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
The document argues that combining blockchain activity data with options and volatility data may help traders identify crypto opportunities and build hedges. It describes comparing on-chain transaction flows with realized volatility, as well as examining…
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 document outlines a rule-based implementation of the TD Sequential indicator, designed to identify possible turning points against an existing trend. A setup phase counts qualifying consecutive price comparisons until a nine-bar condition is reached. A…
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 Chinese stock-selection rule combines a daily high-low range greater than 1%, a reversal or engulfing-style candle condition, and the presence of an outstanding convertible bond name. The document presents these as a way to find reversal candidates…
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 engineering guide explains how to locate backtest slowdowns while preserving simulation behavior. It separates startup, historical data loading, strategy computation, and report generation, and recommends first distinguishing cold runs that fetch data…
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…
A forum participant asks whether a CTA approach fits trading futures and options from indicators while seeking to hedge positions. The response points to a portfolio strategy module for developing strategies that trade multiple contracts. This suggests…
This excerpt summarizes a dated market note about the China 50 ETF and volatility conditions. It interprets a rise in the trading-volume put-call ratio as a shift toward cautious sentiment and notes a premium in at-the-money call implied volatility relative…
This short VeighNa community exchange answers a practical question about downloading one-minute data for all listed and expired options on several Chinese stock indexes. A user asks whether entering a family code can retrieve every contract at once; the…
A VeighNa community exchange distinguishes the roles of two option modules in version 3.9.3. It describes the open-source OptionMaster as intended for semi-automatic volatility trading, while the Elite edition's OptionStrategy module is designed for fully…
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 dated market note links crypto pricing to US macro events, especially the Federal Reserve decision and employment data. It treats Bitcoin as a gold-like alternative currency and Ether and other altcoins as more economically sensitive risk assets. The…
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…