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.
8,116 documents
This reference explains the fields used to describe a listed put or call on a non-crypto underlying. It covers contract identity, underlying asset, option type, strike, activation and expiration times, premium currency, price precision, minimum price…
This market report reviews crypto price action and options positioning during a sharp late June 2023 rally. It links the move to news about spot ETF filings and a new exchange, then describes rising Bitcoin volatility, a higher options term structure, and a…
This feature note describes a chart comparing an asset’s at-the-money implied volatility (ATM-IV) with its realized close-to-close log return. It uses the implied volatility observed at the start of the interval as an estimate of the expected daily move,…
The document discusses pricing path-dependent snowball structured notes by decomposing their payoff scenarios into exotic option components and valuing them with Monte Carlo simulation or partial differential equations. It also considers how equity index…
This brief market recap highlights four observations about Bitcoin and Ether derivatives as of November 22, 2022: realized and implied volatility had fallen, the six-month historical volatility spread between ETH and BTC was described as supported, option…
This report frames next-day direction in China’s Wind All A-share index as a binary classification task. It trains a decision-tree-based AdaBoost model on 51 daily features drawn from several markets and asset classes, including repo rates, credit spreads,…
This summary compares two research reports on protecting portfolios during market stress: one published before a major volatility episode and another written afterward. It frames their comparison around how investors assess defensive strategies before a…
This research summary describes a multi-factor approach to selecting Chinese convertible bonds. It treats each bond’s value as a combination of straight-bond value and embedded option value, and examines how bond returns relate to the underlying stock. The…
This weekly market note examines how the XRP ruling and other headlines affected crypto prices, implied volatility, and options positioning. It contrasts a quiet macro calendar and subdued longer-term realized volatility with event-driven moves in the front…
This market commentary reviews Bitcoin and Ethereum options positioning alongside activity in oSQTH for the week covered. It describes several reported structures: a put spread financed with calls, a put risk reversal, a short-dated straddle sale, call…
This newsletter connects a softer US inflation and labor market outlook with expectations for Federal Reserve rate cuts and possible support for crypto prices. It then frames Bitcoin’s decline in the context of German government sales and anticipated Mt. Gox…
This forum exchange addresses a connection failure encountered while following a VeighNa tutorial on retrieving option quotes through the CTP interface. The questioner has authorization for a futures broker’s test account and asks whether completing…
This podcast recap discusses Bitcoin options-market conditions around the ETF narrative, including term structure, skew, and changes in inter-dealer flows. It also describes exchange structured products: Double-Win, a range-based payoff compared to a…
This market commentary links a risk-off episode to declines in stocks and crypto, stronger gold, increased volatility, and heavy leveraged liquidations. It compares perpetual futures with spot markets, arguing that forced selling and uneven order-book depth…
This connector guide explains how to prepare a Derive account for automated trading through Hummingbot. It covers connecting a wallet, depositing assets, registering a session key, creating a subaccount, and entering the wallet address, session key,…
The article surveys common sources of investment loss, including broad market movements, issuer default, illiquidity, interest-rate changes, inflation, geopolitical events, concentration, business problems, and legal or regulatory changes. It explains these…
This Python module documents functions for calculating common technical indicators from market bars and options data. The visible functions include average true range, bias, Bollinger Bands, directional movement, KDJ, MACD, parabolic SAR, and Williams %R.…
This market commentary reviews BTC and ETH options conditions ahead of expected ETH ETF trading. It reports falling realized volatility and softer one-month implied volatility, alongside positive carry that may appeal to traders expecting range-bound prices.…
This market commentary links a stronger-than-expected U.S. jobs report and falling unemployment to reduced expectations for a large Federal Reserve rate cut. It discusses upcoming inflation releases as possible catalysts for further rate-market repricing,…
This market commentary examines Bitcoin and Ether options alongside spot prices, macro events, and regulatory news as of April 23, 2023. It discusses dealer gamma, implied volatility, volatility risk premium, term structure, and trading flows. The author…
This Chinese-language article curates research papers and books on reinforcement learning (RL) in finance. Its examples span trading and market applications, Q-learning combined with Black–Scholes, option hedging and dynamic replication, portfolio…
This market commentary links Federal Reserve expectations and geopolitical events with moves in bonds, gold, equities, and crypto. It reports that markets were pricing a greater chance of the Federal Reserve holding rates, while gold continued rising amid…
The document introduces a charting feature for viewing how implied-volatility smiles have changed over recent time intervals and where current option pricing sits on those curves. The visualization is intended to help traders assess both the level of implied…
This market recap reviews BTC and ETH options conditions around a period of rising crypto prices and an approaching halving. It compares realized and implied volatility, term structures, call and put skew, options activity, and dealer gamma. The commentary…