Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
5 documents
This reference describes a data record for venue-provided option sensitivities and implied volatility associated with one option instrument. It includes delta, gamma, vega, theta, and rho, along with optional mark, bid, and ask implied volatility, underlying…
This Rust tutorial shows how NautilusTrader actors can consume Bybit options market data in two forms: per-contract Greeks updates and aggregated option-chain snapshots. The individual stream exposes values such as delta, gamma, vega, theta, implied…
This tutorial describes a live short-volatility strategy that sells an out-of-the-money BTC call and put on Bybit, then hedges the resulting delta exposure with a BTCUSDT perpetual. It selects strikes by percentile within the nearest-expiry option chain,…
This plotting script creates four explanatory visuals for an ETH short-strangle options example. The panels show expiry profit and loss for a short put and call, how the combined option delta may change as spot moves, how a threshold-triggered hedge could…
This tutorial describes running a shared short volatility strategy on Derive. It selects an out-of-the-money ETH call and put at the nearest expiry, tracks venue supplied option Greeks, and offsets net portfolio delta with ETH perpetual orders when exposure…