BTCBTC between $58K and $70K · 2-leg RANGE-NN
Expires Sep 1, 2026 · spot now: $63,351 · last quote update 11m ago
Expected APR · probability-weighted+169.6%
Conditional APR · if barriers hold+199.9%
Best case+362.4%
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).
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
WHIP-SAW-95.1%−$1Price touches BOTH barriers at different times — every leg loses.
SINGLE BREACH-95.1%−$1Price touches one barrier — one NO loses, the other still pays $1.
STAY IN RANGE+362.4%+$5Price never touches either barrier — both NOs pay $1.
Structure · 2 legs · weighted variant-specific
Net entry cost $25 for the full variant-specific 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 | $70K | 2026-09-01 | 0.860 | 1 | 14 | $12.8 | Outer cap (insurance) |
| 2 | BUY NO | $57.5K | 2026-09-01 | 0.820 | 1 | 14 | $12.2 | Outer cap (insurance) |
| Total | Cost | $25 | variant-specific |
Path-dependent scenarios · RANGE-NN
RANGE-NN is a pure range bet — every barrier touch is a loss. No bonuses, no insurance. The price just needs to stay between two barriers for the entire holding period.
A
Neither barrier touched
58%probability
Conditional+19.0%
Contribution+11.0%
Price stays inside the corridor for the whole duration — both NOs pay $1 each. Clean carry collection.
B
One barrier touched
36%probability
Conditional (managed)−5.0%
Contribution−14.7%
Passive (no close)−40.5%
Price visits one barrier. That NO leg dies; the surviving leg still pays — partial recovery.
C
Both barriers touched
6%probability
Policy goal−5.0%
Light slip−5.0%
Normal slip−5.0%
Passive (theoretical)−100.0%
Price ranges wildly enough to touch both barriers in the period — every leg loses. Tail event.
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−4.00%
Realistic +3pp slip−4.18%
Realistic +7pp slip−4.40%
Passive (no exit)−9.44%
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) | 0.365 | 57s ago | Interpolated to market tenor |
| Binance RV (30d) | 0.278 | 57s ago | Realized vol over 30-day window |
| Binance RV (7d) | 0.208 | 57s ago | Realized vol over 7-day window |
| Binance RV (24h) | 0.238 | 57s ago | Realized vol over 24-hour window |
| phase1d-min-iv-rv30d (iv=0.36, rv=0.28) → 0.36 | 0.365 | 57s ago | Priced σ derived from raw sources (source kind: phase1d-max-iv-rv30d(iv=0.3645,rv=0.2782)) |
IV − RV divergenceΔ +0.09 (+23.7%)
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 2026-08-12T22:35:45.204Z |
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)$35,631Top-of-book stack absorption (entry-side)
Exit capacity (VWAP)$88,430Top-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.
Whip-saw
Price touches BOTH barriers at different points during the period. Both NO legs lose — total loss.
Single breach
One barrier touched. Surviving NO still pays $1, but premium of both legs lost on the failed side.
Vol expansion
Realised vol spike narrows the safe margin between spot and barriers. RV30d > IV signals risk increase.
Thin tail books
NO legs at extreme strikes have thin entry/exit depth. Slippage caps real position size.
Settlement delay
UMA oracle resolution window 24-72h.
Risk flags · system-detected
Awareness-level signals populated by the system. Info = consideration; warn = strong consideration before any manual action.
WARNwhip-saw-risk
Two-sided range bets are vulnerable to whip-saw: price touches both barriers at different points and both NO legs lose.
INFOnarrow-margin
Premium edge on range bets is thin. Realised vol spike can flip the trade negative even without barrier touch.