Implement options snapshot tape table

services/ingest-options/tests/synthetic.test.ts

@@ -1,5 +1,5 @@
 import { describe, expect, it } from "bun:test";
-import { buildSyntheticBurstForTest } from "../src/adapters/synthetic";
+import { buildSyntheticBurstForTest, updateSyntheticIvForTest } from "../src/adapters/synthetic";
 
 const totalBurstNotional = (burst: {
   basePrice: number;
@@ -24,3 +24,66 @@ describe("synthetic options burst sizing", () => {
     expect(totalBurstNotional(burst)).toBeLessThanOrEqual(240_000);
   });
 });
+
+describe("synthetic options IV model", () => {
+  it("increases under repeated same-contract ask buying", () => {
+    let state = updateSyntheticIvForTest(undefined, {
+      ts: 1_000,
+      placement: "A",
+      size: 100,
+      notional: 20_000,
+      dteDays: 1,
+      moneyness: 1.02
+    });
+    const firstIv = state.iv;
+
+    state = updateSyntheticIvForTest(state, {
+      ts: 1_100,
+      placement: "AA",
+      size: 300,
+      notional: 80_000,
+      dteDays: 1,
+      moneyness: 1.02
+    });
+
+    expect(state.iv).toBeGreaterThan(firstIv);
+  });
+
+  it("decays after inactivity", () => {
+    const active = updateSyntheticIvForTest(undefined, {
+      ts: 1_000,
+      placement: "AA",
+      size: 500,
+      notional: 120_000,
+      dteDays: 7,
+      moneyness: 1.1
+    });
+    const decayed = updateSyntheticIvForTest(active, {
+      ts: 181_000,
+      placement: "MID",
+      size: 10,
+      notional: 1_000,
+      dteDays: 7,
+      moneyness: 1.1
+    });
+
+    expect(decayed.iv).toBeLessThan(active.iv);
+  });
+
+  it("keeps IV within clamps", () => {
+    let state = undefined;
+    for (let i = 0; i < 80; i += 1) {
+      state = updateSyntheticIvForTest(state, {
+        ts: 1_000 + i * 10,
+        placement: "AA",
+        size: 10_000,
+        notional: 5_000_000,
+        dteDays: 0,
+        moneyness: 1.8
+      });
+    }
+
+    expect(state.iv).toBeGreaterThanOrEqual(0.05);
+    expect(state.iv).toBeLessThanOrEqual(2.5);
+  });
+});