MAIN PROBLEM
There is scarce historical derivatives data available to perform effective backtesting. Cleaning and processing this data represents a significant challenge.
PROPOSED SOLUTION
Implement a live data collection system with the following architecture:
- •PostgreSQL database to store data (initially hosted on Supabase)
- •Integration with Deribit's official API to capture real-time opportunities
- •Forward testing monitoring at-the-money options
ARBITRAGE STRATEGY
Identify pure arbitrages through replicating portfolios and the Black-Scholes model, using the creation of synthetic assets:
Synthetic Asset Formulas
REQUIRED HELP FROM MARCOS
We need support to:
- •Validate the arbitrage model with replicating portfolios
- •Review the technical implementation of the data collection system
- •Optimize the arbitrage opportunity detection strategy
IMPLEMENTATION METHODOLOGY
The strategy is based on observing Calls and Puts traded on Deribit's market to identify arbitrage opportunities by comparing them with synthetic assets.
Detection Process
- •Observe market prices of Calls and Puts on Deribit
- •Create synthetic Calls using replication formulas
- •Identify price discrepancies (mispricing) between real and synthetic derivatives
MVP Components
PROJECT STATUS
This project is currently in the development phase. The live data collection system is being implemented to enable forward testing of the synthetic options arbitrage strategy. Backtesting results will be available once the historical data collection phase is complete.