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…
US bond yields are rising as inflation re-enters the conversation. The 10-year yield is up to 4.65% and 30-year bonds…
A well-supported and common belief in the options world is that there is a premium of implied volatility to realized…
In this issue: cross the “bridge of asses” scaling laws of risk reduction “research collector” skill The “Bridge of Asses”…
Vivek emailed me a simple question after reading yesterday’s does revenue seasonality translate to vol seasonality? post: Why not just compute volatility from…
Last month H&R Block (NYSE: HRB) sold off hard on AI fears. Implied volatility soared to a new 1-year high.…