Methodology

Every analytic in this crate cites a primary source. The methodology pages below are the authoritative references — every formula, every classifier rule, every threshold default points back to one of them.

Volatility

• CBOE Volatility White Paper — the generalised-VIX methodology applied by the Volatility analytic.

Market microstructure

• OPRA Pillar Output Spec — the wire specification driving option-tape sale conditions and block-eligibility rules.
• UTP sale conditions — the Nasdaq-tape stock condition codes consumed by the OHLCVC and enriched-trade analytics.
• SIP cross-tape — the cross-tape consolidated-tape rules applied to filter regular-hours qualifying trades.

Pricing

• Black–Scholes — the offline pricing kernel consumed by the Greeks and IV-change analytics. Implementation sourced from the the upstream binary encoding layer's Black-Scholes kernel module.

Flow

• Lee–Ready 1991 — the canonical trade-classification algorithm consumed by EnrichedTrade.
• Easley / López de Prado VPIN — the order-flow toxicity measure consumed by Vpin.

Dealer positioning

• SqueezeMetrics dealer positioning — the gamma-exposure aggregation convention consumed by the Gex analytic.

Citation discipline

The methodology pages cite only authoritative sources. Internal plans, release rounds, and audit findings never appear in user-facing methodology. Where a primary source sits behind a paywall, the page links the publicly accessible abstract and DOI — the body of paywalled papers is never pasted into this site.