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 analyzes a European call in a one-period, two-outcome stock model and asks how its price can avoid arbitrage. The answer uses replication: because the strike equals the stock’s lower possible price, the call payoff matches the stock price less…
The document asks how to simulate implied volatility (IV) together with stock prices in a Monte Carlo option analysis. The author generates stock paths with Geometric Brownian Motion using estimated daily return mean and standard deviation, then values…
The document gives a brief overview of models commonly used to price exotic options across asset classes. For equity and foreign exchange products, it identifies local stochastic volatility models as a widely used family. It says individual firms may…
The document explains why options with less than a week to maturity may be excluded from implied volatility analysis. As expiry approaches, an option’s price becomes less sensitive to implied volatility, especially near the money. Consequently, small bid–ask…
The document explains why a Monte Carlo estimate of a European option’s price will generally differ from its Black–Scholes analytical value, even when the simulation is implemented correctly. Monte Carlo pricing estimates an expected payoff from a finite…
Despite its option-selling label, the script implements a short-only signal on the charted instrument rather than modeling option positions or option payoff. It enters when a configurable fast moving average crosses below a slow moving average. By default,…
This indicator tracks volatility measures across several maturities, from very short-dated VIX through one-year VIX, and plots them as a term-structure curve. It classifies the curve as contango when most adjacent maturity slopes are positive, backwardation…
This SPY/QQQ-oriented script generates bullish and bearish signals after a recent fast/slow EMA crossover. It scores each direction using EMA alignment, RSI range, VWAP position, MACD, volume with candle direction, stochastic conditions, position relative to…
This intraday strategy combines RSI threshold reversals with Fibonacci levels calculated from the highest high and lowest low of the preceding two bars. A long condition occurs when RSI crosses upward out of its oversold region while price is above the 0.618…
This SPY intraday strategy uses crossovers between 5-period and 9-period simple moving averages to signal long and short entries. It requires current volume to exceed the prior bar’s volume and restricts new entries to a morning window from 9:32 to 11:12…
The indicator defines the volatility risk premium (VRP) as the difference between the VIX and realized volatility estimated from SPY prices. It offers close-to-close, Parkinson, and Garman–Klass realized-volatility methods, annualizes those estimates, and…
This script describes a weekly short strangle framework that places call and put strike levels around a center based on VWAP or EMA. It offsets the center by a multiple of ATR, rounds the levels to a selected strike interval, and can skip entries when the…
This strategy calculates positive and negative directional indicators using an 11-period length and plots both against thresholds at 10 and 40. It enters long when positive DI is below 10 while negative DI is above 40, and enters short under the opposite…
This chart indicator displays monthly calendar tables that distinguish trading days, weekends, holidays, and designated expiry days. The user selects a weekday for expiry and can customize colors, table placement, and whether vertical lines mark expiry…
This indicator estimates price bands around daily or weekly VWAP using implied volatility as a proxy for expected movement. For SPY, it uses VIX as the volatility input; it also maps several individual-stock volatility indexes and allows a configurable…
This strategy labels conditions as range bound when ADX is below its ceiling, RSI stays inside a middle band, and Bollinger Band width remains below a threshold. When all three filters agree, it enters a long position, presented as a proxy for timing credit…
This indicator and strategy script estimates European call and put values with Black-Scholes formulas, using a normal cumulative distribution approximation. Inputs cover option type, strike, expiry, the underlying price source, risk-free rate source, and…
This script generates directional signals using a UT Bot ATR trailing stop: a close crossing above the stop triggers a put-selling signal, while a cross below triggers a call-selling signal. RSI ranges differ by signal, and ADX must exceed a threshold. A…
This intraday options-selling strategy opens short positions when a configurable fast moving average crosses below a slower one. Both averages can use exponential, simple, or weighted calculations. A slope filter can require the two averages to be falling by…
This 30-minute swing strategy combines daily and two-hour directional filters with local entry signals. It assesses trend using moving averages, RSI, and MACD across timeframes, then scores bullish or bearish conditions from RSI, WaveTrend, CCI, ADX…
The strategy script models a two-sided short option position around an underlying price, then reacts when price crosses an upper or lower strike boundary. It closes the threatened short leg and opens a larger long repair position in the corresponding…
This charting tool calculates theoretical call and put values using the Black–Scholes framework and displays their sensitivities. Its functions cover first-, second-, and third-order Greeks, including delta, gamma, vega, theta, rho, vanna, vomma, and other…
This document explains a binomial tree for estimating European and American vanilla call or put values. It projects the underlying up or down over two time steps using a volatility estimate, combines possible terminal payoffs with risk-neutral probabilities,…
This strategy seeks directional momentum setups during a configurable regular-session window. It defines bullish or bearish bias using price relative to VWAP and a longer EMA, together with the ordering of fast and slow EMAs. A recent pullback toward the…