Money Math

how I sold cotton at an all-time high

In the post If they ban short-selling derivatives become the underlying, I concluded with If futures are trading at full carry…

11 months ago

shortcuts to get implied vol from a straddle

I just want to say that you people are sick. This is the most viral tweet I can remember sending…

12 months ago

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

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

BTC Autopsy

In Sunday’s surfing volatility, I recapped my IBIT (the spot BTC ETF) options trading for the 10 days preceding the March…

1 year ago

straddle-sniped

I bought December COIN straddles yesterday, so instead I’m going to discuss: Premise Expression & Execution Management plan Miscellaneous aspects…

1 year ago