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
The podcast discusses possible growth paths for crypto options, drawing comparisons with traditional markets. Its central argument is that bear markets can give new derivatives products room to attract traders seeking other ways to trade or manage exposure.…
This article revisits volatility in option pricing, focusing on the constant-volatility assumption in Black–Scholes. It considers time-varying stochastic volatility, represents log volatility through a mean-reverting process, and motivates using a rougher…
This reference explains how TqSdk represents option contracts and exchange-defined combinations across several Chinese futures and securities venues. It gives examples of contract-code formats for calls and puts, ETF and index options, and calendar spread…
This Chinese-language research roundup summarizes three studies from overseas literature. The first presents a numerical simulation approach for approximating American option values, with potential application to pricing domestic convertible bonds. The…
This weekly crypto options note links a lower-than-expected US inflation reading and falling yields to a near-term bullish view on risk assets, while noting Bitcoin’s separate spot ETF catalyst. It reviews seasonal expectations for subdued holiday…
This year-end market note reviews Bitcoin and Ether volatility conditions around December 31, 2022. It describes unusually quiet Bitcoin trading, a sharp decline in seven-day realized volatility, and Deribit’s volatility index closing near its annual low.…
This weekly market note reviews crypto options and volatility conditions around US inflation and Federal Reserve announcements in December 2022. It describes short-dated Bitcoin implied volatility rising ahead of CPI, then falling after the releases, while…
This podcast overview describes CVI, a decentralized product designed to provide exposure to implied volatility in Bitcoin and Ethereum options. It outlines an index and a more volatile leveraged variant, real-time leveraged positions, and a planned…
This article reviews US legislative proposals that could place much of the digital asset market under the Commodity Futures Trading Commission. It describes bills proposing CFTC oversight of spot digital commodity exchanges, intermediaries, stablecoin…
This article describes the infrastructure and workflow needed for systematic options trading. It emphasizes collecting and organizing data across many strikes and expiries, then computing pricing and volatility measures that can support historical analysis…
The newsletter interprets market reactions to a Fed rate cut and Powell’s comments, then compares gold and Bitcoin through futures trends, implied volatility, and 180-day 25-delta risk reversals relative to at-the-money volatility. It reports positive gold…
This report argues that convertible bonds should not be analyzed by applying an equity multi-factor framework uniformly. Because bonds differ in payoff structure, their relevant pricing factors may also differ; the authors describe examining and decomposing…
This reference explains how to represent an exchange-defined options strategy as one tradable instrument. A venue may list a vertical spread, calendar spread, or similar multi-leg strategy under its own symbol, with its own pricing increment, expiration, and…
This weekly recap describes changes in Bitcoin and Ether options markets after news about Grayscale ETFs. It reports that realized volatility had fallen while prices stayed near the bottom of their recent range, then rose sharply after the news and an…
This reference explains how to represent a binary outcome contract as a tradable instrument, including its identifiers, asset class, settlement currency, activation and expiration times, price and size precision, increments, and optional order limits and…
This report discusses the Hong Kong listing of leveraged and inverse funds tracking the CSI 300, including a two-times long product and a one-times inverse product. It describes their use of swap contracts to maintain a fixed daily exposure and compares that…
This market recap reviews BTC and ETH options positioning before US CPI. It reports lower realized volatility as prices stayed in ranges, while implied volatility changed little and carry turned positive. The author sees short gamma as attractive, suggesting…
This podcast recap examines changes in Bitcoin and Ethereum options volatility, focusing on the spread between their implied volatilities. The discussion attributes shifts in that relationship to factors including persistent option supply, an Ethereum ETF…
This reference explains how to represent an exchange-listed cryptocurrency option spread as one tradable instrument. It describes the instrument identity, underlying and quote and settlement currencies, inverse sizing flag, strategy type, activation and…
This product update describes several analyses for crypto derivatives and blockchain activity. Its options material includes constant-maturity butterfly values across selected deltas and time windows, at-the-money implied volatility box plots, and dealer…
This market commentary reviews Bitcoin and Ether options through realized and implied volatility, expiry term structures, call skew, and relative value. It reports Bitcoin realized volatility in the mid-30s and Ether near 50 after spot weakness, while…
The document explains how implied volatility (IV) surfaces organized by option moneyness can help identify relative pricing anomalies. A floating surface compares options at their actual listed expirations, while a constant surface interpolates or…
This weekly market review surveys Bitcoin and Ether options through realized and implied volatility, term structure, skew, relative value, option flows, and dealer gamma positioning. It describes falling front-end implied volatility, a pronounced shift…
This mid-week recap summarizes conditions in Bitcoin and Ether derivatives as of January 18, 2023. It highlights realized volatility returning above 20%, a shift to inverted term structures, and a complete reversal in skew. These measures describe different…