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Samneet Chepal
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Samneet Chepal
@samchepal
Crypto derivatives quant researcher | Canadian CPL with Group 1 IFR
linkedin.com/in/samneetchep…
Joined November 2018
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  • user avatar
    Samneet Chepal
    @samchepal
    Dec 15, 2021
    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.
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    Samneet Chepal
    @samchepal
    Feb 4, 2022
    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…
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    Samneet Chepal
    @samchepal
    Oct 5, 2021
    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).
  • user avatar
    Samneet Chepal
    @samchepal
    Jan 15, 2021
    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.
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    AD Derivatives (formerly GVol)
    @genesisvol
    Jan 12, 2021
    #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
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    Samneet Chepal
    @samchepal
    Apr 11, 2022
    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…
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    Samneet Chepal
    @samchepal
    Aug 12, 2023
    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.
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    76K
  • user avatar
    Samneet Chepal
    @samchepal
    Dec 15, 2021
    Replying to @samchepal
    2. Full research report and repo for those interested in the details: github.com/schepal/flashb… samchepal.com/the-hidden-wor…
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    GitHub - schepal/flashbots_playground: This repository showcases several use-cases of the Flashbots...
    From github.com
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    Samneet Chepal
    @samchepal
    Jun 19, 2021
    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:
    samchepal.com
    A Theoretical and Empirical Analysis of Everlasting Options
    Exploring a new financial derivative
  • user avatar
    Samneet Chepal
    @samchepal
    Jul 31, 2021
    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:
    samchepal.com
    Quantitative Financial Risk Management For Crypto Projects and Investors
    Motivation Imagine you’re a cryptocurrency entrepreneur working on the next big DeFi startup. It’s a raging bull-market and you’re sitting on $100M worth of tokens on your treasury balance sheet....
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    Samneet Chepal
    @samchepal
    May 31, 2024
    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.
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    113K
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    Samneet Chepal
    @samchepal
    Feb 16, 2021
    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.
  • user avatar
    Samneet Chepal
    @samchepal
    Oct 5, 2020
    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...
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    Samneet Chepal
    @samchepal
    Oct 28, 2023
    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.
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    Joshua Lim
    @joshua_j_lim
    Oct 27, 2023
    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
    78K
  • user avatar
    Samneet Chepal
    @samchepal
    Sep 28, 2023
    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.
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    21K

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