In stepping through an oil put trade, I wrote: “As a junior trader I remember selling calls because "it'll never…
This is a useful practice: Translate your sentiment into “option surface” language For example, a reasonable posture right now is…
Friends, Today I’m going to both be a student and speaker at Ricki Heicklen’s Quantitative Bootcamp in Berkeley. Ricki is…
This is Part I of a discussion of VRP The volatility risk premium (VRP) is the notion that options are…
Back on Oct 17th, I sold Z24 WTI (oil) 67 strike puts unhedged. I explained my reasoning in this thread back when…
Markku Kurtti is an engineer in the telecom world. His outsider quant take on portfolio construction is beautifully derived and…
On the investing front there is an absolute explosion of new ETFs being listed every month. Dave Nadig gave a…
https://www.tiktok.com/@lastoneslaughing/video/7331108207458340139?embed_source=121374463%2C121468991%2C121439635%2C121433650%2C121404359%2C121351166%2C121331973%2C120811592%2C120810756%3Bnull%3Bembed_pause_share&refer=embed&referer_url=cdn.iframe.ly%2Fapi%2Fiframe%3Fmedia%3D1%26app%3D1%26url%3Dhttps%253A%252F%252Fwww.tiktok.com%252F%2540lastoneslaughing%252Fvideo%252F7331108207458340139%26key%3De27c740634285c9ddc20db64f73358dd&referer_video_id=7331108207458340139 I’m going to share 2 studies, one new and one old that say something that is counterintuitive to…
In part 1 of Volatility term structure from multiple angles we opened by discussing how nearer dated implied vols move around more than deferred…
I saw a familiar type of riddle on Twitter that was directed at fundamental PMs. I gave a lazy answer and later…