HAR-RV REALIZED VOLATILITY FORECASTER
Heterogeneous Autoregressive model fitted over 252 trading sessions with high-frequency 1-minute intraday realized variance.
| Horizon | HAR-RV Forecast | Option Implied Vol | HAR Expected Move | Option Implied Move | Mispricing Spread | HAR 1.5σ Safe Cone | Actionable Stance |
|---|---|---|---|---|---|---|---|
| Loading Corsi HAR-RV forecasts... | |||||||
Black-Scholes implied volatilities solved across strikes, moneyness, or put deltas for the next 6 weekly SPXW expirations.
Three-dimensional view of moneyness, days to expiration, and implied volatility from observed market option quotes. Missing strike/expiration nodes remain gaps; the API does not fill or manufacture IV observations.
This is a descriptive snapshot, not a trade signal. Confirm liquidity, quote quality, strategy risk, and position sizing separately.
Multi-curve term structure plotting ATM Implied Volatility, 25-Delta Put IV, 25-Delta Call IV, 10-Delta Tail Put IV, and Live VIX Spot Baseline across Days to Expiration (DTE).
| Expiration / Week | DTE | 50Δ Put IV (ATM) | 35Δ Put IV | 25Δ Put IV | 15Δ Put IV | 10Δ Tail IV | 5Δ Tail IV | 10Δ-50Δ Skew Slope | Leg C Premium Suitability |
|---|---|---|---|---|---|---|---|---|---|
| Loading put skew by delta breakdown... | |||||||||
| Expiration / Week | DTE | ATM Strike | ATM IV | 25D Put IV | 25D Call IV | 25D Put Skew | 10D Put IV (Tail Risk) | Status |
|---|---|---|---|---|---|---|---|---|
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Live Market Regime & High-Probability Trade Playbook
Real-time interpretation of current SPX volatility skew & term structure derived from live market feeds.
1. Market Regime & High-Probability Strategy Matrix
| Volatility Regime | Market Signal | Interpretation | High-Probability SPX 1-1-2-2 Trade Playbook |
|---|---|---|---|
| 1. Steep Put Skew ($> +7.5\%$) | High Downside Volatility Demand | OTM puts are heavily over-priced relative to ATM options. Sellers of deep OTM put spreads receive maximum premium cushion. |
SPX 1-1-2-2 Net DEBIT / Zero-Cost Setup • Buy Leg A ($25\delta$) & Sell Leg B ($20\delta$) upper debit spread. • Sell deep OTM Leg C ($5–7\delta$) puts at inflated IV to fully fund debit spread. • Explosive profit shelf with strictly capped flat/downside risk. |
| 2. Normal Skew ($4.0\% – 6.5\%$) | Calm / Bullish Drift ($VIX < 20$) | Steady theta decay environment with normal variance accretion. OTM puts are reasonably priced. |
SPX 1-1-2-2 Net CREDIT Setup • Sell Leg C ($8–12\delta$) slightly closer to spot. • Collect $1.00 – $2.50 Net Credit upfront. • 100% win rate if SPX stays flat, drifts up, or drops < 8%–10%. |
| 3. Inverted Term Structure | Backwardation / Panic Spike | Near-term options ($<14\text{ days}$) are temporarily inflated due to immediate event risk or shock. |
Time Risk Precaution • Freeze new entries until near-term IV crush completes. • Target target expirations strictly in the 35–50 DTE window. |
| 4. Flat Skew ($< +4.0\%$) | Low IV / Market Complacency | OTM puts are cheap. Put credit spreads yield minimal premium. |
Debit-Focused / Narrow Wings • Use narrower Leg A-B debit widths ($30–40\text{ pts}$). • Strictly cap max loss below $15,000 per trade. |
2. How 1-1-2-2 Capitalizes on Skew
The SPX 1-1-2-2 structure decomposes into 1 Upper Debit Spread ($+1A / -1B$) plus 2 Lower Put Credit Spreads ($-2C / +2D$). Because put skew inflates deep OTM put IVs, selling 2 Leg C puts generates massive premium to fund the upper debit spread near spot—yielding a zero-cost or credit setup with high win rates.
3. Execution Protocol
- Confirm 6-week term structure is in Contango (normal slope).
- Check Avg 25D Put Skew: Target Debit if $>6.0\%$; Credit if $<5.0\%$.
- Launch Live Scanner to find GREEN setups ($Score \ge 75$).
- Verify 1-click payoff curve in OptionStrat before placing order.