An independent model validation on live Deribit data: arbitrage-free volatility surfaces, five calibrated models, and a one-year test of which delta actually hedges. Refreshed every day at 08:00 UTC.
Market bid-ask implied volatility for each expiry against every model's fit. Pick an expiry; click a model to hide it.
Fit to today's market and the validation decision.
At-the-money implied vol by days to expiry, from the SVI surface.
One-day hedges, out of sample.
Monthly correlation between BTC's daily move and the same options' IV change. This is why no fixed smile model wins.
Mean-reversion speed kappa over a year. Values near 200 sit on the optimiser's bound: the model is straining.
The full report, written like a bank's: scope, data, conceptual soundness, implementation tests, outcome analysis, stability, findings register and a decision per model. Rebuilt with every update.