Claude e768be9ec9 Add Carry & RV Scanner: Deribit basis/funding, SVI rich/cheap net of bid/ask, parity and static-arb checks ...

- core/rv_scanner.py: futures basis curve and perp funding; options-implied forward vs listed
  future; raw-SVI residuals per option netted against half the bid/ask in vol (Black-76 coin
  inversion) and ranked by USD edge; coin-settled put-call parity with executable edge; vertical
  and butterfly static-arbitrage checks on marks and at the touch; VRP vs 30d realised.
- routers/rvscan.py: GET /api/rvscan/{BTC|ETH}, Deribit public API with 60 s cache, 503 on failure.
- RV Scanner tab: carry chart, smile-residual scatter with spread bars, trade ideas, expiry ladder,
  parity and static-arbitrage panel.
- Tests on a synthetic Black-76 book: parity/inversion, carry, clean book, planted mispricings.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE

2026-10-25 05:15:57 +00:00

..

__init__.py

feat: BTC/ETH/XAG support and Vol Lab (live Deribit SVI surface, vol cone, VRP)

2026-09-29 05:17:14 +00:00

fixtures.py

feat: BTC/ETH/XAG support and Vol Lab (live Deribit SVI surface, vol cone, VRP)

2026-09-29 05:17:14 +00:00

rv_book.py

Add Carry & RV Scanner: Deribit basis/funding, SVI rich/cheap net of bid/ask, parity and static-arb checks

2026-10-25 05:15:57 +00:00

test_deep_hedge.py

feat: AI Hedger — deep hedging (No-Transaction-Band net) under costs and jumps

2026-10-17 05:27:03 +00:00

test_event_vol.py

feat: Event & Weekend Vol — vol-time term structure, event moves, forward vols

2026-10-11 05:26:49 +00:00

test_exotics.py

feat: Exotics Desk — barriers (BGK), touches, smile digitals, DCI audit, accumulators

2026-10-09 05:28:52 +00:00

test_hedge_sim.py

feat: Hedge Lab — Monte Carlo delta-hedging / gamma-scalping P&L

2026-10-03 05:25:36 +00:00

test_jump_models.py

feat: Jump Lab — Merton & Bates calibrated to the Deribit smile

2026-10-07 05:27:12 +00:00

test_margin.py

feat: Margin Desk — SPAN & portfolio margin, hike shocks, margin-call odds

2026-10-23 05:12:18 +00:00

test_positioning.py

feat: Positioning Desk — Deribit dealer GEX, gamma flip, walls, vanna/charm, max pain

2026-10-19 05:10:57 +00:00

test_risk_desk.py

feat: Risk Desk — full-reval VaR/ES, stressed window, backtest, P&L explain

2026-10-13 05:25:43 +00:00

test_rv_scanner.py

Add Carry & RV Scanner: Deribit basis/funding, SVI rich/cheap net of bid/ask, parity and static-arb checks

2026-10-25 05:15:57 +00:00

test_smile_dynamics.py

feat: Smile Dynamics — SABR fits, Bartlett/sticky deltas, spot-vol regime

2026-10-21 05:11:24 +00:00

test_tarf.py

feat: TARF Desk — target redemption forwards under flat vol, SSVI-Dupire local vol and jumps

2026-10-15 05:26:28 +00:00

test_vol_analytics.py

feat: BTC/ETH/XAG support and Vol Lab (live Deribit SVI surface, vol cone, VRP)

2026-09-29 05:17:14 +00:00

test_vol_forecast.py

feat: Vol Forecast & Regime engine (HAR-RV, GJR-GARCH, gradient boosting, HMM)

2026-10-01 05:21:59 +00:00

test_xasset.py

feat: Cross-Asset Desk — correlations, gold/silver ratio, Margrabe outperformance options

2026-10-05 05:25:22 +00:00

vol_sim.py

feat: Vol Forecast & Regime engine (HAR-RV, GJR-GARCH, gradient boosting, HMM)

2026-10-01 05:21:59 +00:00