Long vol arb:
1) calc integer skew (no annualized vol-fig)
2) price skew or switch lock
3) price expectation (trading days) via wknd-delete within front end
4) Price 3-way (option menage)
5) convert to COB-order and/or camouflage with redundant execution
6) select highest delta pos/RBH req
6) if conformal hit send
I've been working on a "local model" for a few months in SL on index and switch locks in SN-event trading. The SN has been near 100% hit rate (applied) and a few small losses/scratches due to comms on positions which were marginal (and not taken, projected comms & edge loss).