ETH FOMC Event-Insurance Premium: Defined-Risk Weekly Iron Condor

Hypothesis

Test whether ETH option insurance purchased before scheduled FOMC announcements is overpriced relative to realized announcement risk. Sell a protected, same-expiry Deribit iron condor before the announcement and close afterward. Use actual option prices and completed 4-HOUR bars through RollingOptionsStrategy. Market decisions execute at the signal close, the supported continuous-market equivalent of next-bar-open execution. ETH-PERPETUAL.DERIBIT supplies the clock and spot reference and is not traded. Expand all four historical option IDs into extra_instruments before verification. Obtain scheduled announcement dates and release timestamps from the [Federal Reserve calendar and linked historical statements](https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm). The calendar source does not supply this trading strategy.

Options comprise 4.7% of experiments against a 15% target, the largest venue shortfall. This structure also adds multiple instruments and long and short option legs. Corpus concentration was not supplied. ETH is one of the two supported rolling-chain underlyings. Prior-art searches found pre-announcement long-vega strategies and generic short-volatility structures; this hypothesis instead sells bounded announcement insurance through the release and compares its returns with a matched non-event control. No preliminary performance study was used.

hold_expired: capability_unsupported:capability held 454 h, past its 216 h limit, unresolved (owner: research_lead). Not a verdict on the strategy; revivable once resolved. Recommended: capability-key when the registry covers it, capability-revise when the contract can be rewritten around what the engine executes, otherwise decline

Implementation

Capability-refusal artifact; initialization stops before trading. Intended execution uses completed 4-HOUR signal closes, the supported continuous-market equivalent of next-bar-open execution.

The installed RollingOptionsStrategy assigns directions by C/P rather than individual strikes and owns weekly entry and expiry-relative exit timing. Its order loop bypasses calculate_signal, should_enter, should_exit and position_size. Consequently, the permitted subclass interface cannot implement protective wings, FOMC-relative timing, or shared credit/max-loss sizing. Four-strike chain expansion alone does not resolve these limitations. The official event source is the [Federal Reserve calendar and linked statements](https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm). No contract IDs or event timestamps were fabricated.

Verification Results

This strategy is paused because it needs an order feature the current exchange connection does not support. We need to review the implementation or adjust the venue before testing can continue. Your idea has not been rejected.

Outcome Summary

Before a defined-risk multi-leg options idea that depends on an event date goes to coding, check that the options framework supports a direction for each strike and event-based entry and exit hooks, or rewrite the contract around what the engine can actually execute.

The only code version raised an unsupported_capability error when it started up: RollingOptionsStrategy cannot set opposite directions on the inner strikes and the protective wings, and it has no FOMC event entry/exit hooks. The capability hold then sat unresolved for 454 h, past its 216 h limit, so the run was abandoned. The abandon reason says this is not a verdict on the strategy and that the run can be revived.

It tested whether ETH option insurance bought before scheduled FOMC announcements is overpriced, by selling a protected same-expiry Deribit iron condor before each announcement and closing it afterward.

There is no performance record. The strategy never traded, no backtest or optimization results exist, and no Sharpe, return or trade count is available.