BTCBTC between $55K and $68K · 4-leg WINGED-NN
Expires Jul 1, 2026 · spot now: $59,832 · last quote update 12m ago
Expected APR · probability-weighted+82.6%
Conditional APR · if barriers hold+188.4%
Best case−18.0%
Worst case−138.9%
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 0.50−61.0%Binance RV (30d)grid σ 0.40−107.4%Binance RV (7d)grid σ 0.60−18.0%Binance RV (24h)grid σ 0.60−18.0%
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
VALLEY OF DEATH-358.2%−$6Price crosses an inner body barrier but doesn't reach the outer wing — body lost, wing didn't pay.
WING REACHED+368.3%+$6Price reaches the outer wing — wing YES pays $1, partial recovery against body loss.
STAY INNER+368.3%+$6Price stays between the body strikes — both body NOs pay $1.
Structure · 4 legs · weighted 1:2:2:1
Net entry cost $25 for the full 1:2:2:1 position. Outer YES wings carry the tail payoff; inner NO body legs carry while spot remains inside the inner range.
| # | Side | Strike | Maturity | Mid | Weight | Shares | Cost | Role |
|---|---|---|---|---|---|---|---|---|
| 1 | BUY YES | $55K | 2026-07-01 | 0.516 | 1 | 15 | $8.11 | Outer wing (lottery) |
| 2 | BUY NO | $57.5K | 2026-07-01 | 0.265 | 2 | 15 | $4.16 | Inner body (carry) |
| 3 | BUY NO | $65K | 2026-07-01 | 0.460 | 2 | 15 | $7.23 | Inner body (carry) |
| 4 | BUY YES | $67.5K | 2026-07-01 | 0.350 | 1 | 15 | $5.5 | Outer wing (lottery) |
| Total | Cost | $25 | 1:2:2:1 |
Valley of Death · WINGED-NN only
Two zones between body and wing where you've already lost the body NO but the wing YES hasn't paid yet. The signature WINGED-NN risk: body broken, wing not reached.
A price move into a valley zone (e.g. $57.5k–$55k or $65k–$67.5k) hits the worst case for WINGED-NN: the body NO is out of the money, but the wing YES hasn't been touched yet, so the lottery insurance hasn't paid either. Exit discipline matters more here than in any other variant.
Path-dependent scenarios · WINGED-NN
WINGED-NN has a valley of death — touching an inner body barrier without reaching the outer wing is the worst-case zone, not breaching everything. Reaching the wing triggers cheap insurance.
A
Price stays inside body
3%probability
Conditional+25.7%
Contribution+0.9%
Price stays between the inner body strikes — both body NOs pay. Carry collection at full size.
B
Outer wing touched
57%probability
Conditional (managed)+25.7%
Contribution+14.7%
Passive (no close)+25.7%
Price reaches an outer wing — body NO lost, but outer YES wing pays $1. Net break-even to small loss.
C
Body lost, wing didn't trigger
39%probability
Policy goal−25.0%
Light slip−25.0%
Normal slip−25.0%
Passive (theoretical)−48.7%
Price crossed an inner barrier but didn't reach the wing — body NO lost, wing lottery ticket didn't pay. The danger zone unique to WINGED-NN.
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+5.77%
Realistic +3pp slip+4.59%
Realistic +7pp slip+3.01%
Passive (no exit)−3.57%
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]+18.0%
MIDσ ∈ [0.30, 0.40]+26.2%
HIGHσ ∈ [0.50, 0.50]+13.0%
EXTREMEσ ∈ [0.60, 0.60]+3.8%
Volatility sources
Raw σ values from each source. Pricing uses the highlighted row.
| Source | σ | Stale | Notes |
|---|---|---|---|
| Deribit IV (term) | 0.533 | 4s ago | Interpolated to market tenor |
| Binance RV (30d) | 0.389 | 4s ago | Realized vol over 30-day window |
| Binance RV (7d) | 0.569 | 4s ago | Realized vol over 7-day window |
| Binance RV (24h) | 0.844 | 4s ago | Realized vol over 24-hour window |
| phase1d-min-iv-rv30d (iv=0.53, rv=0.39) → 0.39 | 0.389 | 4s ago | Priced σ derived from raw sources (source kind: phase1d-min-iv-rv30d(iv=0.5329,rv=0.3890)) |
IV − RV divergenceΔ +0.14 (+27.0%)
iv-rv-divFee 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 2026-06-05T15:37:50.799Z |
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)$44,996Top-of-book stack absorption (entry-side)
Exit capacity (VWAP)$62,602Top-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.
Valley of death
Price touches a body strike but doesn't reach the wing — body lost, wing didn't trigger. The signature WINGED-NN risk zone.
Body break
Price exits the body range. Body NO leg lost; recovery depends on whether the wing was reached.
Wing illiquidity
Far-OTM wing YES legs sit at tick-floor (~1¢). Entry capacity tiny; exit may be impossible at fair price.
Vol expansion
Widening spreads on body legs can flip carry sign mid-trade. Body theta is path-sensitive.
Settlement delay
UMA oracle may resolve over 24-72h after expiry.
Risk flags · system-detected
Awareness-level signals populated by the system. Info = consideration; warn = strong consideration before any manual action.
WARNvalley-of-death-risk
WINGED-NN has unique exposure zones BETWEEN body strikes and wing strikes. Body broken + wing not reached = unhedged loss.
INFOwing-tail-asymmetric
Wing YES legs at tick-floor offer cheap insurance but high probability of expiring worthless. Wing economics differ from body carry.
INFObody-vol-sensitive
Body NO carry inverts on high realised vol. σ→APR curve is non-monotone (barbell shape) — see vol curve block.