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.
610 documents
This commentary presents a framework for crypto volatility trading that stresses timing and carrying costs over the simple idea of selling volatility whenever it appears historically high. It describes realized volatility as mean reverting, while warning…
This document describes a service that periodically checks swap rates for specified trading symbols and records changed values in monthly CSV files. Each record contains a timestamp and the long and short swap values, creating a history that traders can…
The article surveys ways crypto holders may seek income: proof-of-stake staking, lending through centralized or decentralized services, yield farming, automated market-making pools, interest-bearing accounts, NFT guild rentals, yield-bearing tokens, and…
This configuration defines a futures system that combines exponentially weighted moving-average crossover forecasts at several speeds with a carry forecast smoothed over 90 days. It assigns forecast scalars to the rules, caps combined forecasts, and…
The document explains how Gate.io’s peer-to-peer lending market can support borrowing stablecoins or other cryptocurrencies against collateral. Borrowed coins can fund a leveraged long position or be sold to create a spot short; the text also contrasts this…
The document explains funding payments as a mechanism used by perpetual futures to help keep contract prices anchored to spot when there is no expiry and settlement. It describes the usual payment direction: when funding is positive, longs pay shorts; when…
This document summarizes a commodity futures strategy based on carry and the futures term structure. It describes a directional rule in which the nearby, or main, contract is bought when its price is below the next contract and sold when it is above it. The…
This interview recap examines Bitcoin and Ether performance, their changing spot and volatility relationships, and the relative beta of Ether in Bitcoin terms. It describes a shift in Ether’s beta below one and convergence in the assets’ volatility, while…
This strategy ranks commodity futures by roll return each month, buys the highest-return group, and shorts the lowest-return group. The groups are equally weighted, and positions are held for one month. The implementation calculates roll return from the…
This configuration describes a futures trading system that estimates forecasts from several exponentially weighted moving average crossover rules and a carry rule. The EWMAC rules pair faster and slower lookback periods, while the carry forecast uses…
This digital-asset snapshot describes a risk-off period marked by falling BTC and ETH prices, accelerating ETF outflows, weaker spot volumes, and signs of strained order-book liquidity. It reports elevated positive funding across BTC, ETH, and SOL while spot…
The document explains how Hyperliquid portfolio margin combines spot balances, perpetual positions, and borrowing within one account. Eligible collateral receives a loan-to-value limit; when balances are insufficient for orders, the system can borrow against…
This market recap reviews Bitcoin and Ethereum derivatives conditions, including realized and implied volatility, skew term structure, carry, and relative value. It reports that realized volatility had eased, front-end implied volatility softened before…
The document surveys several ways to seek returns in cryptocurrency markets: lending assets through deposit products, supplying liquidity to earn fees, collecting perpetual-futures funding, trading price differences between contracts with different…
The document asks how to interpret specialness in bond futures when holding a long-only cash bond portfolio. It contrasts a cash bond’s implied forward price, determined by its carry, with the futures-implied forward price. When the futures-implied carry is…
The document examines negative carry claims for long positions in short-maturity Treasury note futures, including the two-year contract. It distinguishes cash bond carry from futures roll return: futures themselves do not have carry in the same sense as…
This exchange asks why a German government bond future can have a quoted price far above the price of a cash government bond. The question considers yield-curve expectations, quotation conventions, and carry, and wonders whether coupon payments should make…
The document raises a question about measuring the cost of a currency hedge or short position using an FX forward. It compares the forward-to-spot percentage change for EUR/USD with a quoted estimate of the three-month cost of being long euros and short…
The document explains why a yen-based investor’s cost of hedging a dollar asset is connected to interest rates and forward exchange pricing. It describes using a cross-currency swap to exchange dollar interest payments for yen interest payments and lock in a…
The note considers whether a Treasury issue that trades special in overnight repo is cheap relative to a fitted Treasury spline. Its central lesson is that the value of repo specialness depends on how long the bond is expected to remain special. A current…
The answers explain that FX outright delivery dates are convention driven and can vary with the currency pair, market, and trade details. Relevant inputs include spot settlement timing, holidays in each currency, weekends, whether USD holidays are included,…
The document explains why gross basis tends to decline as a bond futures contract approaches delivery. It defines gross and net basis and relates the implied repo rate to the bond’s invoice price, cash price, and time remaining. Because time to delivery…
The document explains a way to interpret an annual yield calculated from the difference between NDF bid and ask rates relative to spot. It connects the calculation to the familiar practice of expressing forward points as a proportion of spot, then…
The exchange explains how a deliverable bond moving from general collateral repo to special repo can affect its gross and net basis against a futures contract. Special financing lowers the bond’s carrying cost, which can attract demand and raise its price;…