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 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 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 documentation explains how a trading strategy can represent and submit orders, from basic market orders to limit, stop, stop-limit, and trailing-stop orders. It also describes a smart limit approach that moves through the bid–ask spread on a timed…
The document is a QuantStats tear sheet comparing a credit-spread strategy with SPY over January 4–22, 2026. It reports that the strategy had a slightly negative total return and annualized return, a small maximum drawdown, and negative Sharpe and Sortino…
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 guide explains how advanced users can run Lumibot backtests with their own historical data. It supports intraday and daily testing and describes assets including stocks, futures, cryptocurrency, and foreign exchange. Input data must be converted into a…
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…
This study compares ways to hedge stock holdings, motivated by investors who hold equities as a base for IPO subscriptions and want to reduce exposure to price swings. It measures hedge costs using annualized futures discounts and compares those costs across…
This document summarizes two external research papers. The first concerns allocating capital among private fund strategies within a fund-of-funds portfolio, using multi-objective linear programming to derive allocation weights. The second examines the ratio…
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 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 market commentary links the inflation outlook and Federal Reserve communications to crypto sentiment, then focuses on Bitcoin positioning ahead of the April 2024 halving. It notes the reported PCE and core PCE readings, upcoming employment data, strong…
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…
This configuration guide explains how to connect LumiBot trading strategies to Interactive Brokers, including credential setup, market data access, and paper trading. It describes storing account details in a local environment file and lists optional…
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…