Options Theory
Understanding Vega Risk
Learn how option prices depend on changes in implied volatility
Options Theory
Options Theory
Berkson’s Paradox
Why correlations breakdown in the presence of "range restriction"
Options Theory
Interview Questions A Market Maker Gave Me in 1999
A focus on basic probability
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?"
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
Options Theory
You Can Mock Trade With A Deck Of Cards
Card games used in training
Options Theory
Mock Trading Options With Market Makers
How professional option traders trained
Options and Volatility
Finding Vol Convexity
See how out-of-the-money options have non-linear responses to changes in implied volatility
Risk and Edge
Where Does Convexity Come From?
Convexity is a fancy word for "my position size is not constant"
Options Theory
Why Options Trades Focus on Vega
The most important greek for long-dated options
Options Theory
Lessons from the .50 Delta option
The .50 delta option is not necessarily at-the-money. See how the .50 delta strike holds information about the underlying distribution.
How Markets Work
Do Professional Investors Understand Fees?
Non-obvious relationships between volatility and management fees