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 article proposes combining two options data sources to investigate large-trader activity. Block-volume data summarizes large options trades by instrument, exchange, and underlying asset; decorated-trade data adds trade timing and level-one order-book…
This dated market review examines Bitcoin and Ethereum options activity around Ethereum’s Shapella upgrade in April 2023. It discusses realized versus implied volatility, volatility risk premium, term-structure shifts, call-put skew, and reported block…
This market commentary links the week’s U.S. data calendar to expected crypto volatility, focusing on the Federal Reserve Beige Book, PCE inflation, and a scheduled FOMC meeting. It argues that PCE is the most likely near-term volatility catalyst, while the…
This guide explains how to use MultiCharts as a historical data feed for VeighNa through the vnpy_mcdata module. It distinguishes this data service from a trading gateway, so users can connect the feed while continuing to trade through other interfaces. The…
This document introduces convertible bonds as instruments combining debt with an option to convert into the issuer’s shares. It outlines core contract features: face value, conversion price and period, coupon, conditional early redemption, and investor put…
This document introduces convertible bonds as instruments combining debt with an option to convert into the issuer’s shares. It outlines core contract features: face value, conversion price and period, coupon, conditional early redemption, and investor put…
The newsletter argues that Solana options may offer relatively attractive upside volatility compared with Ethereum. It compares their recent implied pricing with historical realized volatility, including the relative level of 30-day realized volatility and…
This market outlook argues for bullish crypto exposure alongside short volatility, based on the author’s view that risk appetite may improve, recent volatility has eased, and Bitcoin options term structure may return to steeper contango. It notes that spot…
A brief Chinese-language forum exchange addresses how to obtain real-time VIX data when a trading interface does not provide it. The questioner says the strategy requires live VIX values and asks about manually subscribing through a data service. A…
This podcast recap links a rebound in crypto option activity during Bitcoin’s rally to optimism about possible ETF approval. It also describes large Ethereum overwrite positions, changes to Deribit margin requirements intended to address their risk, and…
This market commentary examines Bitcoin options pricing ahead of a US spot ETF decision, alongside Federal Reserve expectations and upcoming inflation data. It describes a term structure with elevated implied volatility relative to realized volatility and…
The bot sells put credit spreads on SPY, using a research agent to review price, trend, and the option chain. It selects expirations 30 to 45 days away, a short put near 0.16 delta, and a long put five points lower. The trading agent manages an existing…
This market recap discusses Bitcoin and Ether options through realized volatility, implied volatility term structure, skew, and relative value. It reports that realized volatility was in the 40s, front-end implied volatility fell by 3–5 volatility points,…
This guide explains how to connect LumiBot to Charles Schwab’s Trader API for equities and single-leg options. It covers API approval, application credentials, callback URLs, environment settings, first-time OAuth login, and token renewal. It also outlines…
This weekly derivatives recap describes Bitcoin and Ether options conditions during a period of crypto market weakness. It reviews realized volatility, the shape of options term structures, skew, trading flows, and dealer gamma positioning. The recap reports…
This market update reviews Bitcoin and Ether derivatives conditions using realized volatility, options term structure, skew, option flows, and dealer gamma positioning. It reports that realized volatility had fallen into the low twenties, with Bitcoin’s…
The report explains how option prices can be used to construct volatility and skew measures for the Chinese equity market. VIX represents expected volatility over a forward period, while SKEW captures the market’s pricing of asymmetric returns and tail risk.…
The document explains short puts as a mildly bullish to neutral strategy: the seller collects premium if the underlying stays above the strike, while gains are limited and losses can grow if the price falls. It proposes selling slightly out-of-the-money puts…
This podcast recap explains how options positioning and dealer hedging can connect derivatives flows with movements in stocks and indices. It describes gamma-based analysis as a way to estimate where dealers may need to buy or sell the underlying, and…
This weekly market commentary links crypto options pricing and positioning to Federal Reserve remarks, inflation releases, and potential spot ETF news. It describes Bitcoin’s flat term structure and elevated volatility risk premium, notes differing…
This troubleshooting post examines why position records from an options gateway show zero unrealized profit and loss. The author traces the issue to the gateway’s position-query handler: it initializes average price at zero, while the received…
This explanation derives a call option’s no-arbitrage value by constructing a hedge in a one-period, two-state stock model. The stock is assumed to be worth 100 today and either 110 or 90 at expiration, while a call with a strike of 100 pays 10 in the up…
This example describes a bot that builds a portfolio from a House member’s disclosed stock and call option holdings and reported trades. A research agent reads annual and transaction filings, infers current holdings, and skips expired options and reports…
This brief mid-week recap summarizes Bitcoin and Ether derivatives conditions as spot prices rose ahead of US inflation data in April 2023. It reports Bitcoin 10-day realized volatility reaching 31%, an inverted term structure in both assets, and renewed…