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 API reference describes actions available to deployers of builder-deployed perpetual markets. It covers registering a DEX and assets, updating oracle inputs, setting funding parameters and margin tables, configuring open-interest caps, assigning fee…
The document compares three option structures for different views on movement and expiry price. A long straddle buys a call and put at the same strike, while a long strangle uses different strikes; both seek a substantial move in either direction and have…
The document presents the DVol Index as a way to track how rapidly implied volatility changes, using those fluctuations as a proxy for changing market stress. It describes an index endpoint that also reports a 30-day rolling volatility measure calculated…
The newsletter links crypto markets to broader risk assets and discusses how macroeconomic uncertainty, Federal Reserve messaging, tariff concerns, and upcoming data releases may affect prices. It interprets falling VIX and VVIX as evidence that near-term…
The article surveys ways decentralized finance represents familiar financial products on blockchains. It describes lending pools where suppliers earn variable interest and borrowers post crypto collateral, often in excess of the loan value. Smart contracts…
The document introduces two historical option volatility views for a selected expiration. The strike view plots implied volatility curves over time against strike, while the delta view plots them against delta. These views let analysts examine how the…
This document introduces a measure called term-structure richness for describing the relative level of contango or backwardation in an options volatility curve. A value of 1.00 represents a flat curve under the provider’s measurement method; readings on…
The article outlines a Monte Carlo approach to pricing European calls on the China 50 ETF under the Black-Scholes-Merton framework. It divides the life of the option into time steps, simulates the underlying price with normally distributed shocks, calculates…
This example shows a live data actor subscribing to a slice of Bitcoin options on Deribit. At startup, it filters cached instruments to find unexpired options, selects the nearest expiry, prefers BTC settlement when available, and constructs a series…
This mid-week market recap summarizes conditions in Bitcoin and Ether derivatives as of December 14, 2022. It highlights tight trading ranges and realized volatility remaining firm near its lows. Bitcoin’s options term structure is described as being in…
This market snapshot examines BTC and ETH options and derivatives alongside macroeconomic conditions. It describes implied volatility and realized volatility as unusually compressed, while volatility risk premium readings remain elevated. Put skew is…
This weekly market commentary reviews BTC and ETH options conditions during a period of falling realized and implied volatility alongside weaker spot prices. It discusses changes in volatility term structures, put and call skew, relative volatility between…
The newsletter reviews a week in which Bitcoin rose 8% after briefly falling below $100,000 amid geopolitical headlines. It connects the rebound to falling crude prices and stronger performance in higher beta crypto assets, while noting that Bitcoin’s year…
This derivatives newsletter reviews Bitcoin and Ether price and options behavior around a sequence of SEC-related events, ETF approval, and the start of ETF trading in January 2024. It describes a muted immediate spot response to a false approval report, a…
This guide explains how LumiBot’s OptionsHelper supports options selection and order construction. It covers finding expirations on or after a target date, selecting strikes by target delta, validating quote quality, and assembling common multi-leg…
This weekly market note connects Bitcoin ETF flows and continued GBTC selling with pressure on BTC prices, while describing the effect of past GBTC premiums and subsequent liquidations. It reports that BTC risk reversal skew had begun to recover from a low…
The newsletter connects geopolitical uncertainty, oil volatility, weaker employment data, and upcoming inflation releases with risk pricing in Bitcoin options. It contrasts active daily price swings with subdued month-to-month movement, using two…
This research summary examines what drives convergence in the basis of stock index futures and how those drivers can inform cash-and-futures hedging. After accounting for dividend effects, it identifies the current contract’s annualized basis, the index’s…
The report teaser examines institutional participation in Bitcoin futures, options, and perpetual swaps during 2023. It compares CME and Deribit through rolling futures basis and open interest, interpreting CME’s higher basis and growth in open interest as…
The document explains how a calibrated SVI volatility surface can be used to estimate option prices across a range of strikes, then apply the Breeden-Litzenberger relationship. That relationship connects the second strike derivative of call prices to a…
This market recap examines BTC and ETH options during a sharp rally. It describes realized and implied volatility rising, with BTC’s move and volatility increase stronger than ETH’s. The commentary notes that higher short-dated implied volatility can leave…
The document surveys leveraged exchange-traded funds, their construction, daily exposure management, costs, and market footprint. Such funds seek a multiple of an underlying index’s return over a short period, using derivatives such as futures or…
This market commentary reviews BTC and ETH options conditions around a period of spot weakness, recovery, and anticipation of a US presidential debate. It reports comparatively stable realized volatility, higher front-end implied volatility, positive carry…
This market recap examines BTC and ETH options through realized volatility, volatility carry, expiry term structures, relative value, option flows, and dealer gamma. It describes rising BTC volatility after a spot advance, comparatively steady ETH…