Quantitative#146

Threshold-Cusp Gamma Harvest Near Strike Boundaries

Find threshold ('above X?') markets where the real-world number is sitting right at the resolution line late in the market's life, then trade the now-extreme price sensitivity as the number wobbles back and forth across the line, scalping each repricing. Digital gamma just means how violently the yes/no price swings per small move when you're near the boundary; that convexity gets sharper as resolution nears.

What you need to run it

Live underlying value feed for the threshold variable
Digital-gamma model giving price sensitivity vs distance-to-strike
Low-cost rapid execution to scalp boundary oscillations
Stop logic for runaway moves away from the strike

Where this applies

Markets on Polymarket where threshold-cusp gamma harvest near strike boundaries is the natural play:

Will Bitcoin close above $200k on Dec 31, 2027?
Will the next monthly CPI print round to exactly 3.0%?
Will a given NFL team finish the next season above .500?

Capabilities this demands

Model / quantFeed ingestionLow latencyRisk management

At a glance

CategoryQuantitative

Requirements4

CapabilitiesModel / quant, Feed ingestion, Low latency, Risk management

VenuePolymarket (CLOB, Polygon)

Build it

Related quantitative strategies

This is documentation, not advice. Poly Research & Robotics publishes how these strategies work because the method should be checkable — not as a recommendation to trade them. See the full strategy database (147 strategies) or the data resources directory.