1. Spent the past few weeks going down a rabbit hole learning about MEV and Flashbots — very cool stuff! I was surprised to learn that beneath the surface, Ethereum is lurking with sniper bots waiting for any opportunity to make money. Here’s a TLDR on some research + findings.
Samneet Chepal
1,580 posts
Crypto derivatives quant researcher | Canadian CPL with Group 1 IFR
Joined November 2018
- 1. Over the past few months, DeFi ecosystems have witnessed a surge in structured product platforms - notably option vaults. While the current yields on these vaults can be enticing, we take a closer look at the long-run performance of these strategies: research.ledgerprime.com/p/a-quantitati…
- 1. After spending the past few weeks studying the @terra_money eco-system I’ve been quite impressed with the protocol’s vision and its growing community. The goal of this thread is to showcase how $LUNA directly benefits from Terra's growing stablecoin market (notably $UST).
- 1. This legendary $36k call trade led me down a rabbit hole into the world of higher order option greeks to analyze this trade using past historical data. This was a good learning opportunity and I wanted to share some stuff I've been exploring.#bitcoin $36k calls which saw whale buying at 87% IV are finally seeing a large drop in OI... Sales coming in at 136% @CanteringClark @7ommyZero @samchepal @OptionPit @Options @DeribitExchange
- 1. A few weeks ago we witnessed a duel between @stablekwon and @AlgodTrading in a public wager on LUNA's future price action. In this piece written with @tradeparadigm we analyze how this bet could be priced using options pricing theory + who got rugged on this trade…
GIF - 1. Selling BTC vol has been a decent performer in 2023 given BTC’s choppy price action. Yet, justifying net short vol at these levels is becoming challenging from a risk-reward view.
- Replying to @samchepal2. Full research report and repo for those interested in the details: github.com/schepal/flashb… samchepal.com/the-hidden-wor…
- 1. The past few weeks have been heads down focused on researching @_Dave__White_'s and @SBF_Alameda's everlasting option (EO) paper. The goal with this research was to understand how this product would trade in real-world markets. Detailed writeup here:
- 1. Been working on some research related to tail-risk hedging and downside protection in crypto. The goal of this research piece is to utilize quantitative approaches using options and stablecoins to hedge downside risk. Full article:
- We all know that YTD performance in spot BTC has been pretty much carried by spot ETF demand. However, it wasn't as obvious to me until I visualized cumulative ETF flows alongside price return. Just looking at this makes me giga-bullish on ETH.
- 1. I’ve been spending some time exploring systematic trading strategies for #BTC options on @DeribitExchange. I’ll go over a yield-generation strategy which showed some interesting results from the initial backtest phase. This is not investment advice.
- 1. This is one of the best resources I've come across for implementing emergency hedges using options in a cost effective manner. Now more than ever I think Hari's wisdom can be applied to manage risk within the crypto options space especially before things get interesting...
- Remarkably, BTC spot-vol correlation has surged to all-time highs since 2020. As discussed in this thread, dealer positioning, with MMs short vega up to year-end, is a key driver of the current spot/vol dynamics.1/ high positive spot-vol correlation clearly indicative of dealer positioning as spot rallies to strikes where dealers are short in Nov and Dec, market gets shorter vega and vol follows as dealers are forced to cover
- Simplicity often trumps complexity in finance, and one of my go-to tools for analyzing data in crypto is the rolling z-score. It's not only handy for spotting outliers during data cleaning but also for identifying when certain trends deviate significantly from the norm.











