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.
10,263 documents
This market recap reviews crypto options conditions after an early-month rally, focusing on realized and implied volatility, term structure, skew, trading flows, and dealer gamma. It reports higher realized volatility in BTC and ETH, stronger demand for…
The article explains how inflation, interest rates, and economic growth can shape crypto prices and liquidity. It recommends comparing crypto returns with inflation measures and traditional markets using rolling correlations and regression, since Bitcoin may…
This guide explains how a simulated venue handles perpetual funding and account configuration during a backtest. Funding-rate updates supply the latest rate; when a funding boundary is known, the backtest clock creates a settlement at that time. Without an…
This weekly market note assesses Bitcoin and Ether options against a quiet spot market and low recent realized volatility. It discusses implied volatility across maturities, volatility risk premium, and contango in the term structure. The author considers…
This brief options-forum exchange asks how an options strategy should handle a position that reaches expiration during a backtest. A respondent says to calculate the profit or loss using the closing price on the final trading day. The answer offers a simple…
This weekly market commentary reviews crypto options positioning alongside moves in macro markets. It argues that a strong Bitcoin rally coincided with a decline in year-end implied volatility skew, which the authors interpret as traders anticipating slower…
This article outlines how to move a developed and backtested option strategy into live or simulated trading with VeighNa’s OptionStrategy module. It distinguishes access requirements for futures options and ETF options, including differences in simulated…
The document outlines a financial forum presentation on the use of artificial intelligence in quantitative investing. Its listed examples include a random forest approach to market timing and hedging, a pattern matching method for industry rotation, and a…
This overview describes using crypto options flow data to assess activity and possible market sentiment. It covers contract volume and open interest as measures of activity and liquidity, strike prices relative to spot, expiration horizons, put-call ratios,…
The document gives a weekly snapshot of BTC and ETH options markets. It discusses realized and implied volatility, option term structures, call and put skew, and the volatility spread between the two assets. The commentary links market moves to events such…
This podcast recap discusses crypto derivatives and volatility, including the Ethereum Dvol index, differences between Ethereum and Bitcoin volatility, volatility spikes, and a Butterfly Index. It also considers how news and regulatory developments may…
This midweek market recap describes changes in Bitcoin and Ethereum derivatives following a US debt ceiling agreement. It tracks realized volatility, the shape of implied volatility across expiries, option skew, trading flows, and dealer gamma positioning.…
This script creates four visual explanations for a Bybit delta-neutral options example: a short-strangle expiration payoff, how position delta changes as the underlying moves, a simulated rehedging threshold, and a strike-selection illustration. It reads…
This market commentary describes how reports that spot ETH exchange-traded funds might be fast-tracked triggered a sharp rise in ETH and a surge in its short-dated realized and implied volatility. It compares the response with BTC, noting changes in…
The article explains how implied volatility across option maturities forms a term structure. It proposes monitoring changes in the curve’s slope and curvature to assess whether markets expect near-term turbulence, longer-lived uncertainty, or a possible…
The newsletter combines a macro outlook with crypto market and options observations. It links the author’s expectation of a September rate cut and easing cycle to a base case of higher crypto prices, while noting uncertainty around the election and upcoming…
This guide compares privately negotiated crypto forwards with standardized futures traded on exchanges. Forwards allow counterparties to choose contract terms and typically settle at maturity, but depend on the other party to honor the agreement and can be…
The document explains how a structured snowball note can be valued by Monte Carlo simulation and partial differential equation methods. It describes decomposing the note’s possible payoff scenarios into exotic option components and combining their values. It…
The article explains how time affects option value and describes calendar, or horizontal, spreads as a way to trade that effect. A calendar spread pairs options on the same underlying with the same strike and type but different expirations, typically selling…
The article explains a snowball structured product through observation dates, knock-in and early redemption conditions, and a capped return. It presents the payoff as conditional: investors may receive a preset return when the underlying stays within…
This market commentary links a broad crypto rally to easing trade tensions and reviews options ideas in ETH, BTC, and SOL. It describes ETH/BTC relative strength, call spreads, SOL calls near a notable strike, and BTC options as a possible exposure to both…
The document describes an options workflow that separates research from trade execution. A non-trading researcher gathers market, account, option-chain, contract, Greeks, quote, and package-price information. A trading agent independently refreshes that…
This market recap connects a softer US employment report and a quiet upcoming economic calendar with the author’s expectation of easing volatility and relatively stable markets. For Bitcoin, it reviews realized volatility, implied-volatility term structure,…
This tutorial introduces finite difference methods for approximating derivatives in a parabolic partial differential equation, using the heat equation as its example. It motivates the approach for quantitative finance by noting that the Black-Scholes…