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 example strategy buys a call option on SPY during its first trading iteration and then makes no further purchases. It reads the latest daily close of the underlying, rounds that price to the nearest whole number to set the strike, and submits an order…
This newsletter links crypto market expectations to macroeconomic developments, including an inflation surprise, the upcoming FOMC decision, tariff uncertainty, and movements in equities and volatility measures. It describes Bitcoin as closely tied to…
This article explains how to compare Bitcoin and Ether options volatility surfaces across strikes and expirations to identify relative-value trades. Traders can examine differences in implied-volatility level, skew, and term structure, then investigate…
This weekly market recap discusses Bitcoin and Ether options through realized and implied volatility, term structure, call skew, relative value, trading flows, and dealer gamma. It reports elevated realized volatility in both assets, firmer implied…
This newsletter links macroeconomic developments to crypto and options-market positioning. It discusses how stronger employment data and rising Treasury yields changed market-implied expectations for the next Federal Reserve decision, and frames inflation…
The interview describes Itos Finance’s plans for on-chain structured products, drawing on co-founder Terence An’s experience in high-frequency trading and market infrastructure. Its central risk-management idea is to offer options that can hedge liquidity…
The episode discusses crypto derivatives conditions in September 2023, focusing on changes in options skew, Ethereum and Bitcoin relative pricing, dealer gamma, and concern about planned FTX asset sales. The speakers describe a shift toward put demand after…
This brief market recap highlights four observations about Bitcoin and Ether derivatives. Realized volatility remained near recent lows, term structures became flatter after a period of steep contango, and skew flattened. The recap also notes substantial…
The document describes a proposed method for estimating altcoin volatility surfaces. It contrasts the approach with methods that adjust Bitcoin or Ethereum volatility using realized moments such as skew, kurtosis, and volatility of volatility. It argues that…
This podcast recap discusses institutional access to crypto derivatives through an over-the-counter dealer. The guest describes a trading workflow that first seeks a counterparty for a client trade and hedges the exposure if a match is unavailable. The…
This episode summary connects crypto markets with macro liquidity, monetary policy, and options risk management. It discusses the shift from rate hikes toward anticipated cuts, liquidity conditions in China and the United States, and how those forces may…
This indicator calculates and displays option-derived levels on a trading chart from manually supplied strike prices and premiums. Its stated formulas add a scaled premium to the call strike and subtract a scaled premium from the put strike. Inputs also…
This weekly market review interprets a crypto rally through options data and related market conditions. It discusses positive spot and volatility correlation, term structure moving into backwardation during sharp advances, and differences between short dated…
This article outlines three considerations for institutions entering crypto options markets: jurisdiction-specific regulatory compliance, trading infrastructure, and risk management. It recommends evaluating platform liquidity, order types, security…
This weekly market recap surveys Bitcoin and Ether options through realized and implied volatility, term structure, skew, reported option flows, and dealer gamma positioning. It describes front-end skew shifting toward puts in both assets after upside moves…
SMART_LIMIT is a limit order approach that starts near the bid-ask midpoint and moves its price toward the relevant side of the spread on a timed schedule. Three presets vary the number of price levels and the time spent at each step. If the order remains…
This report summary introduces over-the-counter options as customized, non-standardized contracts negotiated between counterparties or arranged through an intermediary. It focuses on binary, or digital, options, whose payoff is discontinuous: at expiry the…
This integration guide explains how a trading system connects to Deribit for market data and order execution. It outlines the division between WebSocket use for streaming and trading operations and HTTP use for instrument loading, historical requests, and…
This market commentary connects macro events and crypto derivatives positioning with a bullish view on Bitcoin and possible catalysts for Ether. It discusses implied and realized volatility, options open interest and skew, futures basis, and perpetual…
This market recap reviews Bitcoin and Ether options through realized and implied volatility, term structure, skew, option flows, and dealer gamma. It reports that short-dated implied volatility fell, while term structures moved back toward contango. Bitcoin…
This August 2023 overview surveys institutional activity in digital assets, including proposed U.S. regulatory frameworks, PayPal’s launch of a dollar-backed stablecoin, and pending spot Bitcoin ETF applications. It explains that institutions’ growing…
This feature note describes box plots for at-the-money implied volatility across constant-maturity points on an options term structure. It identifies the 25th, 50th, and 75th percentiles, along with lower and upper fences calculated as the first quartile…
This midweek market recap reviews BTC and ETH options through realized volatility, implied volatility carry, term structure, skew, option flows, and dealer gamma positioning. It reports BTC realized volatility in the mid to high 40s and ETH in the low 50s,…
This dated market recap summarizes observations about Bitcoin and Ether options markets for the week of November 30, 2022. It reports that realized volatility continued to decline, the term structure was moving back toward contango, and short-dated skew fell…