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.
12,303 documents
This market commentary links a Bitcoin and Ethereum rally to spot ETF demand, seasonal patterns, supply constraints, and shifts in speculative positioning. It reviews spot prices, realized and implied volatility, options term structures, call and put skew,…
This weekly market recap reviews Bitcoin and Ethereum derivatives through annualized implied yields, at-the-money volatility, delta skew, volatility surfaces, and calibrated smile curves. It describes how those measures changed around October 13 and compares…
This weekly report reviews derivatives positioning and option pricing in Bitcoin and Ethereum. It says perpetual swap funding and futures-implied yields remain well below the leverage extremes before a late-March market flush. Implied volatility fell across…
The document proposes a short strangle for Bitcoin when price is expected to remain between nearby support and resistance. It describes selling an out-of-the-money call at a higher strike and a put at a lower strike, with the same expiry. The example uses…
This weekly market report compares Bitcoin and Ethereum derivatives indicators during a period of recovering spot prices. It uses perpetual funding rates, futures-implied yields, at-the-money implied volatility, and 25-delta risk reversals to describe…
This market note links Ethereum’s volatility repricing to renewed interest in a possible spot ETF. It compares BTC and ETH realized and implied volatility, term structures, option skew, and dealer gamma. The reported week saw ETH volatility rise sharply…
This options-flow note interprets pressure on Bitcoin calls and implied volatility after spot repeatedly failed to hold above the 25–25.3k area. It reports that about 1.5k February 24 26k calls were sold and describes continued selling of near-dated…
This podcast recap considers whether a recent crypto price decline is a healthy correction or a sign that the macro backdrop has shifted. One speaker views the dip as healthy and points to relatively small ETF trade sizes as evidence that larger real-money…
The note interprets a sequence of Bitcoin options trades and accompanying changes in implied volatility, put skew, and spot price. It describes initial selling of July calls alongside purchases of short-dated puts and a longer-dated put collar,…
This weekly derivatives report summarizes futures implied yields and option volatility conditions for Bitcoin and Ether. It describes short dated Bitcoin yields turning positive and flattening toward longer maturities, while Ether’s one month yield remains…
This commentary compares Bitcoin and Ether option volatility smiles, focusing on the relative pricing of out of the money puts. It uses 25 delta risk reversals and volatility smiles at one and three month maturities to show that Ether puts carry higher…
This weekly commentary interprets Bitcoin options activity around the first tests of $50,000 and the subsequent move higher. It tracks put skew, implied volatility, term structure, and trades across expiries and strikes to infer how traders were hedging,…
This weekly recap examines Bitcoin and Ethereum derivatives during a macro-linked spot volatility episode. The report describes an inversion of both assets’ implied volatility term structures, with Bitcoin’s front-end volatility subsequently falling below…
This weekly market recap describes how a crypto sell-off affected derivatives pricing in Bitcoin and Ethereum. Short-dated volatility smiles shifted toward out-of-the-money puts, signaling increased demand for downside protection, while at-the-money implied…
This podcast description summarizes a discussion of Bitcoin and Ether market behavior amid bond-market moves and shifting expectations for Federal Reserve policy. It says Bitcoin approached a new high before rejecting it, institutional buying slowed, and…
This weekly market recap interprets Bitcoin and Ether derivatives alongside a spot-price rebound. It tracks futures-implied yields, perpetual swap funding, at-the-money implied volatility, and 25-delta risk reversals. The report describes rising futures…
This weekly snapshot reviews Bitcoin and Ether futures yields, perpetual funding, options implied volatility, volatility surfaces, and put-call skew. It reports that annualized futures yields for both assets were near zero, while perpetual contracts traded…
This market commentary combines technical, flow, and derivatives observations to argue that Bitcoin may remain range-bound through year-end. It cites weakening momentum in the relative strength indicator, slowing Tether issuance, and Bitcoin’s failure to…
The commentary describes a crypto market with range-bound prices, stable realized volatility, and implied volatility still above realized volatility. That relationship leaves positive volatility carry, though the spread is compressing. The author interprets…
This commentary explains two SABR calibration parameters as tools for interpreting BTC and ETH option smiles. Volatility of volatility describes how strongly the smile steepens, raising the relative price of options far out of the money compared with…
The commentary examines a Bitcoin rebound alongside changing volatility and options positioning. It reports that realized volatility fell as earlier price swings left the measurement window, while front-end implied volatility rose during a breakout. The gap…
The commentary links a sharp crypto correction to crowded Bitcoin perpetual futures positioning and describes how liquidations affected realized volatility, implied volatility, term structure, and option skew. It reports increased front-end downside…
This podcast synopsis previews a discussion of the crypto market outlook with Raoul Pal and Michaël van de Poppe. The guests consider why crypto has not rallied alongside favorable macro developments, including central-bank rate cuts and Chinese stimulus,…
The article considers how to position Bitcoin options around the expected U.S. spot ETF decision in January 2024. Its thesis is that prior SEC feedback and revised applications made rejection seem less likely, while traders appeared to price a roughly 11%…