Options and volatility

7 published documents · Canli Capital research, by Arhan Canli

Variance risk premium, index-versus-constituent dispersion and dealer positioning: mechanisms that are well documented and expensive to implement honestly.

Crypto Low-Volatility: a killed candidateThe STRONGEST in-sample signal the 200+-factor campaign found anywhere (Rank-IC t = 6.66). Full purged walk-forward: net Sharpe 0.69 — respectable.
Crypto Variance-Risk-Premium (campaign): a killed candidatePitched at 2.15 Sharpe — the headline was a 252-vs-365 vol-annualization error inventing a phantom 15-vol-point premium.
Options dispersion: literature and implementation boundaryThe defensible mechanism is a priced difference between index correlation/variance insurance and the corresponding single-stock option basket.
Options dispersion: locked no-return data and execution-feasibility protocolCan one point-in-time S&P 500 index-versus-constituent option book be reconstructed with enough quote, membership, corporate-action, settlement, and…
Point-in-time options execution foundationAlphaForge now has tested domain primitives for option terms, quote snapshots, displayed-size package execution, fee assessment, internal scenario margin,…
Point-in-time securities-borrow foundationAlphaForge now has tested primitives for security-level borrow availability, locates, fees, recalls, and forced-buy-in deadlines, plus optional event-driven…
Vol-Scaled / Crash-Protected Momentum overlay (campaign): a killed candidateBarroso-Santa-Clara constant-vol and Daniel-Moskowitz variance/dynamic scaling applied to the live AlphaMax sleeve.