ASMA-Agent: Autonomous Options Risk Agent

ASMA-Agent is an autonomous options-trading agent built entirely on Alpaca's MCP server — every market read and every order attempt goes through MCP tool calls, never a REST wrapper. The agent evaluates SPY, QQQ, and IWM through a five-stage deterministic funnel: a volatility-regime gate, a delta-targeted short-vertical strategy selector, a self-computed implied-volatility-vs-realized-volatility signal, a liquidity check, and a risk gate that checks only numbers — position limits, circuit breakers, concentration caps — and never sees the reasoning that produced a candidate. It cannot be talked out of a veto, because it cannot be talked to. A real engineering obstacle became the strongest creativity result: Alpaca's free data tier does not return implied volatility, Greeks, or open interest on this account, despite the tool descriptions promising them. Rather than fake it, the agent inverts Black-Scholes from real bid/ask quotes to compute its own IV, validated against a quote-quality layer before it ever reaches a decision. Every evaluation — trade or no-trade — is written to an append-only decision ledger. As of submission, the agent has logged 52 real, live refusals, each with the actual volatility ratio that failed the frozen 1.60 threshold. It has never placed a live trade from its own decision loop, because no candidate has cleared the funnel yet — a zero-trade outcome the competition's own rules treat as a valid result, not a failure. The MCP execution path itself is proven, not theoretical: a real single-leg order and a real two-leg vertical spread were placed, filled, and closed through Alpaca's MCP server during the measurement window, before the strategy engine existed. That infrastructure check is the account's only realized loss — $8, disclosed here rather than hidden. The strategy engine's own decisions, running continuously since it went live, have cost nothing, because none has ever been wrong enough to trade.