Notes from the order book.
Volatility, liquidity, and edge on prediction markets. New research most weeks — some open, some Pro.
The volatility risk premium is back in election markets
Realized vol on the 2028 nomination contracts has collapsed while implied stays bid. The carry trade is back — and so is the tail that ends it. We size the premium and where it breaks.
Latest research
Kalshi's Fed-cut ladder is mispricing the tails
The September ladder implies a tidy unimodal path. The data says the wings are fatter than that.
Order-book imbalance: what it actually predicts
We backtest depth imbalance as a signal across 4,000 markets. It works — but not where you think.
USDC inflows to Polymarket as a positioning signal
On-chain deposits lead price on the largest markets by a few hours. The lead is small, real, and crowded.
Resolution risk is the theta nobody prices
Long-dated contracts decay through ambiguity, not time. We model the haircut for vague resolution criteria.
Cross-venue IV: Deribit BTC vs '100k by year-end'
The prediction market and the options market disagree on Bitcoin vol. One of them is wrong; we say which.
Liquidity cliffs: why thin books resolve violently
When depth evaporates near resolution, price discovery breaks. A field guide to the last 48 hours.