Microstructure#14tier 1live in production
iv skew
cadence: Dailydata: medium
Mechanism
Per-ticker historical IV at strike level requires a paid vendor (Polygon Options Starter ~$29/mo or OptionsDX bulk one-shot). For now this generator emits a single failed candidate per ticker so the experiment table records what's
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
options_chain_historyEnd-of-day OPRA option chains used by IV-skew family.
Expected edge
See referenced paper for original effect size; modern out-of-sample replication may be weaker.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Explore iv skew on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.