BTCBTC between $93K and $100K · 2-leg B-ADJ-PRE
Expires Jul 1, 2026 · spot now: $61,823 · last quote update 7m ago
Expected APR · probability-weighted+6.1%
Conditional APR · if barriers hold+5.6%
Best case+5.6%
Stake at risk · all-or-nothing
$25−100%
σ-band · vol curve
Full σ→APR vol curve. Read the shape (monotone) and where the priced σ sits relative to the EV-positive band. Per-source markers are snapped to the nearest σ-scan grid point — they show the grid σ used to price each input, not the raw source σ (the model has no APR between grid points, so interpolation is never used).
Deribit IV (term)grid σ 0.50+5.3%Binance RV (30d)grid σ 0.50+5.3%Binance RV (7d)grid σ 0.60+3.1%Binance RV (24h)grid σ 0.50+5.3%
Strike layout
Visual map of strikes, spot, and per-leg side. Pegs above the line are role labels (YES / NO).
Outcome scenarios
Explicit per-scenario P&L. Your mental model should match these before entering.
ScenarioP&L %P&L $Description
OVERSHOOT-1726.1%−$25Price rallies past the upper cap — BUY YES pays but BUY NO loses. Net small loss — same payout as no-rally but on a different path.
NO RALLY-86.3%−$1Price never reaches the lower target strike — BUY YES expires worthless, only BUY NO pays $1. Net small loss after premium.
TARGET HIT+6.1%+$0Price touches the lower target strike and stops before the upper cap — both legs pay $1.
Structure · 2 legs · weighted 1:1 synthetic-NO basis
Net entry cost $25 for the full 1:1 synthetic-NO basis position. Weights follow the variant sizing convention; each row shows the side, strike, maturity, shares, cost, and payoff role.
| # | Side | Strike | Maturity | Mid | Weight | Shares | Cost | Role |
|---|---|---|---|---|---|---|---|---|
| 1 | BUY NO | $100K | 2026-07-01 | 0.998 | 1 | 24 | $24.88 | Outer cap (insurance) |
| 2 | BUY YES | $92.5K | 2026-07-01 | 0.005 | 1 | 24 | $0.12 | Outer cap (insurance) |
| Total | Cost | $25 | 1:1 synthetic-NO basis |
Path-dependent scenarios · B-ADJ-PRE
B-ADJ-PRE is a directional bet — BUY YES at the lower strike profits if price rallies up and touches it; BUY NO at the upper strike profits if price stops short of it. The operator is betting on a narrow rally INTO the target band. Spot starts BELOW both strikes.
A
Rally reaches lower target, stops before upper cap
100%probability
Conditional+0.4%
Contribution+0.4%
Price moves up enough to touch the lower strike but doesn't continue to the upper cap — both legs pay $1.
B
Price never reaches lower target
0%probability
Conditional (managed)−5.0%
Contribution−0.0%
Passive (no close)−49.8%
Spot drifts but never breaks above the lower target — BUY YES expires worthless, only BUY NO pays $1. Net small loss after premium.
C
Price rallies past the upper cap
0%probability
Policy goal−100.0%
Light slip−100.0%
Normal slip−100.0%
Passive (theoretical)−100.0%
Price touches the lower target on the way up (YES pays $1) but blows through the upper cap (NO loses). Net small loss — same payout as no-rally but on a different path.
Informational only — branch contributions assume probabilities sum to ~100% across scenarios. Branch C policy goal is a TARGET assumption achievable only with disciplined exit at 5% from the barrier and light slippage.
Expected return summary
probability-weighted across A + B + C
4 modelled outcomes · binding row highlighted
Policy goal+0.35%
Realistic +3pp slip+0.35%
Realistic +7pp slip+0.35%
Passive (no exit)+0.35%
Payoff at expiry
Payoff peaks in the inner zone — yellow lines mark inner barriers, red mark the outer caps. Floor outside the outer barriers reflects full loss of the entry stake.
Volatility sources
Raw σ values from each source. Pricing uses the highlighted row.
| Source | σ | Stale | Notes |
|---|---|---|---|
| Deribit IV (term) | 0.538 | 8s ago | Interpolated to market tenor |
| Binance RV (30d) | 0.452 | 8s ago | Realized vol over 30-day window |
| Binance RV (7d) | 0.731 | 8s ago | Realized vol over 7-day window |
| Binance RV (24h) | 0.474 | 8s ago | Realized vol over 24-hour window |
| phase1d-min-iv-rv30d (iv=0.54, rv=0.45) → 0.45 | 0.452 | 8s ago | Priced σ derived from raw sources (source kind: phase1d-min-iv-rv30d(iv=0.5382,rv=0.4517)) |
IV − RV divergenceΔ +0.09 (+16.1%)
Fee source
Live fee schedule + alternative sources. Pricing uses the highlighted row; drift vs trade stream is reported below.
| Source | Rate | Exponent | Taker only | Notes |
|---|---|---|---|---|
| Gamma fee schedule | 7.00% | 1 | yes | live · fetched 2026-06-09T23:11:13.436Z |
Drift vs live tradesn/a
Sizing breakdown
System computed 5 candidate position sizes. The smallest binds the recommendation — Policy target currently binds.
Policy target$25Position-cap policy◀ binding
Kelly criterionhonest zero$0Edge-based sizing (no soft floor)
Risk budget$1,000Remaining bankroll capacity
Entry capacity (VWAP)$301,771Top-of-book stack absorption (entry-side)
Exit capacity (VWAP)$307,015Top-of-book stack absorption (exit-side)
Recommended size$25
Max safe size$25
Effective bankroll—
Status timeline
No state transitions recorded yet for this signal.
Risks · structural
Categories specific to this corridor's structure.
Overshoot risk
Price rallies past the upper cap. YES leg paid but NO leg lost; net small loss vs. premium.
No-rally drift
Price stays below the lower target through expiry. YES leg expires worthless; premium decay dominates.
Gap-move risk
Price gaps past the upper cap without trading through the lower target — YES leg might not register a touch.
YES-leg illiquidity
Entry book for YES at the lower strike thin during fast moves; bad fills eat the target-band edge.
Settlement delay
UMA oracle may resolve over 24-72h. Capital frozen for that window.
Risk flags · system-detected
Awareness-level signals populated by the system. Info = consideration; warn = strong consideration before any manual action.
INFOdirectional-bet
B-ADJ-PRE is a single-direction rally bet, not a stay-in-range carry. Spot must move INTO the target band to capture full payoff.
WARNnarrow-target-band
Target band is narrow versus the distance from spot. Most paths land in NO RALLY or OVERSHOOT scenarios.
INFOgap-risk
Threshold markets register touches based on continuous trades. Overnight gaps past the upper cap without trading the lower target could leave YES un-triggered.