Options and Volatility
hurst
time scaling assumptions
Options and Volatility
Options and Volatility
A devilish question for option sellers: Which VRP is higher?
Measuring volatility premiums
Options and Volatility
a cleaner way to compute seasonal vol
another way to bucket time
Options and Volatility
does revenue seasonality translate to vol seasonality?
linking volatility to fundamentals
Options and Volatility
how high implied vol works for and against you
when high implied vols is a gift or a curse
Options and Volatility
how a high implied vol can be cheap
Volatility is not a single measure
Options and Volatility
options policework
practice separating outcome from process
Options and Volatility
the bias of hedging on implied delta
deltas depend on vols
Options and Volatility
approximating gamma in your head
mental math on gamma
Options and Volatility
oil options and the raw gamma paradox
gamma and calendar spreads
Options and Volatility
the moontower bridge
an opinionated way to marry options to investing
Options and Volatility
sticky vs floating strike
modeling vol surfaces
Options and Volatility
embedding spot-vol correlation in option deltas
skew delta
Options and Volatility
Earnings IV Glide Path
shadow theta when an event is approaching
Options and Volatility
HOOD: A Case Study in “Renting the Straddle”
earnings extraction example
Options and Volatility
Pricing 0DTEs
intraday decay