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 weekly recap examines BTC and ETH volatility, term structure, skew, options flows, and dealer gamma after a false ETF approval headline triggered a rapid price spike and reversal. It describes how realized volatility rose, implied volatility followed…
This plotting script creates four explanatory visuals for an ETH short-strangle options example. The panels show expiry profit and loss for a short put and call, how the combined option delta may change as spot moves, how a threshold-triggered hedge could…
This newsletter connects a forthcoming Federal Reserve decision with crypto markets and options positioning. It reports market expectations for a rate cut, summarizes recent macroeconomic context, and outlines a base case in which an expected decision could…
The document explains a convertible-bond rotation strategy that ranks bonds by absolute price and holds a selected group of the cheapest issues. Unlike a double-low approach, it does not use conversion premium as a selection variable. Its thesis depends on…
The newsletter argues that Bitcoin remained in a short volatility and price consolidation regime, while Solana offered more relative volatility interest. It points to Bitcoin’s modest weekly price change, options-implied weekly movement, and limited…
This podcast summary covers derivatives trader Gordon Grant’s discussion of volatility across asset classes and in crypto options. Topics include quoting interest-rate volatility in basis points to compare different tenors, how zero-rate policies can affect…
This market commentary links macroeconomic releases and central-bank expectations with crypto prices and derivatives positioning. It describes the Ethereum ETF debut as a buy-the-rumor, sell-the-news event: ETH fell after trading began, while the author…
This essay explains how expected value, expected utility, and prospect theory can lead people to make different choices under uncertainty. A button example contrasts a guaranteed smaller payoff with a larger payoff available at a lower probability. It then…
This newsletter discusses a period when Bitcoin, Ether, and Solana rose as broader volatility eased, then focuses on a large block sale of Solana calls with a $200 strike and May 30, 2025 expiration. The author speculates that the seller may hold Solana and…
This forum thread discusses an RQData service initialization failure in VeighNa Elite Trader while enabling options strategy trading. A respondent says the username field should contain the literal license label and the password field should contain the…
This derivatives newsletter connects macroeconomic news and investor sentiment with Bitcoin and ether market conditions. It discusses inflation and retail sales surprises, shifting expectations for Federal Reserve rates, equity volatility, and bullish…
This market recap reviews Bitcoin and Ether derivatives conditions around an upcoming Federal Open Market Committee announcement. It highlights rising realized volatility in Bitcoin as spot prices move sharply, a flattening Bitcoin volatility term structure,…
The supplied abstract reviews the development and calculation of the CBOE volatility index, then describes applying an index calculation to 50ETF options in China. It reports that the resulting measure has small calculation errors relative to the Chinese…
This document is a tabular extract of historical European-style options on Henry Hub natural gas futures. Rows include option type, strike, prior settlement, the linked futures contract’s prior settlement, expiry, trade date, and update timestamps. The…
This research note organizes convertible-bond factors into three groups: factors from the underlying stock, factors describing the bond-stock relationship, and the convertible bond’s own price and volume behavior. It reports that earnings yield and…
The article explains how open interest can help traders assess activity, liquidity, sentiment, and possible trend strength in crypto derivatives. It recommends reading open interest alongside trading volume: increases in both may accompany a strong trend,…
This overview explains structured snowball options, focusing on how their coupons and risks arise. It describes coupon sources as exposure to the underlying asset's volatility, futures basis convergence for products linked to the China 500 index, and returns…
This Python strategy outlines an automated same-day options approach on SPY. A research agent reviews the underlying and calls expiring that day, proposing a bear call spread by selling a call near a target delta and buying a higher-strike call. A separate…
This newsletter connects U.S. inflation and labor market data with crypto market conditions and Bitcoin options positioning. It notes that easing inflation has shifted attention toward upcoming employment reports, while markets were pricing further rate…
This market recap reviews Bitcoin and Ether options during a period of sharply higher realized volatility amid geopolitical risk. It contrasts strong short-dated volatility with softer one-month implied volatility, discusses inversion in both term…
This short market recap highlights how the SVB news affected Bitcoin and Ethereum derivatives. It reports that realized volatility rose sharply, both assets’ volatility term structures moved into backwardation, and downside skew increased before retreating.…
This weekly commentary examines Bitcoin and Ether options conditions around anticipated central-bank decisions. It discusses a higher October forward-volatility kink in Bitcoin, differing dealer gamma profiles between the assets, and options transactions…
This episode recap introduces dealer gamma profiles and their possible effects on crypto price dynamics. Dealers commonly adjust hedges to maintain delta neutrality; when their net options exposure is short gamma, hedging may involve selling into rising…
This announcement summarizes a report built around four years of Bitcoin options data, with Deribit as its main market reference, and discusses Ethereum options as well. It reports that in 2022 ETH options exceeded BTC options in volume and open interest for…