Options Theory
Interview Questions A Market Maker Gave Me in 1999
A focus on basic probability
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Options Theory
On Delta Hedging
The broad trade-offs when trying to isolate volatility bets
Options Theory
Structuring Directional Option Trades
Options allow us to express bets on the distribution of the underlying instead of just "will the stock go up or down?"
How Markets Work
Distributional Edge vs Carry
The problem with buying "low" and selling "high"
How Markets Work
A Former Market Maker’s Perception of PFOF
Payment for order flow, market segmentation, and returns to scale
Options and Volatility
How Options Confuse Directional Traders
How you can be right on direction and still wrong
How Markets Work
Prices Are More Than Expectations
The difficulty of extracting what markets imply
Risk and Edge
Measurement Not Prediction
Seeing the present clearly
Risk and Edge
The ‘Volatility Is A Risk’ Strawman
Risk is more than a single measure
How Markets Work
Snowflakes vs Lemmings
First principles or fast-follow?
Risk and Edge
How Much Extra Return Should You Demand For Illiquidity?
A market-based thought exercise for pricing the value of liquidity
Risk and Edge
Path: How Compounding Alters Return Distributions
See how the path of returns can alter the distribution of p/l independently of expectancy.
How Markets Work
Making Property Taxes Apples to Apples
Different state tax regimes make home price comparison difficult.
Options Theory
Straddles, Volatility, and Win Rates
If you sell fairly priced straddles you win more often than you lose, but the expectancy is zero. Find out why.
Options Theory
Binary Straddle Example Based On The 2016 Election
When an outcome is binary with an implied probability, the straddle will tell you the expected move in either direction
How Markets Work
DCF As A Lower Bound
DCF valuations underestimate the value of an asset will trade for.