Research & Papers
Selected research, technical papers, and insights on quantitative strategy, systematic trading, and market making.
The quarterly newsletter; how the volatility risk premium played out across BTC and ETH options in Q2 2026, the consequences of the sharp sell-off in June, and reflections on chain liquidity.
All Posts
The quarterly newsletter; how the volatility risk premium played out across BTC and ETH options in Q2 2026, the consequences of the sharp sell-off in June, and reflections on chain liquidity.
9 min read
Quarterly newsletter on how implied skew evolved across BTC and ETH options in Q1 2026 — term structure, wings, block-trade positioning, and what it suggests for surface stability going forward.
9 min read
How crypto options volatility surfaces find balance — and what happens when they don't. A practitioner's perspective on surface dynamics, model calibration, and the forces that shape implied volatility in digital asset markets.
12 min read