Pith Number

pith:74T2KZXH

pith:2026:74T2KZXHA4JV2MP7U34O2OCYFR

not attested not anchored not stored refs pending

The P behind Q: Empirical Evidence from Physical Drift in Put-Call Parity

Useong Shin

Physical drift improves the fit of put-call parity carry gaps in index options.

arxiv:2605.12250 v3 · 2026-05-12 · q-fin.GN

Open paper page JSON Open Graph Bundle Merged state Verified badge What is a Pith Number?

Add to your LaTeX paper

\usepackage{pith}
\pithnumber{74T2KZXHA4JV2MP7U34O2OCYFR}

Prints a linked badge after your title and injects PDF metadata. Compiles on arXiv. Learn more · Embed verified badge

Record completeness

1 Bitcoin timestamp

2 Internet Archive

3 Author claim open · sign in to claim

4 Citations open

5 Replications open

✓ Portable graph bundle live · download bundle · merged state

The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

Empirically, the drift term improves both in-sample and leave-one-year-out fit, especially for SPX, consistent with drift-sensitive margin burden in parity enforcement rather than a failure of no-arbitrage.

C2weakest assumption

That the lagged rolling-OLS trend proxy for the physical drift μ accurately captures the component relevant to margin burden in enforcing put-call parity, and that the derived (rμτ) extension to the GBM implementation-risk term correctly isolates this effect without other unmodeled factors.

C3one line summary

Empirical evidence shows that a drift term (rμτ) added to GBM implementation risk improves the fit of put-call parity carry gaps in SPX and RUT options, pointing to drift-sensitive margin burden.

Formal links

2 machine-checked theorem links

Receipt and verification

First computed	2026-05-20T00:04:36.406388Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

ff27a566e707135d31ffa6f8ed38582c4dbdc9de85c66b9ce61dbf53c5abfc56

Aliases

arxiv: 2605.12250 · arxiv_version: 2605.12250v3 · doi: 10.48550/arxiv.2605.12250 · pith_short_12: 74T2KZXHA4JV · pith_short_16: 74T2KZXHA4JV2MP7 · pith_short_8: 74T2KZXH

Agent API

Resolver JSON Graph JSON Events JSON Schema Signing key

Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/74T2KZXHA4JV2MP7U34O2OCYFR \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: ff27a566e707135d31ffa6f8ed38582c4dbdc9de85c66b9ce61dbf53c5abfc56

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "05811728b3bb63310f6f71447ffb8cc1693466ea505b263c2501a210702d536e",
    "cross_cats_sorted": [],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "primary_cat": "q-fin.GN",
    "submitted_at": "2026-05-12T15:19:55Z",
    "title_canon_sha256": "369709271cae88d40713b4321438b18f6f031f88f679fb2d5a26685d88262d49"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2605.12250",
    "kind": "arxiv",
    "version": 3
  }
}