Exclusions & adjustments:
- last_price excluded (avoids settlement-convergence contaminating the implied signal).
- implied = candlestick YES bid/ask mid at a fixed horizon before close; only candles with spread <= 10c included.
- Fees modeled at 0.07*P*(1-P) per side.
- No backfill applied. Window is contiguous; no interpolation of missing candles.
- Calibration is FULL-SAMPLE (not yet out-of-sample). OOS chronological split is the next artifact.