Batman (structure)
Calendarized double-hump call structure (2 short near wings + 2 long far mid). Smooth-curve / theta / PoP scoring — NOT the production Batman forge's EV/signal/regime model.
Structural OSP playbook — what to look for & live signal measured
Profit mechanism. Twin-peak CALL double calendar: short near ATM call + 2 long far mid calls (≈SC_High/2) + short near OTM call tuned to net delta ≈ 0.03. Profits as front-call backwardation mean-reverts down.
Look for:
- front/back ATM IV ratio > 1.05 = BOOST entry (< 0.97 = SKIP, won't form)
- posD12 (−dH+2·dM) in [0.015, 0.35]; net delta ≈ 0.03
- LC_Mid mid ≈ ½ · SC_High mid (the Y/2 anchor)
- Valley/sag within ±1 EM above the −$50 floor
Edge / reality: Long the front-call backwardation mean-reversion. MEASURED: front backwardation (~25% of days) → front IV crushes +1.5vp over 2 days. Caveat: the ratio is checked ONCE at entry — if backwardation collapses right after, the edge is gone.
Live-signal caveat: Per-strike front/back ratio→crush now MEASURED on real option bars (+1.5vp/2d across SPY/QQQ/IWM) — not just the index proxy. Per-strike CALL skew captured and accruing; skew→PM pending.
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