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 market outlook links a possible year-end crypto rally to expectations of a Federal Reserve rate cut and other supportive headlines. It reports a sharp change in the cited December rate-cut probability, describes thin holiday trading as a setting where…
This brief market recap summarizes observations about Bitcoin and Ether derivatives for the week around March 1, 2023. It reports that implied volatility near Bitcoin’s $25,000 resistance level fell, the Bitcoin term structure returned to contango, and skew…
This derivatives newsletter reviews Bitcoin and Ether market conditions, options positioning, and volatility in June 2024. For Ether, it describes dealers returning to neutral gamma after earlier volatility buying, with dealers holding at-the-money and…
This market snapshot reviews Bitcoin’s response to the Federal Reserve’s rate cut and SEC approval of options on a Bitcoin exchange-traded fund. It also discusses mixed political comments on crypto and compares reported fund flows for Bitcoin and Ethereum.…
This weekly market commentary links a softer U.S. inflation reading and weak retail sales to improved expectations for a soft landing and a rally in precious metals. It argues that gold and silver strength could support crypto, while a possible U.S. crypto…
The document describes a method for estimating dealer gamma profiles in Deribit options. It uses the inferred initiator direction of individual trades, determined from heuristics that compare each trade with order book snapshots around its execution, to…
This document describes an options workflow that separates candidate research from trading and risk decisions. A research agent identifies and documents a specific four-contract iron condor. A second agent independently checks the option chain, contract…
This market commentary examines Bitcoin and Ethereum options after the ETF approval period, focusing on term structure, skew, and flow. The author questions why April expiries price a volatility kink around the anticipated Bitcoin halving, arguing that a…
This literature summary covers two separate topics. The first describes a framework for studying how mutual fund managers’ personal characteristics relate to performance, decomposing outcomes into overall results, return and risk, and timing and security…
The podcast recap covers retail options activity, investor overlap with crypto, and possible uses of options on spot crypto exchange-traded funds. It reports survey findings that options activity increased for many respondents after the COVID-19 pandemic,…
The newsletter reviews a turbulent week in crypto options alongside inflation data, proposed tariffs, and expectations for US employment and Federal Reserve updates. It reports weekly price changes for Bitcoin, Ether, and Solana, then contrasts Solana’s…
This weekly market note connects US macro conditions with crypto and options positioning. It discusses stronger revised GDP, steady core inflation, and upcoming employment and government shutdown risks, then describes Bitcoin underperforming gold as crypto…
This April 2024 options-market commentary reviews macroeconomic events and crypto positioning ahead of Bitcoin’s halving. Its central view is that spot Bitcoin may drift higher while options imply more volatility than the author expects to be realized. It…
This discussion examines how growth in assets can affect a quantitative strategy’s returns and stability. It describes a trade-off: as a strategy takes more capital, returns may decline and volatility may rise. It distinguishes broad-capacity equity…
This strategy sells one SPY put credit spread at a time, using an agent to select contracts from the option chain and a separate agent to manage trades. The research agent looks for a spread 30 to 45 days to expiration, sells a put near 0.16 delta, and buys…
This market recap examines BTC and ETH options as realized volatility eased during a rebound. It describes falling front-end implied volatility, term structures returning to contango, changes in skew, and relative value between ETH and BTC. The author…
The newsletter argues that further steepening in US and other sovereign yield curves could signal fiscal strain, currency debasement, and shifting central bank policy. It outlines a possible sequence: central banks lower short-term rates, governments rely…
This market recap interprets changes in Bitcoin and Ether options volatility, term structure, skew, trading flows, and dealer gamma. It links falling implied volatility—especially in Ether—to call overwriting in March and April expiries, while describing…
This December 2024 derivatives newsletter reviews Bitcoin’s move above $100,000, subsequent liquidations and price retreat, and volatility in Bitcoin and Ethereum options. It relates the market moves to macroeconomic releases and regulatory news, then…
This market commentary reviews Bitcoin and Ethereum options conditions around late July 2023. It relates expected volatility to upcoming US economic releases, spot-market ranges, implied and realized volatility, and the shape of the term structure. The…
The document explains two ways to obtain option sensitivities in a trading system: consume venue-reported Greeks, or calculate Black-Scholes values from cached market data. Venue values can be subscribed to, stored, and replayed as market data. The local…
This podcast introduction profiles a crypto fund manager whose trading developed from early Bitcoin spot trading to technical analysis and then options. After working at a small fund, he launched a boutique operation focused mainly on selling options, using…
This market commentary examines Bitcoin and Ether options during a sharp crypto rally in February 2023. It discusses backwardation in Bitcoin’s term structure, short-dated risk-reversal skew, implied versus realized volatility, option volumes, and dealer…
The document introduces a chart that plots spot price against implied volatility (DVol) for Deribit options. Its purpose is to help traders inspect the relationship between the two variables and see how implied volatility corresponds to different spot levels…