All
Outcomes
Market
Price
AI Fair
Value
Value
Edge
June 30
YesNo
April 30
YesNo
March 31
YesNo
AI Insights:
03.16 16:32 UpdatedFair Value Reasoning:
With the Persian New Year (Nowruz, approx. March 20) approaching, official diplomatic activity in Iran typically stagnates, effectively closing the window for a high-level in-person meeting in March. The March 31 option price (5.5 cents) correctly reflects this near-impossibility, with fair value reduced to a theoretical 'lottery' value (~3 cents). The contagion of this delay has severely impacted the April 30 option (dropping from 50c to 26c in three days), indicating the market realizes the path of 'technical meetings in March leading to an April summit' has broken. While the June option remains above 60 cents, it deserves a discount given the repeated failure of short-term milestones (like technical meetings) to materialize.
Sign up to view more information
Arbitrage|Low Risk
Arbitrage Plan:
Buy 'No' on March 31
Plan Description:
While not strict arbitrage, the probability of a surprise diplomatic meeting is negligible given only 14 days remain and the Persian New Year holiday intervenes. Buying 'No' at ~94.5 cents requires high capital but offers high certainty (near Risk-free), yielding an absolute return of ~5.8% in two weeks, which translates to a very high annualized yield.Sign up to view more information
Arbitrage: 5¢
|Annualized yield: 141.6%
Hedging
Crude Oil
Any substantive progress or surprise meeting in US-Iran relations is typically viewed as a de-escalation signal in the Middle East. This would significantly reduce the geopolitical risk premium, exerting direct downward pressure on Crude Oil prices (Score 3). Gold, as a safe-haven asset, might see a minor impact. Conversely, a lack of meetings amidst rising tensions could support oil prices.
Movers
March 13, 2026 - March 16, 2026, the price of 'April 30' crashed from 50.5c to 26.5c, and 'March 31' fell from 13.5c to 5.5c. The reason is the approaching Persian New Year, which closes the Iranian diplomatic window. The complete failure of the anticipated 'mid-March breakthrough' caused a loss of confidence in the immediately following April meeting, leading to panic selling of April contracts.
March 2, 2026 - March 5, 2026, the price of 'March 15' crashed from 18.5c to 4c, and 'March 31' fell from 37c to 26c. The reason was the failure of the anticipated 'technical meetings' (brokered by Oman for early March) to materialize, causing confidence in a short-term diplomatic breakthrough to collapse.
February 27, 2026 - February 28, 2026, the price of 'March 15' dropped significantly from 58c to 37c, as the initial Geneva talks concluded without a final deal and subsequent meetings were characterized as 'technical', reducing expectations for an immediate high-level meeting.
