Kelly Criterion — Cheatsheet Derivation Step 1 One Period Expectancy E = pB − q where p = win probability,…
Alex is an options trader you should follow in case he ever tweets a lot. Because he doesn’t, when he…
Variance & Covariance Cheat Sheet Starting points (where every derivation begins) Everything below is derived from these definitions. They're the…
One of the most important concepts in risk-taking is bet sizing. Which is unfortunate because people are quite bad at…
Return Stacked’s RSSB gives you a dollar of global equities and a dollar of Treasuries on the same dollar of…
At the end of July, Dean Curnutt tweeted: The thread should sound familiar. Weeks earlier, Dean tweeted about SNDK vols presenting…
If you construct a portfolio from 2 stocks and one is $100 and the other is $10, buying a share…
We recently added multi-leg support to our Attribution Visualizer, our tool for allowing you to track an option contract’s p/l…
In a misconception about harvesting volatility, you learn that you do NOT need to scalp the gamma to isolate the vol…
In a random walk where trials are independent, variance scales linearly with time. Since standard deviation is the square root…