Limitations

What is unsolved, at the same length as the results.

The following are unresolved. They are stated at the same length as the results because documentation that omits them is marketing.

Cross symbol correlation

Now implemented through a factor model with stressed betas, described under cross symbol margin. What remains is the estimation problem, which is the harder half. Betas are static constants rather than fitted to returns, there is a single factor per asset class so sector structure within equities is invisible, and the cross class correlation is a constant pair rather than a fitted quantity. A book concentrated in semiconductors currently receives the same diversification credit as one spread across sectors.

Liquidity, as distinct from price

Horizon scaling assumes a liquidator can exit within h days at a price near the mark. In a dislocation the wings do not trade at any price. Advance rates on thin strikes should be lower than the engine currently sets them, and no liquidity term is present.

Gap risk beyond the grid

A three standard deviation two day move is a scenario, not a bound. Overnight halts, corporate events and fraud all exceed it. The insurance fund exists for the region the grid does not cover and is finite. Nothing here claims the grid is a worst case.

Surface parameters are not fitted

Skew and curvature are constants rather than estimated from traded prices. Adequate for a testnet and inadequate for a venue carrying real risk.

Regulatory status

Offering options on securities is a licensed activity in every major jurisdiction, and a perpetual instrument referencing the volatility of a security is a derivative referencing a security. The testnet holds no customer funds, executes nothing and settles against nothing. No claim is made that a compliant path exists in any particular jurisdiction.