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…

1 year 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…

1 year 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…

1 year 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…

1 year ago

Computing Portfolio Vol

Via prompting ChatGPT: Helper Notes

2 years ago

etf fair value

I replaced my IBIT shares into long calls when BTC vol got crushed this week while selling my VIX futures…

2 years ago

hedge ratios

Net of last week’s April expiry the flurry of trading from the last few weeks has left me net long…

2 years 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,…

2 years 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…

2 years ago

straddle-sniped

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

2 years ago