research: low_svr21 combination study (STOP); daily option-chain snapshots

svr_combo (preregistered): blending low_svr21 into overnight_recovery_top10
lifts Sharpe 0.81 -> 0.87 at w=1/3 but deepens MaxDD by 6pp (G1, G3
fail); as a fourth sleeve it dilutes the overnight book (1.49 -> 1.42).

fetch_options collects S&P 500 option chains after each close from
Alpaca's free indicative feed (quotes, day volume, OCC open interest),
solves IVs, and writes per-name iv_atm30 / skew / call-put spread /
option-stock volume summaries to data/options/us/. Forward-only history
for options-implied factors. Run by the quant-trading-options timer at
16:25 New York, Mon-Fri; it skips once the next session has opened.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
2026-10-12 07:26:33 -07:00
parent 81f4e3b32c
commit 9287a92461
6 changed files with 642 additions and 1 deletions

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[Unit]
Description=Option-chain snapshot after the US close
[Timer]
OnCalendar=Mon..Fri 16:25 America/New_York
Persistent=true
[Install]
WantedBy=timers.target