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 commentary links a hotter-than-expected inflation reading and weak Treasury auction demand to reduced expectations for near-term rate cuts, pressure on bonds, and higher geopolitical risk around Iran. It reports a sharp risk-off move in…
This market commentary reviews Bitcoin, Ether, and other crypto assets after a hawkish Federal Reserve decision. It connects the cross-market decline to higher inflation expectations and fewer anticipated rate cuts, then discusses how falling spot prices…
This weekly commentary reviews crypto options markets amid uncertainty following the FTX collapse. It discusses implied volatility, realized volatility, the term structure, and BTC risk reversal skew, arguing that downside puts remained in demand while the…
This mid-week market recap summarizes several observations about Bitcoin and Ether options as of January 31, 2023. It reports that recent large price swings kept 10-day realized volatility from declining sharply, while Bitcoin’s term structure remained…
This market commentary reviews early 2025 conditions across Bitcoin, Ethereum, and Solana. It links macro events and labor data to volatility expectations, and describes Bitcoin positioning around the $100,000 strike, including dealer short gamma and demand…
This study treats a convertible bond as combining straight-bond value and embedded equity-option value, and examines how bond returns relate to the underlying stock. It reports positive return correlation across conversion-status groups, with average…
This market commentary reviews crypto options conditions in early January 2023, focusing on Bitcoin and Ether implied and realized volatility, term structure, risk reversals, and trading flow. It argues that exceptionally subdued Bitcoin volatility and a…
The article explains how options traders can compare implied volatility, which reflects the market’s priced expectation of future movement, with realized volatility, which measures past movement. That comparison can help assess whether options or particular…
This mid-week recap summarizes conditions in Bitcoin and Ether derivatives as of February 22, 2023. It highlights a sharp Bitcoin rally toward a stated resistance level, an inverted Bitcoin options term structure, and a shift in Bitcoin skew toward call…
This derivatives newsletter interprets Bitcoin options and futures positioning in the week before a US PCE release and developments in the 2024 election campaign. It reports a rise in implied volatility relative to realized volatility, a week-over-week…
This newsletter links Federal Reserve decisions, labor and inflation data, GDP, tariffs, and company earnings to crypto market behavior. It describes a week in which weaker payroll data and downward revisions coincided with higher inflation and positive GDP,…
This market recap interprets Bitcoin and Ether options during a sharp sell-off and liquidation episode. It compares realized and implied volatility, put and call skew across expiries, carry, and the volatility spread between the two assets. The commentary…
This weekly options commentary links a rally in risk assets and a more dovish interest-rate outlook to bullish sentiment in Bitcoin and Ethereum. It reviews macroeconomic catalysts, spot performance, implied volatility, options skew, and reported trading…
This market commentary connects crypto price swings with higher US yields, macroeconomic uncertainty, and changing risk appetite. It discusses Bitcoin’s support levels and consolidation, Ethereum’s supply changes amid Layer 2 growth, and options positioning…
The document explains two ways to inspect option delta across strikes and expirations. A constant-maturity surface compares options at a standardized horizon, helping track how strike-level deltas change without mixing in different times to expiry. A…
The newsletter links inflation trends, expected Federal Reserve rate cuts, precious metals, and crypto prices to possible options trades. Its author argues that regulatory uncertainty could weigh more on Ethereum than Bitcoin, making ETH call selling…
This reference explains how a crypto option instrument is represented, including its underlying asset, put-or-call type, strike, activation and expiration times, quote and settlement currencies, and contract sizing. It catalogs required and optional fields…
This short note defines historical volatility as the standard deviation of regularly sampled logarithmic price changes, following Sheldon Natenberg’s description in an options-pricing text. Its indicator recipe calculates close-to-close log returns, takes…
The article discusses BitMEX’s options launch and its partnership with PowerTrade, emphasizing USDC-denominated contracts and multi-asset margining. It describes how collateral from multiple cryptocurrencies is converted to USDC for options trading, and how…
This Python strategy sells a short-dated SPY iron condor near the end of each trading day, targeting expiration on the next trading day. It skips a new position when the prior day's VIX close exceeded 25. Otherwise, an AI trading agent selects short put and…
The note argues that crypto implied volatility appears low despite macro uncertainty and recent sharp price declines. It proposes a delta-neutral long-volatility position combining long-dated out-of-the-money calls with short underlying futures. The calls…
A short forum exchange raises a reproducibility issue: the same options strategy reportedly produced different returns in two backtests. The original poster wonders whether running several strategies at the same time caused the discrepancy. A respondent…
This market commentary reviews Bitcoin options conditions during a week of rising crypto prices and macroeconomic uncertainty. It describes elevated implied volatility and a relatively flat term structure, then suggests that volatility could ease and the…
This tutorial describes running a shared short volatility strategy on Derive. It selects an out-of-the-money ETH call and put at the nearest expiry, tracks venue supplied option Greeks, and offsets net portfolio delta with ETH perpetual orders when exposure…