BTCBTC between $55K and $68K · 4-leg NESTED-4L
Expires Jul 1, 2026 · spot now: $61,823 · last quote update 20m ago
Expected APR · probability-weighted+91.7%
Conditional APR · if barriers hold+247.5%
Best case−77.6%
Worst case−286.5%
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 0.50−197.8%Binance RV (30d)grid σ 0.40−110.3%Binance RV (7d)grid σ 0.60−286.6%Binance RV (24h)grid σ 0.50−197.8%
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
BREACH OUTER-707.7%−$10Spot exits the outer corridor at expiry — both outer NO legs lose their premium.
STAY TIGHT-355.1%−$5Spot stays inside the outer corridor, no inner barrier touched — small carry loss from inner YES premiums.
TOUCH INNER+608.6%+$9Inner barrier touched — bonus YES leg pays $1 on top of outer NO carry.
Structure · 4 legs · weighted 3:1:1:3
Net entry cost $25 for the full 3:1:1:3 position. Outer NOs form insurance (3× weight, high P(pay)); inner YESes are touch options (1× weight, asymmetric upside).
| # | Side | Strike | Maturity | Mid | Weight | Shares | Cost | Role |
|---|---|---|---|---|---|---|---|---|
| 1 | BUY NO | $67.5K | 2026-07-01 | 0.650 | 3 | 9 | $6.45 | Outer cap (insurance) |
| 2 | BUY YES | $65K | 2026-07-01 | 0.630 | 1 | 9 | $6.25 | Inner bonus (touch) |
| 3 | BUY YES | $57.5K | 2026-07-01 | 0.521 | 1 | 9 | $5.17 | Inner bonus (touch) |
| 4 | BUY NO | $55K | 2026-07-01 | 0.717 | 3 | 9 | $7.12 | Outer cap (insurance) |
| Total | Cost | $25 | 3:1:1:3 |
Path-dependent scenarios · NESTED-4L
NESTED-4L is path-dependent — inner-barrier touches during the life of the trade pay bonus, independent of where price ends up. The best case here is the OPPOSITE of most variants: touching inner barriers is the jackpot.
A
Inner barrier touched mid-flight
26%probability
Conditional+35.3%
Contribution+9.2%
Price visits an inner strike at any point — inner YES legs pay $1. Doesn't matter where price ends up.
B
No inner touch, no outer breach
6%probability
Conditional (managed)−20.6%
Contribution−1.2%
Passive (no close)−20.6%
Price stays between the inner strikes the whole time — small carry loss from inner YES premiums paid.
C
Outer barrier broken
68%probability
Policy goal−34.0%
Light slip−37.0%
Normal slip−41.0%
Passive (theoretical)+2.4%
Price exits the outer corridor — outer NO legs lose. Active early-exit can cap loss with discipline.
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−15.22%
Realistic +3pp slip−17.27%
Realistic +7pp slip−20.00%
Passive (no exit)+9.62%
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 sensitivity
How realised vol over the hold changes central APR. Active regime is highlighted.
LOWσ ∈ [0.20, 0.20]−161.7%
MIDσ ∈ [0.30, 0.40]−93.9%
HIGHσ ∈ [0.50, 0.50]−197.8%
EXTREMEσ ∈ [0.60, 0.60]−286.6%
Volatility sources
Raw σ values from each source. Pricing uses the highlighted row.
| Source | σ | Stale | Notes |
|---|---|---|---|
| Deribit IV (term) | 0.538 | 39s ago | Interpolated to market tenor |
| Binance RV (30d) | 0.448 | 39s ago | Realized vol over 30-day window |
| Binance RV (7d) | 0.705 | 39s ago | Realized vol over 7-day window |
| Binance RV (24h) | 0.508 | 39s ago | Realized vol over 24-hour window |
| phase1d-min-iv-rv30d (iv=0.54, rv=0.45) → 0.45 | 0.448 | 39s ago | Priced σ derived from raw sources (source kind: phase1d-min-iv-rv30d(iv=0.5382,rv=0.4476)) |
IV − RV divergenceΔ +0.09 (+16.8%)
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 2026-06-09T23:11:15.187Z |
Drift vs live tradesn/a
Sizing breakdown
System computed 5 candidate position sizes. The smallest binds the recommendation — Kelly conservative currently binds.
Policy target$25Position-cap policy
Kelly criterionhonest zero$0Edge-based sizing (no soft floor)◀ binding
Risk budget$1,000Remaining bankroll capacity
Entry capacity (VWAP)$131,021Top-of-book stack absorption (entry-side)
Exit capacity (VWAP)$123,341Top-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.
Outer break
Spot breaching the outer corridor → 100% loss of entry.
No inner touch
Realised vol may be too low — bonus YES legs never paint. Exit at the central carry.
Liquidity
Thin order book on YES legs. Closing before expiry only reliable up to mid-size capacity.
Settlement delay
UMA oracle may resolve over 24-72h. Capital frozen for that window.
Correlated breakdown
Macro-shock can break both outer strikes simultaneously. Model underweights this scenario.
Risk flags · system-detected
Awareness-level signals populated by the system. Info = consideration; warn = strong consideration before any manual action.
INFOsigma-volatile-evidence
sigma-scan: only 0 of 5 grid points yielded positive EV — edge is fragile to sigma uncertainty.
WARNnotional-binding-kelly-zero
Kelly criterion returned 0 (non-positive edge detected). Position should only proceed under explicit operator override.
INFOsoft-profit-below-floor
Passive absolute profit below auto-trade floor (absoluteProfit=-1.60<0.25); surfaced for active-manager judgement.
INFOsoft-return-below-floor
Passive return-% below floor (returnPct=-6.387<0.5); surfaced for active-manager judgement.
INFOsoft-apr-below-floor
Passive APR below floor (apr=-110.25<20); surfaced for active-manager judgement.
INFOsoft-notional-too-small
Kelly declined sizing (notionalTooSmall=kelly-declined(binding=kelly)); row surfaced at min display notional, not auto-traded.