Options and Volatility
how a high implied vol can be cheap
Volatility is not a single measure
Options and Volatility
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
Options and Volatility
Positive delta puts
Selling puts in squeezes
Options and Volatility
Options on Levered ETFs (part 2)
Last week, in part 1, we backfilled prerequisite knowledge: 1. Distance in return space: equal percentage moves aren’t equal in compounded or log space 2. Vol bonus vs vol tax: trend and chop change the distribution of a levered asset 3. Derivatives-on-derivatives: options on the underlying ETF are inputs
Options and Volatility
Option on Levered ETFs (part 1)
“They” say human labor will be irrelevant by 2027. By then, any business you can think will be solved by capital (electricity and tokens) before you brush your teeth in the morning. You either get rich in the next year or join the permanent underclass. So we aren’t shocked
Options and Volatility
the art of paranoia
stubborn assumptions die hard
Options and Volatility
Our newest feature: TRADE IDEAS
How parallel coordinates turn four volatility metrics into actionable trade structures