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
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…
A discussion about an options strategy notebook describes a backtest that produced zero daily profit and loss values and took a long time to load historical data. The reported cause was missing underlying futures data: the shared activity data package…
This guide catalogs implementation mistakes that can distort trading decisions or break a Lumibot strategy. It explains why backtests should use simulated time and completed candles, why persistent assets belong in strategy variables, and how to handle…
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…
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 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…
This brief market recap describes conditions in Bitcoin and Ether derivatives for the week of March 7, 2023. It reports that Bitcoin realized volatility declined, while the term structures for both assets changed little. Options skew continued to favor puts,…
This market commentary connects inflation and energy developments with expectations for Federal Reserve policy, then considers how upcoming macro events might affect crypto volatility. It reports mixed inflation readings, a slight reduction in expected rate…
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…
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 market making as continuously quoting buy and sell prices and trading against customer orders to provide immediacy and liquidity. A simple futures example illustrates spread capture when both sides fill, while showing that an adverse…
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…
The document summarizes research on how high-frequency trading in equities affects liquidity in options on those stocks. The study combines Nasdaq HFT records with options transaction data and other market data for 103 stocks, then uses instrumental-variable…
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 weekly market note connects US inflation releases and speculation about Federal Reserve leadership to moves in gold, bonds, and crypto. It interprets mixed producer and consumer inflation readings, resilient employment, and possible political pressure…
This research summary examines why stocks can earn excess returns before earnings announcements. It proposes that investors and analysts resolve some uncertainty ahead of the report, supporting price gains before the announcement itself. The study measures…
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…