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Samneet Chepal Profile picture
Samneet Chepal
@samchepal
Crypto derivatives quant researcher | Canadian CPL with Group 1 IFR
6 subscribers
May 17, 2024 • 9 tweets • 4 min read
1. As one of the youngest and largest option liquidity providers in the market, the team at @Arbelosxyz is continually exploring efficient ways to trade volatility. A few days ago @joshua_j_lim shared a trade idea which profited from collapsing vols amidst choppy price action. This week, we'll evaluate various systematic volatility selling strategies in crypto. Full piece here: arbelos.xyz/quantitive-fra… 2. As a baseline, we can evaluate the P&L of selling weekly BTC delta-hedged straddles on @DeribitExchange. Overall the performance is not bad despite some steep drawdowns in 2020 / 2021. Image
May 11, 2024 • 13 tweets • 5 min read
1. Thrilled to see that @Arbelosxyz is now public! I've had the privilege of collaborating with the team to conduct in-depth research in the crypto derivatives space, with one of our first pieces on analyzing yield strats on @pendle_fi. Dive into our findings here: arbelos.xyz/getting-to-kno… 2. DeFi interest rate markets face two primary challenges:

a) Absence of fixed maturity products
b) High volatility of interest rates

Both of these limitations make it difficult to justify allocating large sums of capital to DeFi interest rate markets. As a result, this is where Pendle as a protocol shines which allows considerable flexibility on how to trade yield.
Mar 16, 2023 • 17 tweets • 6 min read
1. Recently came across this tweet which led me to think about 0DTE options strats in crypto markets.

Full writeup: samchepal.com/systematically… 2. Not investment advice - just for fun / educational purposes.
Jan 13, 2023 • 16 tweets • 5 min read
1. Over the past few day's we've noticed some massive trades on @DeribitExchange. Surprisingly some of these trades were executed against limit orders without using RFQs. This gave inspiration to build an order-book scanner which is now open-sourced: github.com/schepal/deribi… 2. The motivation for this whole project was due to some large whale deciding to trade 25k contracts of ETH-30JUN23-400-P on Jan 5/23. Digging into the details we can see this trader decided to sell these options against passive limit orders on Deribit.
Apr 11, 2022 • 26 tweets • 9 min read
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… Full piece here: research.ledgerprime.com/p/a-quantitati…
Feb 4, 2022 • 21 tweets • 7 min read
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… 2. Let’s start with a brief overview of the DeFi options space - TVL in 2020 was virtually non-existent but blew up to nearly $1B at the start of 2022. This was primarily due to the surge of activity within the DeFi structured products space. Data Source: @DefiLlama
Dec 23, 2021 • 20 tweets • 8 min read
1. One of the best decisions I’ve been lucky to make in 2021 was enrolling in the @TeamChainShot ETH dev bootcamp. Learned a ton of valuable skills which gave me a new appreciation for how all this stuff works. Some thoughts on my experience and advice to those starting out... Image 2. Why learn solidity in the first place? These were a few of my reasons:

- Be able to build sophisticated on-chain EVM strategies (aspirations of following the path of the sensei @mevintern)

- Become a better investor by understanding the technical nuances of projects
Dec 15, 2021 • 24 tweets • 8 min read
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. Image 2. Full research report and repo for those interested in the details:
github.com/schepal/flashb…
samchepal.com/the-hidden-wor…
Nov 16, 2021 • 22 tweets • 6 min read
1. There's been a lot of hype lately around the launch of several BTC ETFs. While this is a huge step forward for the industry, investors need to be cautious before allocating capital to these products. Let's discuss why... 2. None of this is financial advice. Opinions are my own.
Oct 5, 2021 • 30 tweets • 8 min read
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). 2. Terra is a L1 blockchain most well known for its $UST algo stablecoin. $LUNA is the native token of the Terra eco-system and is used to keep the peg of UST in check with some clever mechanism design.
Jul 31, 2021 • 18 tweets • 7 min read
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-f… 2. With the volatile moves in crypto over the past few weeks, many projects/investors are starting to get a bit nervous about the next leg down. Sure we've rallied back to $40k, but at the back of everyone's mind there's the hidden fear of a crash down to $20k.
Jun 19, 2021 • 9 tweets • 4 min read
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-… 2. EOs are similar to perp futures such that they don’t expire. The advantage with an EO is that traders can be exposed to options without having to constantly roll their positions into new maturities. This can save a lot of time and stress for MMs/traders near option expiry.
Apr 29, 2021 • 16 tweets • 6 min read
1. The BTC options term structure is exhibiting some strange patterns which may lead to some interesting trading opportunities. Specifically, the May / June expiry currently has nearly a 6 vol point spread as indicated by @GenesisVol's analytics.

This is not investment advice. 2. The current spread between these expiries seems larger expected especially for maturities 1-2 months out. This led me to look into the historical spreads for a range of maturities to assess how to think about the current spread.
Apr 16, 2021 • 16 tweets • 7 min read
1. Huge thanks to @BrandonRochon_ for teaching me how to use @Covalent_HQ's powerful API. We were able to pull some data on the recently issued @SushiSwap call options built on @UMAprotocol and analyzed some cool stuff by looking at on-chain greeks. 2. Disclosure: @ledger_prime is an investor in Covalent. This is not financial advice.
Mar 30, 2021 • 19 tweets • 6 min read
1. Dollar-cost averaging (DCA) has been a popular way for long term hodlers to accumulate their core position in BTC. I’ve been thinking about this and modelled out a few backtests with some interesting findings. This is not investment advice. 2. Theoretically, DCA should help smooth out the ups and downs in buying BTC to help arrive at a more stable adjusted cost basis. The premise behind this approach is not to time the market but rather constantly buy BTC at a fixed schedule.
Feb 16, 2021 • 16 tweets • 5 min read
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. 2. A starting point could be to systematically sell 25 delta mid-term puts and roll this trade continuously over time. We’d run this strategy if we think BTC will continue to rally upwards or stay stagnant at current prices.
Feb 2, 2021 • 20 tweets • 9 min read
1. I typically focus exclusively on crypto options but GME's wild moves last week led me to take a look into its options chain. This analysis only looks at GME options data up to Jan 29, 2021 and does not cover today’s move.

***None of this information is investing advice!!*** 2. Let’s start by taking a look at the realized vol for GME. Clearly we can see it has shot upwards near multi-year highs. Furthermore, we can see the vol of vol in the past followed a mean-reverting process right up until January 2021. ImageImage
Jan 26, 2021 • 17 tweets • 7 min read
1. I’ve been looking at how tradfi markets are pricing options for public co’s with large exposures to crypto relative to the BTC options market on @DeribitExchange. For this analysis, I focused on @MicroStrategy (MSTR) and Marathon Group (MARA). 2. First, it’s worthwhile exploring how MSTR and MARA trade w.r.t BTC. Ever since MSTR’s buying spree, we’ve seen its beta relative to BTC shift within the +0.6 to +1.0 range. Similarly, we can see MARA is more volatile with a beta of +1.0 to +3.0 in the past few months.
Jan 15, 2021 • 24 tweets • 9 min read
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.
2. The $36k JAN-29-2021 calls began trading on @DeribitExchange on Oct. 31, 2020 and had an initial delta of around 3%. At this time, BTC’s index price was trading around $13.5k. On this date, it seemed like a long shot that prices could do a ~3x within 90 days.
Dec 30, 2020 • 24 tweets • 8 min read
1. Congrats to the @opyn_ team for launching V2 - very exciting! I’m happy that the new V2 dashboard has a clean layout with greeks and implied vols for each respective option. It’s also a pleasant surprise to see the prices are closely in line with @DeribitExchange's options. 2. Many folks in this space use options to make directional bets on the underlying price of an asset ie: if we’re bullish or bearish we can buy a call or put respectively. Things get interesting when we move beyond simply trading the direction of where BTC or ETH is going...
Dec 26, 2020 • 17 tweets • 9 min read
1. Huge thanks to the devs at @RealHxro for helping me pull data for TIX contracts - really grateful for the responsive team! This is one of the first times I've been able to build out relatively liquid vol curves not only for BTC/ETH but also for alts such as LINK, UNI, and YFI. 2. As a refresher, TIX contracts can be thought of as "cash-or-nothing" options. Here's a thread explaining the details of how these products work.