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
The document describes using historical volatility patterns to guide trading and risk decisions in BTC and ETH derivatives. It discusses a volatility cone, which displays realized volatility distributions across time horizons, and realized volatility grouped…
This weekly market commentary links macro events, including US inflation data and Federal Reserve expectations, with Bitcoin and Ether price behavior and options positioning. It describes Bitcoin and Ether volatility and term structures, including a return…
This short forum exchange addresses how to model a monthly rollover strategy that trades futures and options together. The question is how to configure the backtest engine when the two instrument types have different transaction fees, especially when closing…
This podcast overview describes a crypto options venue's altcoin contracts, collateral arrangements, and trading tools, including its integration with another exchange. It discusses options across several digital assets with varied expirations and strikes,…
This market commentary surveys Bitcoin and Ether options conditions for the week of May 14, 2023. It relates macroeconomic uncertainty, Federal Reserve expectations, and recent spot-price declines to implied and realized volatility, volatility risk premium,…
This weekly market commentary reviews crypto options conditions around January 29, 2023. It interprets Bitcoin options term structure as having moved into backwardation during a spot rally, suggesting the market priced more near-term movement. It also…
The document introduces a chart for examining an options butterfly across constant maturities. It defines the structure as long one call and one put with a short position in two at-the-money options, and says users can select among several delta levels and…
The document introduces charts for comparing Bitcoin and Ethereum options implied volatility across delta levels. It describes two views: a spread calculated by subtracting Ethereum implied volatility from Bitcoin implied volatility, and a ratio calculated…
The article argues that Bitcoin implied volatility should be read alongside broader market measures. It highlights VIX, VVIX, MOVE, the dollar index, gold volatility, and yield curve shape as potential clues to changes in crypto volatility. It attributes…
The document gives brief trading guidance from an options and derivatives trader who focuses on forwards, warrants, and turbo certificates. Its central risk rule is to avoid taking a directional position, aiming to reduce the damage a sudden market reversal…
The article presents realized volatility (RV) as a measure of observed price movement and implied volatility (IV) as the options market’s forecast. It uses the ratio of 7-day RV to 30-day RV to distinguish short-term expansion from compression, then compares…
This article outlines the engineering challenges of researching and backtesting systematic options strategies. Because listed contracts change over time, a historical test needs an accurate record of which contracts were available on each date. The described…
This code outlines a short strangle on SPY: sell one out-of-the-money call and one out-of-the-money put, using strikes set about five percent above and below the current share price. It targets an expiration roughly 45 days away and checks positions once per…
This overview explains how centralized exchange spot-volume dashboards can be used to examine market activity across exchanges, quote currencies, stablecoins, and frequently traded tokens. It describes comparing total volume and exchange shares, then…
This weekly market note interprets Bitcoin and Ether options alongside macro conditions for the week of February 26, 2023. It describes rising bond yields and hawkish Federal Reserve expectations as pressure on risk assets, while noting that crypto had…
This guide explains how to use FMZ to access cryptocurrency options on Deribit, OKX, Huobi, Bybit, Aevo, and Gate.io. It describes selecting an options contract, retrieving market data, placing and canceling orders, checking positions, and finding contract…
This summary describes version 3.0 of Xingye Securities’ Crystal Ball timing model, which uses activity in options on the SSE 50 ETF as a source of investor sentiment and potential leading information about the underlying. Its premise is that options…
The newsletter links geopolitical tension involving Iran to volatility in oil, precious metals, and risk assets, arguing that broader risk sentiment may set crypto’s near-term direction. It reviews macro events but gives greater weight to geopolitics and…
The article explains call/put skew as the difference in implied volatility between comparable options. Higher call implied volatility is interpreted as stronger demand for upside exposure, while higher put implied volatility suggests greater demand for…
This short forum exchange raises two questions about VeighNa’s OptionMaster tool: why only certain Chinese index option products appear, and why displayed option theoretical prices differ substantially from a trading application. A reply asks whether the…
The document describes a two-agent bot that sells a same-day-expiring bear call spread on SPY. A research agent checks prices every 15 minutes and selects a short call near 0.20 delta plus a call five points higher. A trading agent opens one spread per day,…
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…
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…