DVOL is the options market's 30-day expectation of BTC volatility, which
the price series does not contain. scripts/fetch_dvol.py downloads the full
hourly history (48,832 hours from March 2021, no gaps).
src/volatility.add_implied_features derives five scale-free features: DVOL
against its 90-day median, against realised 24h volatility (variance risk
premium) and against the regime threshold, and its 6h and 24h changes.
In a quick logistic check on the regime target, adding them raised hold-out
accuracy from 72.6% to 73.9% and ROC-AUC from 0.786 to 0.799. The
VAE+Transformer is retrained with --dvol on Colab to test it properly; the
existing 33 features and the live model are unchanged.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
