Methodology: Using the standard FX 3-point convention: ATM Straddle, 25Δ Risk Reversal, 25Δ Butterfly.
Strikes derived via: σ(25Δ Call) = ATM + BF + ½·RR | σ(25Δ Put) = ATM + BF − ½·RR.
This gives the smile at 10D/25D/ATM/25D/25C nodes, capturing skew and kurtosis effects.
Date
Tenor
IV Smile on Selected Date
Smile Stats
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ATM IV
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25Δ Risk Reversal
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25Δ Butterfly
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Put − Call IV Spread
Node
Δ
IV (%)
vs ATM
Interpretation
1M ATM Vol History with Bid/Ask Band
1M RR & BF Time Series
Gamma Scalping Strategy Engine — Long Straddle + Delta Hedge
Logic: Enter Long ATM Straddle when Model IV (10-day rolling mean of market ATM) exceeds Market Ask IV by > entry threshold →
"market is underpricing vol relative to recent average." Exit when the spread falls below exit threshold.
Delta-band hedge: rebalance spot only when net delta deviation exceeds ±10% of notional. Full cost loading: option commission ¥1,500/M, spot commission ¥750/M, extra slippage 0.005 JPY.
Entry Threshold
Exit Threshold
Trade Size (USD)
Delta Band
Rolling IV Window
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Total Trades
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Win Rate
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Total Net PnL (¥)
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Total Commissions (¥)
Spot with Entry / Exit Signals
Cumulative Net PnL (¥, After All Costs)
Model IV vs Market Ask IV (Entry Signal)
Green zone: Model IV > Ask IV + threshold → Buy Straddle. Red zone: Spread below exit threshold → Sell.
For FX options, r_spread = rd − rf (USD rate − JPY rate). The forward price F = S·e^((rd−rf)·T) is used as the ATM strike convention.
Backtest Results — Full Period Jan–Mar 2026
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Trades
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Win Rate
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Total Net PnL (¥)
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Total Commissions (¥)
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Avg PnL / Trade (¥)
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Max Drawdown (¥)
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Sharpe Ratio
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Profit Factor
Cumulative PnL Curve (¥)
Per-Trade PnL Bar Chart (¥)
PnL Distribution
Commission Breakdown per Trade (¥)
Risk Dashboard
Theta Drag vs Gamma Gain
Key trade-off: Long Straddle earns from spot moves (Gamma P&L) but bleeds Theta daily. Profitability requires realized vol > implied vol.
Daily Spot Move vs Break-Even
Green bars: Daily move exceeds straddle break-even (favorable). Red bars: Move insufficient to cover Theta.
Risk Parameters
Max Position Delta (band)±10% notional
Straddle Max LossPremium Paid
Hedge InstrumentUSD/JPY Spot
IV Risk (Vega)Long Vega (benefits from IV rise)
Theta RiskNegative — time decay hurts
Gamma RiskPositive — large moves help
RV vs IVMust have RV > IV to profit
Skew Risk (25R)Put skew increases put cost
Scenario: Impact of IV Move on Straddle
IV Change
Δ Straddle Value (¥, 400K USD)
Assessment
Rolling Realized Vol vs 1M ATM IV — Volatility Premium Monitor
Strategy edge: Enter when market IV < rolling model IV (IV "underpriced" vs recent avg). Exit when premium collapses. Positive IV premium (IV > RV) favors short vol; negative premium favors long vol (our strategy).