Skill: diagnostikon/kalshi-crypto-volatility-skew-trader (version 1.0.5)

--- name: kalshi-crypto-volatility-skew-trader description: Trades Bitcoin price bin markets on Kalshi by comparing market-implied volatility to BTC historical ~60% annualized vol using a lognormal model. Requires SIMMER_API_KEY and simmer-sdk. Use when you want to capture alpha from volatility skew mispricing. metadata: author: Diagnostikon owner: Diagnostikon version: "1.0.0" displayName: Kalshi Crypto Volatility Skew Trader difficulty: advanced homepage: "https://simmer.markets/skills" repository: "https://github.com/SpartanLabsXyz/simmer-sdk" requires_env: "SIMMER_API_KEY" requires_pip: "simmer-sdk" default_mode: "paper" live_flag: "--live" --- # Kalshi Crypto Volatility Skew Trader > **This is a template.** > The default signal uses BTC historical annualized vol (~60%) to compute fair bin probabilities via lognormal model -- remix it with options-implied vol surface, realized vol regimes, or GARCH models. > The skill handles all the plumbing (market discovery, trade execution, safeguards). Your agent provides the alpha. ## Strategy Overview Bitcoin price bin markets on Kalshi imply a probability distribution over future BTC prices. This skill compares that implied distribution to a lognormal model calibrated on BTC's historical ~60% annualized volatility. When the market implies a different vol, the bins are mispriced. Key advantages: - **Historical vol is well-documented** -- BTC trailing 1-year vol has consistently averaged ~60% - **Lognormal model is standard** -- same framework used by options traders worldwide - **Vol skew detection** -- estimates implied vol from market prices and identifies directional skew - **Bin-level edge** -- finds the specific bins most mispriced by the vol mismatch ## Signal Logic ### Volatility Skew Model 1. Parse BTC price bin boundaries from market questions 2. Estimate market-implied vol via grid search over lognormal model 3. Compute fair bin probabilities using historical 60% vol 4. Compare fair probability to market price per bin 5. Trade when `|fair - market| >= entry_edge` ### Conviction-Based Sizing - `conviction = min(|edge| / entry_edge, 2.0) / 2.0` - `size = max($1.00, conviction * MAX_POSITION_USD)` - Larger edge = larger position, capped at MAX_POSITION_USD ### Remix Ideas - **Deribit options surface**: Use actual options-implied vol instead of historical - **Realized vol regimes**: Switch between high/low vol regimes based on recent price action - **GARCH forecasting**: Use GARCH(1,1) to forecast forward vol dynamically - **Correlation with macro**: Adjust vol for Fed meetings, CPI releases, halving proximity ## Risk Parameters | Parameter | Default | Notes | |-----------|---------|-------| | Entry edge | 8% | Min fair-vs-market divergence to trade | | Exit threshold | 45% | Sell when position price reaches this | | Max position size | $5.00 USDC | Per market | | Max trades per run | 4 | Rate limiting | | Max slippage | 15% | Skip if slippage exceeds | | Min liquidity | $0 | Disabled by default | ## Installation & Setup ```bash clawhub install kalshi-crypto-volatility-skew-trader ``` Requires: `SIMMER_API_KEY` and `SOLANA_PRIVATE_KEY` environment variables. ## Cron Schedule Cron is set to `null` -- the skill does not run on a schedule until you configure it in the Simmer UI. ## Safety & Execution Mode **The skill defaults to dry-run mode. Real trades only execute when `--live` is passed explicitly.** | Scenario | Mode | Financial risk | |----------|------|----------------| | `python trader.py` | Dry run | None | | Cron / automaton | Dry run | None | | `python trader.py --live` | Live (Kalshi via DFlow) | Real USDC | The automaton cron is set to `null` -- it does not run on a schedule until you configure it in the Simmer UI. `autostart: false` means it won't start automatically on install. ## Required Credentials | Variable | Required | Notes | |----------|----------|-------| | `SIMMER_API_KEY` | Yes | Trading authority. Treat as a high-value credential. | | `SOLANA_PRIVATE_KEY` | Yes | Base58-encoded Solana private key for live trading. | ## Tunables (Risk Parameters) All risk parameters are declared in `clawhub.json` as `tunables` and adjustable from the Simmer UI without code changes. | Variable | Default | Purpose | |----------|---------|---------| | `SIMMER_CRYPTO_VSKEW_ENTRY_EDGE` | `0.08` | Min divergence between fair and market to trigger trade | | [REDACTED_SECRET] | `0.45` | Sell position when price reaches this level | | [REDACTED_SECRET] | `5.00` | Max USDC per trade | | [REDACTED_SECRET] | `4` | Max trades per execution cycle | | [REDACTED_SECRET] | `0.15` | Max slippage before skipping (0.15 = 15%) | | [REDACTED_SECRET] | `0` | Min market liquidity USD (0 = disabled) | ## Dependency `simmer-sdk` is published on PyPI by Simmer Markets. - PyPI: https://pypi.org/project/simmer-sdk/ - GitHub: https://github.com/SpartanLabsXyz/simmer-sdk - Publisher: [REDACTED_SECRET] Review the source before providing live credentials if you require full auditability.


Security scan verdicts — ClawScan: suspicious | static analysis: clean | VirusTotal: stale | SkillSpector: suspicious (CRITICAL)