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 guide explains how NautilusTrader connects to Bybit for live market data and order execution across spot, linear and inverse contracts, and options. It describes product-specific symbol suffixes, instrument loading, and the differences among mainnet,…
The post questions whether the minimum option price checks used before implied volatility calculations are correct in the Black–Scholes and Black–76 models. It observes that the two implementations use the same expressions, even though Black–76 uses a…
This podcast recap discusses how AI agents may interact with crypto assets and decentralized applications, alongside a vision for regulated DeFi that connects conventional banking with self-custodied digital assets. The guest describes agents as systems that…
This market commentary reviews crypto volatility conditions and options positioning in September 2023. It notes subdued equity volatility and low realized volatility in crypto, while describing rising put-wing implied volatility for a near-term Bitcoin…
This weekly crypto market report assesses a recovery in prices by combining spot performance with trading volume, volatility, open interest, funding, order book depth, ETF flows, stablecoin issuance, and DeFi credit measures. It interprets rising prices…
This overview explains Cardano as a Layer 1 blockchain for smart contracts and decentralized applications. It describes the separation between a settlement layer for ADA transactions and a computation layer for smart contracts, alongside Ouroboros, a…
The document explains manual borrowing of USDC or USDT against supplied HYPE or BTC collateral for supported Hyperliquid account types. Borrow capacity is calculated from collateral quantity, oracle price, and the asset's loan-to-value ratio, with…
This market commentary connects Federal Reserve expectations and stablecoin policy news with volatility in crypto and crypto-linked equities. It focuses on Circle’s post-IPO shares, noting a sharp rise in implied volatility and short-dated call skew, then…
The recap compares Bitcoin and Ethereum options markets through realized and implied volatility, term structures, skew, and relative gamma pricing. It describes BTC shifting into contango as front-end implied volatility falls more sharply than longer-dated…
This guide describes how NautilusTrader builds and maintains positions from fills. It covers signed exposure, average entry and exit prices, realized and unrealized PnL, commissions, funding adjustments, and closure when net quantity reaches zero. It…
This weekly note reviews Bitcoin and Ether options conditions around March 5, 2023. It links falling spot prices to softening implied volatility, describes a contango term structure, and points to the largest roll-down between short dated maturities and the…
An index price is an external reference value associated with an instrument. Derivatives venues may use it when calculating mark prices, funding, or settlement values. The update described here records the instrument, current price, event time, and…
This midweek derivatives recap describes a subdued Bitcoin market and summarizes changes in implied and realized volatility, term structure, skew, options activity, and dealer gamma. It reports that Bitcoin’s realized volatility fell by about 10 points while…
This example outlines a staged workflow for obtaining option data through an Interactive Brokers connection. It configures an instrument provider for an underlying futures contract and a put option, then checks whether the gateway or trading workstation is…
The newsletter links weaker U.S. payroll data and expectations for Federal Reserve rate cuts with diverging moves in gold and crypto. It interprets low VIX readings, short VIX futures positioning, and differences between September and October VIX futures as…
This reference describes a data record for venue-provided option sensitivities and implied volatility associated with one option instrument. It includes delta, gamma, vega, theta, and rho, along with optional mark, bid, and ask implied volatility, underlying…
Gamma exposure (GEX) describes how an option’s delta changes as the underlying asset moves. The document explains why this matters in crypto options: as delta shifts, market makers may adjust their hedges, creating flows that can affect volatility and…
The document explains how Hyperliquid handles leveraged positions when account equity falls below maintenance margin. It first attempts to close positions with market orders on the book, allowing full or partial fills; any remaining collateral stays with the…
This market recap describes a week of softer realized and implied volatility in Bitcoin and Ether options as spot prices drifted within recent ranges without a major macro catalyst. It notes that Bitcoin’s term structure shifted lower, especially at the…
This podcast recap explains BitMEX’s derivatives trading model through an interview with its CEO. It describes the platform as matching traders against one another rather than acting as the counterparty, then outlines a liquidation process supported by an…
This overview surveys empirical research on pricing stock-index options, focusing on how systematic stochastic volatility and jump risk affect option values and returns. It describes the evolution from Black–Scholes–Merton assumptions, in which the…
This documentation explains how VeighNa Elite Trader’s option strategy module supports strategy setup, initialization, automated trading, monitoring, and removal. It describes the ContractManager’s role in loading daily contract information and maintaining…
This example describes a live data actor that subscribes to a slice of Bybit BTC options. At startup, it searches cached instruments for unexpired Bybit options, selects the soonest expiry, prefers USDT settlement when available, and constructs the…
The document surveys option buyer and seller risks, then explains dynamic delta hedging as a way to manage directional exposure. It describes how delta changes with the underlying price, time to expiration, and volatility, and illustrates rebalancing a short…