price_options
For “should I hedge this” and “what does protection cost”.
price_options takes a structure from
list_option_structures, a currency, a strike as
a multiple of spot and a tenor, then rolls it through recorded history against
Deribit’s volatility index.
What it answers
The skew is a choice, and it moves everything
The skew is the number of volatility points added to the at-the-money index to price strikes away from it. It is not a measurement. It is an assumption, and it is the single largest lever on every figure returned — the same structure priced at two plausible skews gives answers that differ by more than the difference between hedging and not hedging. Every answer states the skew it used. A result quoted without it is a number with no error bar, presented as a fact.What the history actually says
Buying protection has not worked. Not at any strike, spend or tenor measured. At-the-money insurance costs something like 30–40% a year against the asset’s own drift: the premium compounds every roll, and the payoff arrives only in a fall large enough to clear what the previous rolls cost. That is a finding, not a prejudice. It does not mean never — it means the case has to rest on something other than expected return:- a drawdown that would force a sale at the bottom
- a loan that would liquidate
- a cashflow that has to survive one specific quarter
An agent that prices a put without saying this has answered the question asked
and not the one meant.
Read won next to the total
A result is a series of rolls — open, hold to expiry, settle, reopen. won
counts how many paid more than they cost. A respectable total can come from one
lucky roll in ten, and the two readings are very different bets.