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 podcast recap describes Lewis Fellas’s views on digital asset management and crypto derivatives, drawing on experience in traditional finance, proprietary trading, and hedge funds. It discusses segmenting investment products by whether clients seek…
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…
This reference explains how TqSdk identifies contracts across Chinese exchanges and describes available quote, K-line, and tick data. It gives examples of futures, options, spread contracts, continuous contracts, indices, stocks, and exchange warehouse…
The newsletter links its end-of-year crypto outlook to a possible Federal Reserve rate cut, inflation and employment data, and speculation about the next Fed chair. It argues that easier policy and a softening labor market could support risk assets, while…
The newsletter reviews market reactions to the U.S. election, including a drop in equity volatility and expectations for possible regulatory changes affecting crypto. It connects those themes to options positioning: traders were concentrated in calls up to a…
This interview recap examines Bitcoin and Ether performance, their changing spot and volatility relationships, and the relative beta of Ether in Bitcoin terms. It describes a shift in Ether’s beta below one and convergence in the assets’ volatility, while…
This recap describes conditions in Bitcoin and Ether derivatives markets for the week ending March 29, 2023. It tracks volatility, option term structure, skew, option trading flows, and gamma positioning, highlighting calmer markets and term structures…
The note reviews BTC and ETH options activity during a week shaped by US rate moves and changing ETF expectations. It links delayed spot BTC ETF decisions with a loss of October implied-volatility premium, while reports of a possible Ethereum futures ETF…
This document outlines the risk-neutral argument behind the Black–Scholes partial differential equation for a European option. It starts with a stochastic model of a stock price and applies Itô’s lemma to describe how an option’s value changes with the…
This script introduces a long straddle: buying a call and put with the same strike and expiration to seek gains from a sufficiently large move in either direction. It explains that the combined premium sets the loss at expiration and the distance the…
This weekly market review interprets Bitcoin and Ethereum options activity during a sharp crypto rally ahead of the Federal Open Market Committee decision. It discusses backwardated term structure, elevated call skew, concentrated call buying, and the…
The article describes a major bank’s over-the-counter Bitcoin option trade, facilitated by a crypto firm, as an example of institutional participation in digital assets. The contract was non-deliverable and settled in cash, so it provided Bitcoin exposure…
This market recap surveys Bitcoin and Ether options after a sharp crypto-market move. It discusses realized and implied volatility, term structures, call skew, options flows, and dealer gamma. The account says shorter-horizon realized volatility had…
The discussion surveys crypto options as the market approaches a spot ETF decision, then turns to the developing altcoin options market. Participants consider how spot and realized volatility relate, compare current conditions with historical crypto…
This document outlines a dispersion trade using options on constituents of the S&P 100 and options on the index. The research concept measures disagreement in analyst earnings forecasts, scaled by an earnings-uncertainty measure, and sorts stocks into groups…
The document explains how LumiBot uses historical data from an Alpaca account to backtest stocks, ETFs, crypto, and US equity options. It describes credential setup and two configuration paths, then clarifies bar timing: history contains completed bars,…
This market recap describes a shift back toward downside protection in Bitcoin and Ether options after a prior call bid faded alongside weaker spot prices. It reports that Bitcoin’s short-dated options returned to a pronounced put premium, while Ether showed…
This market recap describes a rally-era snapshot of Bitcoin and Ether options. It reports realized volatility settling in the mid-30s after a rise, while both assets’ volatility term structures steepened: nearer maturities softened and parts of the longer…
This document describes an automated short-dated options strategy that sells a SPY iron condor late in the trading day, with expiration on the next trading day. It skips a session when the previous VIX close exceeds 25. Otherwise, it selects short put and…