ETH forecast-volatility gap with banded delta hedge

Hypothesis

Buy a near-the-money Deribit ETH call when a forecast from prior ETH returns exceeds the option's ask-implied volatility by at least 12 annualized percentage points. Short the ETH perpetual to hedge the call's delta, adjusting the hedge only when delta moves beyond a fixed band. Select listed option contracts through the rolling-options path.

The logs show four option contracts and their bars were discovered, contradicting the missing-chain diagnosis. The rolling strategy's custom bar handler does not update the reported single-instrument evaluated-bars counter. A 48-hour forecast window leaves more of the 497-bar smoke window eligible while preserving the 12-point entry threshold. This has not been verified to produce a trade. The required outbox file could not be written because this workspace is read-only.

verification_loop: Verification failed (Layer 3 — sandbox backtest): No trades produced Bar type used: ETH-PERPETUAL.DERIBIT-1-HOUR-LAST-EXTERNAL, Bars processed: 497 Diagnostics: calculate_signal() was never evaluated (0 evaluated bars) -> this is a RollingOptionsStrategy: 0 evaluated bars means the option CHAIN was never built for the smoke window (no contracts discovered / no option bars) -> a data-coverage limit of the chain, not an entry-logic problem. Do NOT loosen entry thresholds — the entry logic never ran. Ensure your strategy produces trades with the given data and parameters.

Implementation

Buys near-the-money rolling Deribit ETH calls when prior-return forecast volatility exceeds ask-implied volatility by 12 annualized percentage points, then rehedges call delta with the ETH perpetual outside a fixed band.

Verification Results

Verification failed (Layer 3 — sandbox backtest): No trades produced Bar type used: ETH-PERPETUAL.DERIBIT-1-HOUR-LAST-EXTERNAL, Bars processed: 497 Diagnostics: calculate_signal() was never evaluated (0 evaluated bars) -> this is a RollingOptionsStrategy: 0 evaluated bars means the option CHAIN was never built for the smoke window (no contracts discovered / no option bars) -> a data-coverage limit of the chain, not an entry-logic problem. Do NOT loosen entry thresholds — the entry logic never ran. Ensure your strategy produces trades with the given data and parameters.

Outcome Summary

Check option-chain data coverage before evaluating the entry rule.

After two iterations, Layer 3 verification failed because the option chain was not built for the test window. Later stages were not reached.

Buy near-the-money Deribit ETH calls when forecast volatility exceeded ask-implied volatility by at least 12 annualized percentage points, then hedge delta with a banded short-perpetual position.

The sandbox backtest processed 497 hourly bars, but evaluated no signals and produced no trades. No return or Sharpe was reported.

Analysis

Hedging predicted volatility