polymarket iv skew spread
What it checks
When prediction markets disagree with options markets on the same event, the cheaper side has the edge. We take the equity position implied by whichever instrument is mispriced lower.
Mechanism
Prediction-market YES probability vs equity-option-implied probability of the same binary event. When |P_polymarket − P_option_implied| > threshold and the equity has an options chain, take the cheaper-side equity position. Distinct from #206 polymarket_event_premium which compares against realized vol (0.5 baseline); this is the true Moonshot-C cross-instrument arb.
Signal rule
sign(P_poly − P_opt) when |P_poly − P_opt| > spread_threshold; T+1 lag; hold 5/21/63d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
polymarket_marketsWorker data table — see services/worker schema.
polymarket_prices_dailyWorker data table — see services/worker schema.
options_chain_dailyEnd-of-day OPRA option chains used by IV-skew family.
Expected edge
- Paper alpha
- untested — moonshot
- Paper window
- T+0 to T+63d post-spread
Untested — moonshot. Target ~100-300 bps annualized on tickers with both a linked polymarket and deep options chain (~50-100 names).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
polymarket event premiumEvent-drivenPrediction-market prices on company-specific binary events (FDA approvals, M&A close-by-date, CEO departures, earnings beats, bankruptcy, lawsuit outcomes) update faster and more accurately than equity options price the same outcome. When the polymarket yes_price deviates from the option-implied probability of the same outcome by more than threshold, the equity has not yet absorbed the news.
iv skewMicrostructureBucketed put-call skew (Xing-Zhang-Zhao 2010 proxy): high (otm_iv − atm_iv) z-score → put protection in demand → bearish drift; low z → complacency → long. v2 uses options_chain_daily per-moneyness-bucket IV columns; strike-level Polygon Options feed pending.
polymarket ma close driftEvent-drivenFor merger/acquisition markets ("Will X merger close by date Y?"), the polymarket YES probability is a clean prior on deal-completion. When the polymarket says >75% close-prob but the equity is trading far below the deal price (wide deal-spread), the classical Mitchell-Pulvino risk-arb edge is amplified: there's a paid wait AND a prediction-market vote of confidence on completion. Symmetric short on <25% close-prob (break risk).
Explore polymarket iv skew spread on alphactor.ai
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