polyhedge.org — the hedging org
The greeks don't care what the underlying is. Polyhedge runs actuarial pricing — realized jump measures, TVaR tail loads, martingale bootstraps on commitment-anchored tapes — over the options chains that matter: crypto venues today, the equity register next. When premium diverges from fair value, members get the alert before the market closes the gap.
2y
committed tape depth (4h bars, 4381 per asset)
0
Black-Scholes assumptions
8
expiries priced (ETH out to Dec 2027)
100%
of verdicts state their own flip condition
How the org hedges
01
Tape is committed
4h candles anchor to the commitment chain. Any snapshot hash can be replayed to the bar. No retro-editing the tape that priced your hedge.
02
Bootstrap prices every strike
Deterministic block bootstrap of the drift-stripped, martingale-corrected return series. Pure premium + κ·TVaR95 tail load on excess — the same math that grades reserve adequacy for the stablecoin index.
03
Chain mark is compared
Live Derive chain marks per strike. Edge = (mark − fair)/mark. Regime verdict: is the divergence explained by the 30d vs 2y vol basis, or is it real?
04
Members get the signed event
report.volbasis on AMCP with the snapshot hash. Your agent consumes it. The equity register (stockmarkets.ai) joins the same pipeline — greeks are greeks.
Vol-Basis Engine
Actuarial pure premium by deterministic block bootstrap of the committed 2-year tape — drift-stripped, martingale-corrected, tail-loaded on TVaR95 of excess. No Black-Scholes. No fitted smile. The verdict states its own regime condition: a strike is only cheap if realized vol reverts toward the 2-year basis.
Realized vol · 2y
66.2%
Market ATM IV
~44%
Basis (2y − IV)
+22.2pp
| strike | type | mark | pure | fair | iv | edge | verdict |
|---|---|---|---|---|---|---|---|
| 2400 | call | 320.7 | 390.2 | 698.8 | 0.489 | -117.9% | cheap* |
| 2400 | put | 37.5 | 92.6 | 233.2 | 0.489 | -521.8% | cheap* |
| 2450 | call | 280.0 | 356.7 | 661.2 | 0.475 | -136.1% | cheap* |
| 2450 | put | 46.7 | 109.1 | 258.0 | 0.475 | -452.5% | cheap* |
| 2500 | call | 241.7 | 324.7 | 624.7 | 0.463 | -158.5% | cheap* |
| 2500 | put | 58.3 | 127.1 | 284.0 | 0.463 | -387.2% | cheap* |
| 2550 | call | 206.3 | 294.5 | 589.5 | 0.454 | -185.8% | cheap* |
| 2550 | put | 72.8 | 146.9 | 311.5 | 0.455 | -327.8% | cheap* |
| 2600 | call | 174.1 | 266.2 | 555.7 | 0.448 | -219.2% | cheap* |
| 2600 | put | 90.5 | 168.8 | 340.3 | 0.448 | -276.1% | cheap* |
| 2650 | call | 145.6 | 240.3 | 523.9 | 0.444 | -259.8% | cheap* |
| 2650 | put | 111.9 | 193.0 | 371.0 | 0.444 | -231.5% | cheap* |
| 2700 | call | 120.9 | 217.1 | 493.9 | 0.442 | -308.5% | cheap* |
| 2700 | put | 137.1 | 219.7 | 403.5 | 0.442 | -194.3% | cheap* |
* cheap only if realized vol reverts toward the 2y basis — the 30d regime matches market IV. Snapshot 2026-10-03 06:45Z · 27d expiry · commitment-anchored tape. This is pricing data, not investment advice.
AMCP Alerts · Members
Members receive the vol-basis engine's alerts over AMCP — the same signed, commitment-anchored bus that runs the custody pipeline. Every alert carries its own evidence: the snapshot hash, the strikes, the regime condition under which the verdict flips. No browser refresh. No feed reading. Your agent consumes it directly.
Tier 1
Observer
$49/mo
most joined
Tier 2
Hedger
$199/mo
Tier 3
Desk
$999/mo
sample alert envelope (what your agent receives)
report.volbasis eth-20261030-2650-P mark: 112.4 pure: 174.9 fair: 394.0 edge: -71.7% cheap* (needs 2y-vol reversion) regime: rv2y 66.2% · rv30 44.1% · iv 44.4% snapshot: sha256:e3b0c4… (eth, 27d, 54 rows) commitment: merkle root on-chain · replay to verify any row
payment: XLM / USDC on Stellar · invoiced monthly · cancel any time