polymarket ma close drift
What it checks
Polymarket asks 'will the merger close on time?' — if YES is above 75% but the stock is still trading far below the deal price, take the long. Symmetric short when YES drops below 25%.
Mechanism
For 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).
Signal rule
yes_lag ≥ 0.75 → LONG target equity through resolution; yes_lag ≤ 0.25 → SHORT. Hold 30/60/90d. T+1 lag.
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.
Expected edge
- Paper alpha
- untested — moonshot
- Paper window
- T+0 to T+90d
Untested — moonshot. Target 100-300 bps on the subset of merger-arb tickers with a linked polymarket market.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
m and a arbEventWhen a ticker files an 8-K with Item 1.01 (Entry into Material Definitive Agreement) or Item 2.01 (Completion of Acquisition or Disposition), the stock often experiences directional drift over 1-3 months as the deal plays out or the market re-rates the combined entity. We treat this as a coarse-grained M&A play (distinct from arbitrage on announced deals which needs target prices): long any ticker that filed a relevant 8-K Item for 21-63 days post-filing.
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.
polymarket iv skew spreadEvent-drivenPrediction-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.
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