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 note describes a narrow Chinese stock screen for metaverse-related companies that had at least one limit-up event within the previous 25 days and have an outstanding convertible bond. It frames the combination as a way to identify possible stock-price…
The interview describes crypto options market making through Laura Vidiella’s experiences at LedgerX, a regulated venue offering fully collateralized contracts, and Paradigm, where institutions trade options in blocks with market makers. It outlines how…
This release overview describes VeighNa 3.9.3 additions for institutional futures and options workflows. A new L-Star interface provides trading connectivity for FOF and MOM products. It is described as similar in use to VeighNa’s CTP interface, while market…
This February 2024 market commentary links Federal Reserve expectations and scheduled US economic releases with crypto prices, options volatility, and dealer positioning. It reviews concerns about persistent inflation, notes that personal consumption…
This podcast recap describes Lyra V2, a decentralized options protocol that moved from an automated market maker in its first version to a central limit order book. The co-founder attributes the change to the need for a more modular and scalable design,…
The report outlines a fixed-income-plus approach that reserves some capital for options margin and option buying strategies, while investing most remaining funds in government bonds. It combines directional index exposure, short volatility, and event-driven…
The research note examines two convertible bond approaches: buying bonds trading below conversion value and positioning in deeply out-of-the-money bonds. For discount arbitrage, it proposes buying the bond and shorting the underlying stock where feasible,…
This market commentary connects falling U.S. inflation readings and a surprise credit downgrade with changing risk appetite across traditional and crypto markets. It describes stronger altcoin performance as Bitcoin dominance eased, and highlights bullish…
This documentation overview maps backtesting data sources to asset classes, bar intervals, and setup requirements in LumiBot. It suggests Yahoo for uncomplicated daily stock and ETF tests, ThetaData for intraday stock or options history, Polygon for several…
This market commentary reviews the December 2024 Federal Reserve decision and inflation releases alongside crypto options activity. It argues that strong seasonal equity sentiment and bullish crypto narratives could reduce volatility, while noting that the…
This example demonstrates how to model an option purchase across expiration in a backtest. A strategy subscribes to option quotes and futures bars, then submits a market buy order for one option when it receives the first eligible quote. The sample replays…
The document introduces Lévy processes as a way to model asset-price behavior with jumps and distributions that can have heavier tails than a normal model. It describes a price process combining drift, Brownian motion, and a Lévy component, then outlines…
The script outlines a VIX-style calculation from options prices. It estimates a forward level from the call-put price difference at the strike with the smallest disparity, selects the adjacent strike not above that forward, and aggregates out-of-the-money…
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 market note links crypto performance and options positioning to the prospect of persistently high interest rates, upcoming US inflation releases, and central-bank commentary. It characterizes Bitcoin as more resilient than Ether and reports stronger…
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,…
The document presents a Yang–Zhang volatility estimator built from open, high, low, and close prices. It separates the overnight return from intraday price movement, combines the variance of overnight returns with close-to-open variance and the…
The speaker argues that quantitative investing should combine statistical description, machine learning prediction, and economic or financial theory. These serve different purposes: describing data, forecasting outcomes, and explaining underlying mechanisms.…
This podcast discussion describes how institutional crypto desks combine spot trading, derivatives, lending, and market making, drawing on experience from traditional finance. It covers ETF creation and redemption mechanics, hedging flows into underlying…
The document describes three common mistakes made by new options traders: buying far out-of-the-money calls without accounting for timing and time decay, relying on one strategy in every market, and trading without a preplanned exit. It explains that an…
This market recap examines BTC and ETH options during a sharp rally tied to expectations of approval for a spot BTC ETF. It tracks realized and implied volatility, term structure, call skew, options activity, and dealer gamma. The reported moves include a…
This research overview describes two broad approaches to absolute-return investing: combining equities and bonds, and hedging or taking exposures through derivatives. It lists stock-bond rebalancing, target-volatility, risk-parity, and risk-budgeting…
This weekly market recap discusses Bitcoin and Ether options through realized volatility, term structure, skew, trading flows, and dealer gamma positioning. It reports that realized volatility had fallen over the preceding week as prices stayed within their…
The document introduces European call and put options, defining their right to buy or sell an underlying asset at a strike price on a fixed expiry date. It frames fair option valuation through a market containing a risk-free asset, the underlying stock, and…