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 research roundup describes two separate studies. The first examines the Stochastic Volatility Inspired (SVI) parameterization for modeling implied volatility surfaces. It reports theoretical results and empirical analysis suggesting that, under…
This weekly market note reviews macroeconomic events and crypto options conditions in the week of September 24, 2023. It links the Federal Reserve’s hawkish messaging and upcoming economic releases with weakness in technology shares, bonds, and Ether. The…
This reference explains how to represent a contract for difference as a trading instrument. A CFD tracks an underlying asset without transferring ownership; the venue determines its quote currency, precision, increments, order limits, margin settings, and…
The document examines whether volatility in the CSI 300 varies by weekday and time of day, then uses that pattern to modify Black–Scholes pricing for an index option. It calculates five-minute log returns from open to close over a year of index data,…
The document explains how comparing implied volatility (IV) surfaces across dates can reveal patterns that a single snapshot misses. It describes tracking Mark IV and Forward IV across maturities with term-structure time-lapse views, and comparing…
This weekly report reviews a sharp crypto selloff alongside higher US yields, China-related risk concerns, and the upcoming Federal Reserve outlook at Jackson Hole. It describes heavy BTC futures and perpetual liquidations, falling open interest, a temporary…
This podcast overview traces Premia’s development from an early peer-to-peer options concept to a decentralized platform supporting order books, RFQ, pools, and vaults. The team’s traditional finance experience shaped its response to crypto-specific…
This reference explains the fields used to describe a listed put or call on a non-crypto underlying. It covers contract identity, underlying asset, option type, strike, activation and expiration times, premium currency, price precision, minimum price…
This market report reviews crypto price action and options positioning during a sharp late June 2023 rally. It links the move to news about spot ETF filings and a new exchange, then describes rising Bitcoin volatility, a higher options term structure, and a…
This feature note describes a chart comparing an asset’s at-the-money implied volatility (ATM-IV) with its realized close-to-close log return. It uses the implied volatility observed at the start of the interval as an estimate of the expected daily move,…
These notes describe several practical features of futures and over-the-counter derivatives markets. They explain how central counterparties manage standardized OTC trades through margin and default-fund contributions, while bilateral trades use master…
The article presents a framework for managing crypto portfolio risk through sector diversification, active hedging, quantitative monitoring, and rebalancing. It suggests diversifying across asset categories such as Layer 1 tokens, DeFi governance tokens, and…
The document discusses pricing path-dependent snowball structured notes by decomposing their payoff scenarios into exotic option components and valuing them with Monte Carlo simulation or partial differential equations. It also considers how equity index…
This brief market recap highlights four observations about Bitcoin and Ether derivatives as of November 22, 2022: realized and implied volatility had fallen, the six-month historical volatility spread between ETH and BTC was described as supported, option…
The document explains how NautilusTrader connects to Tardis historical files, Tardis Machine streams, and the Tardis API. It describes loading normalized CSV data, replaying historical feeds into Parquet catalogs, and configuring live or replay clients. A…
This market commentary reviews Bitcoin and Ethereum options positioning alongside activity in oSQTH for the week covered. It describes several reported structures: a put spread financed with calls, a put risk reversal, a short-dated straddle sale, call…
This newsletter connects a softer US inflation and labor market outlook with expectations for Federal Reserve rate cuts and possible support for crypto prices. It then frames Bitcoin’s decline in the context of German government sales and anticipated Mt. Gox…
This podcast recap discusses Bitcoin options-market conditions around the ETF narrative, including term structure, skew, and changes in inter-dealer flows. It also describes exchange structured products: Double-Win, a range-based payoff compared to a…
The article describes adjusting hedge ratios as crypto prices, implied volatility, and liquidity conditions change. For derivatives portfolios, it suggests rebalancing futures and options exposures, including strikes and expirations, to manage directional…
This Python module documents functions for calculating common technical indicators from market bars and options data. The visible functions include average true range, bias, Bollinger Bands, directional movement, KDJ, MACD, parabolic SAR, and Williams %R.…
This market commentary reviews BTC and ETH options conditions ahead of expected ETH ETF trading. It reports falling realized volatility and softer one-month implied volatility, alongside positive carry that may appeal to traders expecting range-bound prices.…
This market commentary links a stronger-than-expected U.S. jobs report and falling unemployment to reduced expectations for a large Federal Reserve rate cut. It discusses upcoming inflation releases as possible catalysts for further rate-market repricing,…
This market commentary examines Bitcoin and Ether options alongside spot prices, macro events, and regulatory news as of April 23, 2023. It discusses dealer gamma, implied volatility, volatility risk premium, term structure, and trading flows. The author…
This article explains how derivatives can hedge existing crypto holdings or express views on future prices, and how market data can inform those decisions. It describes monitoring open interest and trading volume for clues about liquidity and changes in…