Option-Implied Strategy Lab

Big-picture introduction

This app follows the same flow as notebooks/demo.ipynb:

1. run diagnostics, 2) view implied density, 3) compare strategy scores, 4) inspect arbitrage candidates.

Breeden-Litzenberger idea (under European assumptions): $$f_{RN}(K) = e^{rT} \frac{\partial^2 C(K,T)}{\partial K^2}$$

Plain meaning: the way call prices bend across strikes gives a market-implied probability shape.

Strategy meanings

• long_stock: buy and hold the underlying with no option hedge.
• protective_put: hold stock and buy a put to limit large downside losses.
• collar: hold stock, buy a put, and sell a call to reduce hedge cost while capping upside.

Arbitrage candidate families

• vertical: checks strike ordering consistency.
• butterfly: checks three-strike curvature consistency.
• parity: checks call-put parity at one strike and expiry.
• calendar: checks maturity ordering at the same strike.