Product
| Code | Name | Underlying | Type | Underlying Px | Best Bid | Best Ask | Strike | DTE | Ratio | Time Value | Bid TV% | Ask TV% | Updated |
|---|
| Put | Call | |||||
|---|---|---|---|---|---|---|
| Bid | Ask | Strike | Bid | Ask | ||
Every trading day the server records every TSMC (2330) warrant and option tick from 09:00 to 13:30, then at 13:40 replays the day through Direct Match and the LP arb finder (Python implementations) on every change. Each arb is logged as an episode: when it appeared, when it disappeared, how long it lasted, and its edge at open and at peak. An LP episode means "some riskless structure existed at this expiry"; the legs shown are the structure at open (click a row for the peak structure). The StatArb table ranks long-warrant / short-option pairs by the daily vol 2330 would need to end in the pair's loss region at the option's expiry.
| Start | End | Lasted | Warrant | Option | Type | Strikes (W / O) | DTE (W / O) | W Ask (size) | O Bid (size) | Edge / share | Peak edge |
|---|
| Start | End | Lasted | Horizon | Structure at open | Net credit | Guaranteed | Return | Peak guaranteed |
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Every changed pair is rescored against the latest 2330 spot with the StatArb pair scanner's rules (net credit, whole-lot warrant leg, warrant held at intrinsic at option expiry). Required vol = |ln(nearest loss edge / spot)| / √(trading days to option expiry): the daily vol at which ending in the loss region is a one-sigma move. Each pair shows its peak of the day. Riskless pairs (no loss region) are left out — they are arbs, not vol bets.
| # | Peak at | Warrant | Option | Type | Strikes (W / O) | DTE (W / O / td) | W Ask (size) | O Bid (size) | Lots | Credit | Spot | Loss region | Move to loss | Req. daily vol |
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Cumulative realized P&L. A trade realizes only after its short-dated leg expires; the surviving leg is then exercised or sold to market, whichever pays more. Active trades contribute nothing.