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 document introduces a charting feature for viewing how implied-volatility smiles have changed over recent time intervals and where current option pricing sits on those curves. The visualization is intended to help traders assess both the level of implied…
The document explains funding payments for Hyperliquid crypto perpetual contracts, which transfer value between longs and shorts to help keep contract prices aligned with spot. The payment direction depends on the premium of the contract relative to an…
This market recap reviews BTC and ETH options conditions around a period of rising crypto prices and an approaching halving. It compares realized and implied volatility, term structures, call and put skew, options activity, and dealer gamma. The commentary…
This midweek market recap summarizes changes in Bitcoin options conditions, with brief coverage of volatility, term structure, skew, option flows, and gamma positioning. It reports that realized volatility continued to rise, implied volatility farther out on…
This mid-week derivatives recap summarizes conditions in Bitcoin and Ethereum options. It reports that realized volatility recovered during the week, while both assets’ volatility term structures moved lower; Bitcoin’s curve shifted further into contango. As…
This market commentary argues that quiet spot trading, low realized volatility, and a steep options term structure favor a near-term short-volatility bias in Bitcoin and Ether. It notes that scheduled inflation releases and a potential Bitcoin spot ETF…
This document is a categorized directory of software libraries and learning resources used in quantitative finance. Its sections span numerical computing and time-series data, financial instrument pricing, technical indicators, trading and backtesting,…
This weekly review combines macroeconomic context with observations on Bitcoin and Ether options markets around the March 2023 Federal Reserve decision. It discusses a flatter Bitcoin volatility term structure, the relative implied volatility of Ether and…
This overview explains how crypto liquidation data may help researchers interpret forced trading in futures, options, and swaps. It describes using the timing and scale of liquidations, long-versus-short liquidation activity, liquidation ranges, volume, and…
This weekly recap describes changes in Bitcoin and Ether derivatives markets during a period of pressure following SEC actions against Binance and Coinbase. It tracks realized volatility, options term structure, skew, trading flows, and dealer gamma…
The document describes a software workflow for managing option volatility strategies. It covers model selection for European and American options, choosing a futures or synthetic underlying, monitoring option quotes and Greeks, and calibrating pricing…
The document introduces two proposed views of Deribit options activity: net volume and net positioning. It says these features rely on a set of proprietary rules intended to identify which side initiated trades, so users can distinguish flow direction and…
This webinar recap summarizes Q2 2023 analysis of crypto options, focusing on how spot price moves relate to implied volatility, how option trade direction can be inferred, and how Bitcoin’s volatility risk premium compares with realized volatility. It…
This brief derivatives-market recap reports four observations for Bitcoin and Ether: realized volatility had fallen further, options term structures were in steep contango, skew was moving lower, and trading flows were light in Bitcoin while Ether activity…
This market report reviews Bitcoin and Ether volatility, options pricing, dealer exposure, derivatives positioning, and macro catalysts. It describes implied volatility and realized volatility as compressed, with flat or contangoed term structures, a marked…
The post questions where the discount factor belongs in a binomial option-pricing recurrence. The cited implementation discounts the expected value of holding the option at a node, then compares that value with immediate exercise value and zero. The author…
The interview describes crypto options market making through Laura Vidiella’s experiences at LedgerX, a regulated venue offering fully collateralized contracts, and Paradigm, where institutions trade options in blocks with market makers. It outlines how…
This February 2024 market commentary links Federal Reserve expectations and scheduled US economic releases with crypto prices, options volatility, and dealer positioning. It reviews concerns about persistent inflation, notes that personal consumption…
This podcast recap describes Lyra V2, a decentralized options protocol that moved from an automated market maker in its first version to a central limit order book. The co-founder attributes the change to the need for a more modular and scalable design,…
This module supports copula analysis by mapping observations to marginal empirical cumulative probabilities, with optional linear interpolation and probability bounds. It provides a multivariate row-wise transform, fits a supplied copula to two series after…
This market commentary reviews the December 2024 Federal Reserve decision and inflation releases alongside crypto options activity. It argues that strong seasonal equity sentiment and bullish crypto narratives could reduce volatility, while noting that the…
This example demonstrates how to model an option purchase across expiration in a backtest. A strategy subscribes to option quotes and futures bars, then submits a market buy order for one option when it receives the first eligible quote. The sample replays…
The document explains historical volatility as the dispersion of asset returns and distinguishes it from implied volatility, which is inferred from option prices. It describes calculating the standard deviation of daily returns and annualizing it by…
The document introduces Lévy processes as a way to model asset-price behavior with jumps and distributions that can have heavier tails than a normal model. It describes a price process combining drift, Brownian motion, and a Lévy component, then outlines…