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 market recap interprets Bitcoin and Ether options volatility, term structure, skew, trading flows, and dealer gamma around anticipated spot ETF decisions. It reports rising implied volatility alongside stable recent realized volatility, with Bitcoin’s…
The document describes Panoptic, a decentralized protocol that offers perpetual options linked to Uniswap liquidity pools. It explains how concentrated liquidity ranges can serve as strike selection and how liquidity provision can create option-like…
The article argues that ETH options volatility may offer a long-volatility opportunity despite the historically positive variance risk premium often observed in crypto. It compares ETH and BTC implied and realized volatility, describing ETH’s relative…
This market recap reviews BTC and ETH options conditions around ETF-related news. It describes a surge in realized volatility followed by lower implied volatility after the event, and explains that the resulting negative volatility carry is not, by itself, a…
This class template describes a bivariate mixed copula as a weighted combination of component copulas. It calculates the mixture density, joint cumulative probability, and conditional probability by evaluating each component and summing according to its…
This documentation explains how cross, isolated, strict isolated, and HIP-3 margin modes affect collateral sharing and liquidation exposure. Cross margin pools eligible collateral across positions, with the scope of sharing depending on account abstraction…
The article compares Bitcoin market conditions in late 2023 with the rally in late 2020, using spot returns, options implied volatility, futures basis, and realized volatility. It reports that implied volatility was near its 2023 high amid call buying, while…
This technical reference implements the bivariate Joe copula, a dependence model with a parameter theta in the range from 1 upward. It provides formulas for the copula cumulative distribution, density, and conditional probability, along with a sampling…
This reference explains how a dated, exchange-traded futures contract is represented. It describes identifiers, underlying, activation and expiration times, currency, price precision and increments, multiplier, lot size, margin settings, quantity and price…
This report surveys digital-asset market conditions in the first quarter of 2025, connecting sharp price moves with macroeconomic news, regulatory actions, exchange security events, and institutional positioning. It discusses Bitcoin and Ethereum, ETF flows,…
This overview explains why financial institutions may consider digital assets and surveys market structure, asset categories, trading venues, and regulatory developments. It contrasts crypto markets with traditional finance, emphasizing continuous global…
This market recap reviews BTC and ETH options positioning during a period when spot prices struggled near technical levels and traders anticipated volatility around the Bitcoin halving. It compares realized and implied volatility, term structures, skew,…
The document summarizes research and a webinar discussion of Bitcoin options across bull, bear, and volatile market conditions. The presenters examined the volatility surface and its regimes, and argued that traders may find opportunities by adapting ideas…
This brief market recap points readers to four themes in Bitcoin and Ether derivatives: pronounced put skew, the volatility spread between ETH and BTC, large realized-volatility days influencing markets, and buying of longer-dated calls described as…
This brief market recap describes conditions in Bitcoin and Ether derivatives as of February 8, 2023. It tracks realized volatility, futures or options term structure, skew, and observed option flows. The reported picture is declining realized volatility, a…
This market recap reviews BTC and ETH options after a sharp spot recovery. It discusses realized and implied volatility, term structures, volatility carry, call and put skew, relative value between the assets, option flows, and dealer gamma. The commentary…
The document outlines a framework for estimating implied volatility and theoretical option values for altcoins without actively traded options. An Altcoin SVI endpoint bootstraps volatility curves and recalibrates them every 24 hours for 7-day and 30-day…
This market recap interprets a sharp Bitcoin rally and concurrent Ethereum strength through realized and implied volatility, term structure, skew, option flows, and dealer gamma. It reports that volatility rose as spot advanced, options buyers chased upside…
The document describes the growing role of cryptocurrency derivatives and the need to combine data from fragmented trading venues. It identifies trades, price aggregates, deep order books, open interest, funding rates, liquidations, and long/short ratios as…
This document explains why cash dividends matter when pricing Chinese equity index futures and estimating hedge costs. Because the contracts track price indices, expected constituent dividends affect fair value and the apparent futures basis. The proposed…
This derivatives newsletter reviews a strong weekly rise in Bitcoin and other risk assets amid a US government shutdown and missing official employment data. It compares private employment estimates with market expectations, notes gains in gold, equities,…
This introductory guide explains that Bitcoin trading takes place across exchanges, over-the-counter markets, and derivatives platforms, with markets operating around the clock. It outlines basic setup steps such as selecting a platform, registering and…
This overview explains how Delta, Gamma, Theta, and Vega describe different sensitivities in crypto options, with a brief discussion of Rho. Delta measures exposure to the underlying asset’s price; Gamma tracks changes in Delta; Theta describes time decay;…
This weekly review interprets Bitcoin and Ethereum options conditions amid subdued spot markets and lower volatility. It discusses falling short-dated implied volatility, a steeper contango term structure, and the view that long-dated Ethereum volatility…