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 charting indicator highlights a historical series of option expiration dates by drawing vertical lines in the chart background. The listed dates cover quarterly expirations from 2004 through 2019, and the author suggests these sessions may coincide with…
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…
The document explains how to connect Databento historical market data to Lumibot backtests. It covers API-key setup, asset definitions, timeframes, date-range configuration, caching, and handling common retrieval errors. Examples include stocks, continuous…
The indicator rescales price candles using recent summed highs and lows, then plots them against fixed overbought and oversold thresholds. Its purpose is to flag short-term conditions where price may revert toward its mean. Candle color marks whether the…
This newsletter reviews how macroeconomic uncertainty and US policy signals shaped crypto prices and options conditions. It links employment and inflation data, tariff concerns, and changing expectations for rate cuts with broad risk-asset volatility. It…
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…
This primer surveys real-time and historical cryptocurrency data used in trading, research, and risk analysis. It distinguishes trade records, price feeds, and order-book data, describing tick-by-tick trades, normalized aggressor direction, snapshots, best…
This podcast recap follows a derivatives trader’s move from FX options into crypto and outlines how an OTC desk serves institutional and high-net-worth clients. The desk makes markets in spot and options, handles customer flow, and manages risk across the…
This market newsletter presents a bullish Ethereum thesis against a backdrop of expected US inflation releases and possible changes in Federal Reserve rate-cut expectations. It frames ETH as a higher-beta technology and web3 exposure, while describing…
This report compares a SPY 0DTE options strategy with SPY over a brief backtest covering January 4–6, 2026. It presents standard performance and risk measures, including returns, drawdown, Sharpe ratio, volatility, time in the market, and benchmark…
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 document describes the first BigQuant strategy development interest group, scheduled for May through July 2024. Its purpose is to help learners build strategy templates and demonstrations, reproduce common methods, and improve their implementation…
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 overview explains several measures used to monitor exposure in crypto derivatives. Funding rates transfer payments between long and short perpetual futures positions and help keep contract prices aligned with spot; persistent or elevated payments can…
The newsletter discusses how the Democratic National Convention, Federal Reserve minutes, jobless claims, and the Jackson Hole speech could affect gold, equities, and crypto. It interprets gold’s rise and Bitcoin’s weakness as a divergence, with possible…
This bot outlines a disclosure-driven copy-trading process based on a member of Congress’s reported stock and call-option holdings. A research agent reads annual and transaction reports, reconstructs current holdings, and ignores filings dated after the…
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…
This newsletter considers whether crypto markets may have bottomed by combining macroeconomic developments with derivatives positioning and digital asset treasury (DAT) holdings. It argues that lower inflation and downward revisions to job creation could…