jgrusewski d43fb5e61f feat(surfer): equity-index VRP frontier — real+affordable, measurement needs engineering ...

Bought XSP (mini-SPX) options ohlcv-1d 2013-2026 = $66.86 (hard-capped $70, get_cost-gated,
year-chunked vs 504, 2025 backfilled) + SPY $0.01. CORRECTION: index VRP is NOT $900 (that was
SPY root); clean instrument XSP $66.86/13y or SPX $143/13y. THREE measurement attempts all gave
spurious NEGATIVE VRP (RV 28-33% vs implied ~16%) = MEASUREMENT ERROR not finding (contradicts
decades of SPX VRP evidence). Bugs: noisy parity underlying; ~469/2800 days survive -> multi-day
gaps inflate RV; SPY!=XSP divergence corrupts ATM. Root: XSP EOD ohlcv too sparse to reconstruct
clean underlying+ATM-IV. Implied (16.7%) reads right. Frontier real+affordable+in-hand but proper
extraction is a real options-quant build (denser SPX +$76 or IV-surface w/ quotes), not a gate.
Did NOT record -2.7 as a result (artifact). Crypto momentum+VRP remains only deploy-grade edge.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-06 22:13:34 +02:00

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