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 overview explains how a crypto derivatives portfolio can combine instruments with positive and negative delta to keep net directional exposure near zero. Traders may then focus on changes in implied volatility, time decay, or other option effects rather…
This FAQ describes LumiBot, a Python framework for backtesting and live algorithmic trading across several asset classes and brokers. It outlines the shared strategy workflow, data-source requirements, and common operations such as handling fills, tracking…
The article describes how historical crypto options data can support market research, algorithm development, and portfolio management. It identifies implied volatility, realized volatility, open interest, put/call ratios, price and volume records, and order…
This derivatives newsletter argues that Bitcoin may remain in consolidation despite bullish headlines, while stronger equities and lower equity volatility point to a different near-term backdrop. Its macro discussion cites the upcoming Federal Reserve…
This podcast recap follows quant Artur Sepp’s move from traditional finance into crypto derivatives. It describes his work on delta-neutral options strategies, volatility modeling, and market making in illiquid options, where one-sided order flow and…
A forum user reports an integer overflow error while backtesting options with a trading platform’s OptionStrategy module. The problem reportedly occurred only for CSI 300 ETF options and on two specific dates. The user traced the error to loading the…
This stock selection note combines three conditions: a stated price amplitude threshold, a nonempty name for an outstanding convertible bond, and a bullish MACD crossover in which DIFF moves above DEA. The proposed rationale is to combine price movement,…
This weekly market note reviews Bitcoin and Ether options conditions in early December 2022 alongside macroeconomic context. It describes falling realized volatility and implied volatility, a soft volatility backdrop, changing risk reversals, and steep Ether…
An interview with an experienced derivatives trader traces his move from equity derivatives into crypto and explains how exotic option books can behave under stress. Autocallables combine contingent coupons with short exotic downside exposure, while their…
This market commentary examines crypto options and spot-market conditions during the November 2022 FTX collapse. It argues that contagion concerns, thin liquidity, and possible abrupt news-driven moves made short-volatility positions especially exposed, even…
This market commentary links changing US inflation, employment, and rate expectations to crypto risk sentiment, then reviews Bitcoin and Ethereum options positioning ahead of an FOMC decision. It describes bullish Bitcoin flows, including call buying and put…
This weekly crypto market note reviews Bitcoin’s rally, liquidation-driven price swings, upcoming US macro events, and the implications for options volatility. It connects a sharp move through prior price levels with short liquidations, a subsequent rapid…
This market commentary links Federal Reserve uncertainty and tariff-related inflation concerns with higher volatility in traditional markets, then considers possible spillovers to Bitcoin. It cites a rise in the VIX after Powell’s remarks, strength and…
This market recap reviews Bitcoin and Ethereum options after approval of an Ethereum exchange-traded fund. It discusses realized and implied volatility, term structure, relative volatility, and option skew. The account says implied volatility fell as event…
The article explains why implied volatility is an option price input solved from a pricing model, rather than a direct forecast of future realized volatility. It recommends assessing current IV against its own history and reading it alongside the shape of…
This weekly market note connects Federal Reserve expectations and US economic releases with crypto and equity volatility. It argues that rates and inflation data could influence risk assets, then compares Bitcoin and gold implied volatility as a way to frame…
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…
This weekly crypto options analysis links macroeconomic events, including US debt ceiling negotiations, inflation data, Fed minutes, and upcoming employment figures, to Bitcoin and Ethereum volatility. It argues that the market may remain in a wait-and-see…
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 legacy LumiBot guide explains how to connect a trading strategy to Interactive Brokers through Trader Workstation (TWS). It identifies the API settings to enable, including ActiveX and socket clients, and says to turn off read-only access. It…
A user asks whether a live script trading connection through CTP can show historical futures and options contract data. The question cites a CTP interface description that says historical data is not provided. A forum reply says that a live interface…
The document explains how to use ThetaData as a historical data source for LumiBot backtests covering stocks and options, as well as other asset types. It supports minute and daily bars directly; hourly bars can be built from minute data. Downloaded data is…
The podcast account follows Jake Ostrovskis’s move from global macro trading into crypto OTC markets. It describes his focus on fair value and volatility dislocations, and the OTC desk’s role in arranging large or tailored trades across spot, options, CFDs,…
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…