The Money Angle

Options as LEGOs

I never go back and watch interviews that I’ve done, but I did this one with my son, Zak. And…

1 year ago

shortcuts to get implied vol from a straddle

I just want to say that you people are sick. This is the most viral tweet I can remember sending…

1 year ago

what the vol spread chart hides

People will message me with charts like this to ask my opinion of a pairs trade: This is not a…

1 year ago

the 2 vectors of volatility scaling

I fired up Corey Hoffstein’s goated Flirting With Models podcast to hear Scott Phillips discuss “ugly” edges in crypto. This episode came highly…

1 year ago

Computing Portfolio Vol

Via prompting ChatGPT: Helper Notes

1 year ago

another example of vol goggles

I saw this on Kalshi back on 4/25: Do you interpret that as bullish? Simmer on it a bit. I’ll…

1 year ago

shorter VRP lookbacks

Good time to re-surface Harel’s gem: The Realized Volatility Puzzle (9 min read) Harel Jacobson This one is a bookmarkable dictionary…

1 year ago

etf fair value

I replaced my IBIT shares into long calls when BTC vol got crushed this week while selling my VIX futures…

1 year ago

hedge ratios

Net of last week’s April expiry the flurry of trading from the last few weeks has left me net long…

1 year ago

If they ban short-selling derivatives become the underlying

A reminder in the spirit of being attuned to seemingly far-fetched risks: If short selling were restricted in any way,…

1 year ago