这是一个 option-only 的 Black–Scholes + IV smile mispricing strategy

它用 VELVETFRUIT_EXTRACT 作为 underlying，然后对每个 option：

1. 读取 underlying mid price
2. 计算剩余到期时间 T
3. 用历史拟合出来的 volatility smile 估计 IV
4. 用 Black–Scholes call formula 算理论价格
5. 用 option 当前 mid price 和理论价之间的 residual 做 EWMA 修正
6. 得到 adjusted fair value
7. 如果市场 ask 低于 fair，就买入
8. 如果市场 bid 高于 fair，就卖出
9. 如果 spread 足够宽，还会挂 passive bid/ask 做 market making

Created the options-only strategy at traders/trader_round3_options_v1.py:1.

It trades only: VEV_4000, VEV_4500, VEV_5000, VEV_5100, VEV_5200, VEV_5300, VEV_5400, VEV_5500

It sends no orders for: HYDROGEL_PACK, VELVETFRUIT_EXTRACT, VEV_6000, VEV_6500

Data Findings

• No useful lag was found between VELVETFRUIT_EXTRACT and options. Best return correlation is same-tick, not lead-lag.

• Level correlation with underlying is strongest for ITM vouchers: VEV_4000/VEV_4500 around 0.999, VEV_5000 around 0.995, then decays for OTM strikes.

• Return correlation is strongest around VEV_5000 to VEV_5200, but the tradable edge came from volatility-smile residual mean reversion, not directional prediction.

• VEV_6000 and VEV_6500 are effectively floor products around 0.5; skipped.