ALPACA AI HACKATHON
TWO-SLEEVE OPTIONS AGENT · SPYMARKET · REGIME
Lookback
Gamma…
VIX…
S&P 500 (SPY) — daily heikin-ashi · red = VIX ≥ 25 (acute) · amber = elevated risk (short γ + VIX ≥ 20) · dots = firings (short γ + VIX ≥ 22, 20d window): ★ CRISIS ≥10% ◆ dip ≥5% ✕ miss ◇ pending (live) — crisis lift 2.2× base; 6/7 crises since 2018 had the gate lit before the −10% breach. Still 91% of fires see no crisis — a risk gauge, not a forecast
Risk-managed timing — two independent causal signals: ▲▼ SMA (VIX vs 1.5×/1.0× of its 252d mean) · ▲▼ MSAR (2-regime Markov-switching AR filter on vol-of-vol) — drawdown-defense overlays, not oracles.
Option trading timing — what OUR AGENT did (two-sleeve book, backtested): ▲ calls on · ▼ calls off · ▼ puts on / ▲ puts off
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Signal backtest — SMA vs MSAR vs buy & hold vs OUR OPTION BOOK, full available history (independent of the lookback selector above — a timing signal's record isn't meaningful sliced to 3 months) — SMA/MSAR/B&H are client-side and frictionless (no cost model); ours is the REAL two-sleeve options backtest, cost-charged at real bid/ask, shown at 1.0x on purpose — this panel compares signal quality, and levering our line 4x would win the chart by construction while proving nothing. Curve ends at chain-history end; the BACKTESTED tab carries the audited numbers and is the source of truth
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Dealer gamma profile — per strike, from Alpaca open interest · green = long γ (pinning) · red = short γ (amplifying) — cyan dashed = spot · gold = γ-flip (the level where dealer gamma changes sign) · shaded = ±1σ expected move · ◆ = dealer clusters. This is the surface sleeve 2 reads its direction from
GAMMA PROFILEMARKET CLOSED
No gamma exposure to show — the U.S. options market is closed. GEX is built from live open interest and dealer gamma by strike, which only populate while the market is open. This panel fills automatically at the next open (9:30 ET).
VIX term structure (VIX9D · VIX · VIX3M) — red band = backwardation (VIX3M < VIX). Watch VIX9D cross up through VIX for the earliest stress tell. — CBOE daily closes
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Vol regime nowcast — 3-state HMM on VIX, filtered (causal), live · calm ≈12.8 · neutral ≈17.2 · volatile ≈25.7 — context (where we are), not a forecast
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