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.
10,263 documents
This documentation explains platform support for listed, crypto, spread, and binary options, including differences in their metadata and identifiers. It describes subscribing to venue-provided Greeks either for an individual contract or for a series-level…
The document introduces blockchain oracles as software that retrieves off-chain information and makes it available to smart contracts. Because a blockchain cannot directly query external APIs or data feeds, an oracle provides a link between on-chain…
This report examines BTC options and futures behavior in Q1 2023, then introduces Lyra as an automated market maker for on-chain options. It contrasts AMM and order-book models and frames DeFi options as an evolving market without an established analytical…
This reference catalog groups Python libraries used across quantitative finance. It covers strategy research and backtesting, technical indicators, risk and portfolio analysis, scientific computing, derivatives pricing, factor and time-series analysis,…
The newsletter links Bitcoin’s recent weakness to U.S. market sentiment and argues that BTC continues to behave like a risk-sensitive asset. It notes rising Bitcoin volatility and shifting institutional options activity between IBIT and Deribit. It also…
This market recap describes how Bitcoin and Ether derivatives changed during a sharp Bitcoin rally linked in the document to positive news about BlackRock and EDX Markets. It tracks realized volatility, term structure, option skew, trading volume, and dealer…
This article explains short selling as borrowing or entering a position that benefits when a cryptocurrency’s price falls, then closing at a lower price. It discusses using short positions to express a bearish view, hedge existing long exposure, or seek…
This technical reference describes how deployers configure and operate builder-deployed perpetual markets on Hyperliquid. It covers market and asset registration, oracle updates, funding parameters, margin tables and modes, fee settings, open-interest caps,…
This market recap interprets Bitcoin and Ethereum options through realized and implied volatility, term structure, skew, option flows, and dealer gamma positioning. It describes Bitcoin volatility rising as spot tested resistance and Ethereum volatility…
This podcast summary introduces Superstate's approach to representing traditional financial assets on a blockchain. Its featured product, USTB, is described as a tokenized short-term US government bond product. The discussion centers on using blockchain to…
This market recap reviews BTC and ETH options conditions during a week when spot prices drifted lower and realized volatility eased. Implied volatility also declined, but less than realized volatility, which the author says returned volatility carry to…
The document outlines Lyra V2 as a decentralized options venue that replaced its earlier automated market maker model with a gasless central limit order book and on-chain settlement. It describes an app-chain architecture based on an optimistic Layer 2…
This introduction explains a one-period binomial model for a call option. The underlying asset starts at 100 and can move to either 110 or 90 by the next day; with a strike of 100 and interest rates set to zero, the call pays 10 in the up state and nothing…
This market update reviews three developments in crypto derivatives: August activity at Deribit, the launch of Bumper, and Kraken’s plans to expand its derivatives business. It reports that Deribit’s volume rose while global derivatives volume fell, with…
This weekly market review describes how a rally in Bitcoin and Ether affected realized and implied volatility, option skew, term structure, trading flows, and dealer gamma. It reports that volatility rose with spot prices, call premiums deepened—especially…
The document explains how delisting works for validator-operated perpetual contracts. Validators vote on whether an asset should be removed; if they approve delisting, the contract settles at the one-hour time-weighted spot oracle price from before the…
This market recap compares realized and implied volatility in Bitcoin and Ethereum options, then reviews changes in their volatility term structures. It describes a negative variance risk premium in both assets, with realized volatility above implied…
The commentary assesses a Bitcoin breakout alongside crypto options positioning and volatility, while contrasting Ethereum’s weaker price action. It links Bitcoin’s strength to a possible safe-haven narrative and reports that spot had moved above a long-term…
This options-market newsletter reviews a strong week for Bitcoin and Ethereum amid hotter-than-expected inflation data, higher rates, and rising volatility in equity volatility products. It argues that Ethereum could attract attention as traders look for a…
The study outlines China’s convertible bond market and develops a screening factor intended to identify bonds with relatively low embedded-option valuations. It decomposes convertible bond value into a discounted bond component and an option component. Under…
This market recap summarizes several conditions in Bitcoin and Ether derivatives as of February 15, 2023. It reports that realized volatility continued to ease and that term structures were flattening after being in contango. It also describes Bitcoin…
The document presents two ways to estimate convexity in Chinese convertible bonds. The Black–Scholes approach substitutes implied volatility for the underlying stock’s volatility, calibrating the model price to the observed bond price before using its…
The document introduces over-the-counter options as privately negotiated, nonstandard contracts and focuses on binary, or digital, options. Unlike ordinary options with payoffs that vary continuously with the underlying price, a binary option pays a fixed…
This module implements the bivariate Nelsen 13 copula, a tool for modeling dependence between two uniform variables. It provides the copula cumulative distribution and density, a conditional distribution, random pair generation, and a parameter estimator…