Money Math

VIX futures vs VIX synthetic futures

Here’s an FYI that reinforces a lot of moontower 2025 writing on option synthetic futures. This is from my IBKR…

2 months ago

what hides in the option chain

We’ve been talking about option funding stuff recently in the paid Thursday issues. Recently, I had a trader ask for…

2 months ago

implying the cost of carry in options

This is the follow-up to last week’s the easiest win in options is for stock traders. In that post, we started…

2 months ago

the easiest win in options is for stock traders

Most people who get into options are seduced by levered returns, but for the relationship to go from a fling…

3 months ago

Learn put/call parity with this free game

Yet another vibe-code project. This one went viral because…it’s a game! It's a replica of the one we trained on…

3 months ago

shadow theta

Today is a continuation of calendar spreads through the eyes of a vol trader. Recap That post is a response to…

3 months ago

how I explained vol drag to a 12-year-old

I used a pattern to explain it to my 12-year-old on our car ride on Monday. Start with: 8*8 =…

3 months ago

how I understand the Black-Scholes formula

Paid subs will recall my story of Doug teaching Black-Scholes to my cohort at SIG back in 2001. Four hours in one…

4 months ago

the GFC through a quant’s eyes

I can’t remember which of the 3 Todd Simkin interviews on my blog I summarized where he mentions it but…

4 months ago

calendar spreads through the eyes of a vol trader

I got long IBIT (BTC etf) when my April calls expired ITM. IBIT continued rallying, I was happy to stay…

4 months ago