Arbitrage#062

Calendar Roll Arbitrage Across Serial Markets

The same underlying often has markets at different deadlines (e.g. 'BTC above $X by end of June' vs 'by end of July'). The later deadline should always be at least as likely as the earlier one. When the prices across these expiries don't line up logically, you buy the underpriced deadline and bet against the overpriced one. The edge is mispriced incremental probability between adjacent timeframes.

What you need to run it

Term-structure dataset of serial markets on each underlying
No-arbitrage monotonicity checker across expiries
Two-leg execution and roll-management bot
Carry/funding model for holding the calendar spread

Where this applies

Markets on Polymarket where calendar roll arbitrage across serial markets is the natural play:

Will Bitcoin exceed $120k by end of August 2026?
Will Bitcoin exceed $120k by end of September 2026?
Will Ethereum exceed $5k by end of Q3 2026?

Capabilities this demands

Model / quantData ingestionPatienceCustom code / API

At a glance

CategoryArbitrage

Requirements4

CapabilitiesModel / quant, Data ingestion, Patience, Custom code / API

VenuePolymarket (CLOB, Polygon)

Build it

Related arbitrage 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 (297 strategies) or the data feeds directory.