The Money Angle

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…

12 months 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…

12 months ago

Computing Portfolio Vol

Via prompting ChatGPT: Helper Notes

12 months 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…

12 months 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…

12 months 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

the inverted term structure trap

A couple questions I answered in the moontower discord: It started with Benn’s observation: What do you think about crude with…

1 year ago

getting hired in trading

I gave a talk to a quant investment club at UNC this week. I did some riffs on what said…

1 year ago