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 strategy organizes research and trading for same-day-expiration bear call spreads through separate agents. A researcher gathers account and market information, checks the listed expiration, contract Greeks, and bid-ask quality, then identifies a short…
This document explains a way to identify binary options symbols among instruments listed in MetaTrader 4’s Market Watch. Broker naming conventions vary: some append a suffix, others use a different marker, and some may follow another pattern. As a result,…
This recap of an Amberdata and Blockworks webinar discusses institutional participation in Bitcoin markets, with attention to derivatives, market structure, and the possible effects of a spot exchange-traded fund. It frames Bitcoin's 2023 performance and…
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…
A short VeighNa forum exchange addresses whether users running strategies in the SimNow environment must manually download underlying contract data before initializing and starting a strategy, including a spread strategy. The reply says they do not: trading…
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 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 reference explains advanced order instructions for futures and options trading through TqSDK. It compares ordinary limit orders, FAK orders that cancel any unfilled remainder, and FOK orders that cancel unless the full quantity can execute immediately.…
The newsletter assesses a sharp rise in Bitcoin volatility alongside macroeconomic catalysts and crypto market positioning. It uses options implied volatility and term-structure richness as indicators of stress, noting that a high backwardation reading has…
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…
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 weekly market note links macro conditions, Bitcoin exchange-traded fund flows, spot momentum, and options positioning. It reports that diminishing outflows from one fund and inflows to other funds accompanied a rise in Bitcoin, and discusses the…
This algorithmic example describes a monthly volatility risk premium trade using SPY options and shares. It selects options with an expiry near one month, sells an at-the-money call and put to form a short straddle, and buys a put with a strike near 15%…
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…
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 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…
A short forum exchange asks how to obtain roughly two decades of historical futures and options data at hourly, daily, weekly, and monthly frequencies for backtesting. One reply says that such data must be purchased, particularly minute-level data. 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…