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 article explains how trading volume and open interest can help assess liquidity in Bitcoin and Ethereum derivatives. Volume indicates trading activity and can be broken down by exchange, currency, and expiration; open interest counts outstanding…
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 weekly commentary interprets Bitcoin and Ether options markets around scheduled US inflation and Federal Reserve announcements in December 2022. It compares implied volatility with realized volatility, arguing that a wide volatility risk premium…
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…
This indicator measures the current candle’s open, high, low, and close relative to the close from 60 bars earlier. It expresses each log price change on a scale adjusted by average true range, framing the result as a way to compare recent movement with…
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…
A VeighNa community exchange addresses a user’s report that some commodity option contracts cannot be found. The reply suggests checking whether the affected module was started only after the main interface logged that contract queries had succeeded. This…
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 brief mid-week recap discusses crypto derivatives conditions for Bitcoin and Ether as of December 6, 2022. It reports that realized volatility continued to make new lows, Bitcoin’s term structure was unchanged over the week, and skew continued to…
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 document outlines a stock screen using RSI below 65, bid-side displayed volume greater than ask-side volume, and a nonempty name for an outstanding convertible bond. It interprets the RSI threshold as a way to avoid an overbought reading, the volume…
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…
The article links Japan’s bear-steepening yield curve and weakening yen to a possible reduction in global credit supply. It argues that Japan’s debt burden may constrain short-term rate increases, while Japanese holdings of foreign debt make the country an…
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 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 QuantStats tear sheet reports a backtest of an AI-operated iron condor strategy against SPY over a short period in January 2026. The report names Alpaca as its data source and provides a broad set of performance and risk measures, including returns,…
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 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…