olsch01
21ec5b133c
Replace naive closest-delta picker with a cascading filter pipeline: - OTM distance cap (0.5%–20%) eliminates 1400% OTM garbage - Premium floor ($0.05 mid) and positive bid/ask required - Bid-ask spread ≤ 50% of mid rejects phantom/wide quotes - Liquidity floor: volume ≥ 5 OR open interest ≥ 20 - Returns nil rather than falling back to untradeable contracts - Scoring: premium yield × liquidity × 3-10% OTM sweet-spot bonus Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>