrastructure_blocked: RollingOptionsStrategy bypasses signal and sizing hooks; conditional straddle entry, premium sizing, holding exits and synchronized delta hedging require prohibited lifecycle overrides.

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'rolling_options', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error: RuntimeError:……Show moreShow less

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'rolling_options', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error: RuntimeError: infrastructure_blocked: inspected RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. It enters scheduled legs unconditionally, uses fixed-contract sizing and closes only near expiry. Permitted hooks cannot implement the conditional long straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - steady_downtrend: Setup error: RuntimeError: infrastructure_blocked: inspected RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. It enters scheduled legs unconditionally, uses fixed-contract sizing and closes only near expiry. Permitted hooks cannot implement the conditional long straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - flat_ranging: Setup error: RuntimeError: infrastructure_blocked: inspected RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. It enters scheduled legs unconditionally, uses fixed-contract sizing and closes only near expiry. Permitted hooks cannot implement the conditional long straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - volatility_spike: Setup error: RuntimeError: infrastructure_blocked: inspected RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. It enters scheduled legs unconditionally, uses fixed-contract sizing and closes only near expiry. Permitted hooks cannot implement the conditional long straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - zero_volume: Setup error: RuntimeError: infrastructure_blocked: inspected RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. It enters scheduled legs unconditionally, uses fixed-contract sizing and closes only near expiry. Permitted hooks cannot implement the conditional long straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - price_gap: Setup error: RuntimeError: infrastructure_blocked: inspected RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. It enters scheduled legs unconditionally, uses fixed-contract sizing and closes only near expiry. Permitted hooks cannot implement the conditional long straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis.

Outcome Summary

Expose rolling-options structure lifecycle hooks before retrying this hypothesis.

After three iterations, the run was abandoned following Layer 2 synthetic verification failures across all six scenarios. The strategy raised an infrastructure-blocked error because the rolling-options base bypassed the hooks needed for conditional entry, premium-budget sizing, holding/loss exits and synchronized delta-band hedging.

Test whether an hourly delta-rebalancing band improves net-of-cost Sharpe for a long ETH Deribit ATM straddle, hedged with Binance perpetuals, when realized volatility exceeds implied volatility.

No return, Sharpe or trade-count results were produced because synthetic verification failed during setup. Backtesting, optimization, analyst review and risk review were not reached.

Abandon Reason

verification_loop: Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'rolling_options', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error:……Show moreShow less

verification_loop: Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['put_side', 'call_side', 'delta_band', 'hold_hours', 'iv_discount', 'cooldown_hours', 'hedge_leverage', 'rolling_options', 'target_dte_days', 'roll_buffer_hours', 'rv_lookback_hours', '_optimization_plan', 'dte_tolerance_days', 'max_data_age_hours', 'premium_budget_pct', 'structure_loss_pct', 'max_underlying_notional_pct'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - steady_downtrend: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - flat_ranging: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - volatility_spike: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - zero_volume: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis. - price_gap: Setup error: RuntimeError: infrastructure_blocked: iteration 3 confirms RollingOptionsStrategy.on_bar bypasses calculate_signal, should_enter, position_size and should_exit. Scheduled unconditional entries, fixed-contract sizing and expiry-only exits cannot implement the conditional straddle, premium budget, holding/loss exits and synchronized Binance delta-band hedge. Expose structure lifecycle hooks before retrying this hypothesis.

Analysis

Optimal delta-hedging frequency when gamma scalping