Sam Chepal

Sam Chepal

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Systematically Trading Crypto 0DTE Options: Playing With Fire

Over the past several months there has been a noticeable rise in the volume of 0DTE options being traded in traditional financial markets. As indicated in the name, “zero-day to expiry” (0DTE) options mature on the same day and are commonly used by traders to gain leveraged market exposure while

Amberdata Research Paper —BTC Options: Dissecting Volatility Trends

Had the pleasure to work alongside some of the top players in the crypto options space to craft an in-depth report on trends in the market. PR News Release Amberdata’s BTC (Bitcoin) Options Report Finds Ethereum Options LikelyMIAMI (PRWEB) January 24, 2023 Amberdata, the leader in digital asset data

A Quantitative Analysis of Aping Into A Twitter Wager

This research piece was written as a part of Paradigm's [https://www.paradigm.co/blog] blog series to showcase insights pertaining to the cryptocurrency options market. -------------------------------------------------------------------------------- Within the crypto space it’s common to see people fight on Twitter over silly things. In many cases these arguments are a

A Quantitative Analysis of DeFi Option Vault Strategies

Motivation It may sound strange but crypto investors aren’t much different from traditional finance investors. While both parties have varying degrees of risk tolerance, one key similarity between crypto and traditional investors is their insatiable thirst for yield. To achieve this goal, a traditional investor might buy high dividend

The Hidden World of Ethereum Snipers

Ethereum is currently the most well established blockchain where users swap tokens, trade NFTs, and form DAOs among a plethora of other on-chain activities. A lot of the innovations we’ve seen in decentralized finance and the NFT space have originated from this protocol’s extensive network effect of users

A Quantitative Analysis Of The BTC Futures ETF

After hearing many of your friends and colleagues talk about Bitcoin over the past few months you eventually cave in and decide to make a small allocation in your portfolio. Fortunately, there are now a lot of different ways to gain exposure to BTC. Of course you could buy spot

Investigating Bitcoin Market Crashes With Option Probabilities

This research piece was conducted in conjunction with @epsilonsized [https://twitter.com/epsilonsized] and @tristan0x [https://twitter.com/tristan0x?lang=en] from Zeta Markets [https://zeta.markets/], a cutting-edge DeFi options platform built on Solana. -------------------------------------------------------------------------------- Whether it be scanning through an early stage token’s Discord server for alpha

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. Although you’re thrilled with the war chest of capital, the recent volatility in crypto markets has

A Theoretical and Empirical Analysis of Everlasting Options

Motivation For most people Friday is one of the best days of the week — the weekend is ahead with time to relax and enjoy. However, for those in the crypto options market-making business, Friday at 8:00am UTC is perhaps the most intense moment for the entire week. This is