The Earth rotates around the Sun at a speed of 67,000mph. When I go out for my occasional run, my…
This post starts with a response to a reader question but leads to a deeper question -- do arbitrage-free prices…
Friends, Today we jump into another large learning post including a chart book and commentary. In this document, you will:…
Last Sunday, I sent out a paywalled flash post explaining why I thought GLD November volatility looked like a sale…
In Connecting Vol Surfaces To Option P/L, we showed how a position in the 6-month 25d put or 25d call…
Thursday’s paid post was cutting to the heart of vol trading — dynamic hedging to isolate vol mispricing. There’s a…
Just based on my local observations, it still feels like the bid-ask on residential real estate is wide. I wrote Staring…
The small cap leg of the rotation in mid-July 2024 can be seen in IWM. I cherry-picked points before the…
This is part 2 of "building an options chain in your head" In part 1, we reasoned through the following problem…
On my way to Portugal, I was stuck on a plane with no internet and was thinking about hedging downside…