SIG Traders Master Black‑Scholes in Two-Day Crash Course
A generation of SIG traders learned B-S from Doug over a 2 day period during "class" as it was called
Composer Outperforms TIP in Replication Symphony
Been a while since I pulled this chart up....but this is my TIPs replication symphony on Composer plotted vs TIP https://t.co/6sUc1nkdUT https://t.co/msvzs0T9F1
Scale Risk Reduction Using Perfect Information Strategies
Moontower today 🌙cross the “bridge of asses” 🌙how to get arbed with perfect information 🌙scaling laws of risk reduction 🌙“research collector” skill https://t.co/XwLS7zmHQd https://t.co/4TXC3SqKuS
Deep Means ITM, Far Means OTM
"Deep" is for ITM and "far" is for OTM. Thank you for your attention to this matter
Oil Risks Surge as Spot Prices Rise, Volatility Falls
Oil riskies firmed a lot to the put and today spot up, vol down day https://t.co/yyPo6cUfXq
Track Implied Delta by Comparing Poly to Futures
a quick little trading inspiration.. track the implied delta of the >90 market on poly compared to the corresponding futures price by tracking its price change. For example if the market went to 75% on a $1 rally then it's a...
Silver Risk Sentiment Flips as Put Skew Rallies
Big sentiment flip in silver riskies recently...driven both by put skew rallying and call skew getting hit https://t.co/uxFWp2eClV
VRP Widens as Volatility Drops, Shown on PLTR
You can pull up this type of chart on almost any symbol and see that the VRP tends to be fatter when vol is low This is PLTR Written about it in lots of places. https://t.co/zUpvOPQB7T
Homebuilders, High‑Yield Credit, World Index Lag Volatility
Worst asset performers relative to their own vols in the past month on my watchlist Homebuilders, high yield credit, world equity index https://t.co/gpd005m2Yi
Revenue Seasonality Drives Market Volatility, Explore Data Insights
Moontower Thursday 🌙Sold some puts on a turd so then I needed to like look at it and stuff 🌙Exploring the link between revenue seasonality and volatility You'll find several ways of looking at data to test your own ideas. https://t.co/nO8SPhrkJm https://t.co/MMfM6hW9aP
Quick Oil Options Tips: Read Vol Surface Instantly
One last pump...this came out yesterday. Dean and I talk oil, options, and some handy tricks for understanding a vol surface with a glance
High Oil Volatility Sparks New Follower Futures Market
Every day that oil vol is north of 100 Tina must be granted 1k followers. Kalshi/Poly then list Tina/Kris follower spread futures and boom another relative value market to pair trade oil term structure against. We aren't degenmaxxing enough
Master Mental Options Chains: Part Two
Part 2 of "building an options chain in your head" which way too many of you nerds enjoyed
Linking CL and USO Time Spreads Reveals Arbitrage
Yesterday's post on CL time spreads combined with this image of USO which has time spreads on the same underlying regardless of maturity (CL1) creates a fascinating circle to square. Anyone running the SEC/CFTC jurisdiction RV desk knows the fun...
Understanding the Fundamentals of Vertical Option Spreads
Here's a post on the basics of vertical spreads. I'll publish a more advanced one in X Articles for Friday the 13th. https://t.co/MEeZsvbmyb
High VR
Fat VRPs but think vega is here to stay. as risk if risk premium here to stay..time spreads look decent https://t.co/IpY830RswR
Future Prices Defy Norms: Oil Options Expose Gamma Paradox
Today's "Future prices are not like other prices" by @ByrneHobart is an outstanding preamble to tomorrow's moontower titled: oil options and the raw gamma paradox 🛢️🧩 a post that sniped me from whatever i planned to write about Byrne's post is free: https://t.co/ekmCXjtQQ1
Deriving the 80% Straddle Rule Simplified
Moontower Sunday pitchfork CLAWback In this issue: 🌙half-baked AI thoughts 🌙making your own teacher 🌙a satisfying derivation of the 80% straddle rule https://t.co/K5xTbWQpU1 refs: @outlieroptions
Elevated IV and RV, Flat Term Structure, No VRP
Filtering across a liquid cross-section of ETFs and equities (and excluding earnings names) the Trade Ideas algo picks up the following. Note across the market IV and RV remains elevated, no VRP on avg based on our RV calcs. The...
One in Five Options Trades End Up Misguided
This is really something that comes up a lot (21% of the time in the past decade according to 35 liquid ETFs spanning many assets) and very easy to lure yourself into a misdirected option trade
Explore EWY Volatility Patterns with Handy YFinance Toolkit
The recent action in EWY fits a pattern that happens frequently enough to be worth understanding the SHAPE of its vol. You will find: 🌙handy measures 🌙inspiration for your own exploration 🌙GIT notebook to get you started with yfinance data https://t.co/MkdqLvqfC6 https://t.co/LDHZibQS9H
New Signal
Timely post by @71Ksander on EWY: https://t.co/Aq1A2m75tU I'm publishing a large post tomorrow... intuitive signal that would help with tricky names like EWY. There was differing views on its vol in our Discord but a pattern I've seen before. Decided to...
New Podcast “The Options Trench” Emphasizes Measurement Over Prediction
Moontower 🌙Launching podcast/YT series: The Options Trench 🌙Make it make sense 🌙"measurement not prediction" in the wild https://t.co/SVLluHexwT refs: @outlieroptions @halfkelly @Citrini7 @shaneparrish https://t.co/6sjaG9EPz6
Understanding Straddle Approximation and Skew's Impact on Volatility
Today's spaced repetition covers a lot of ground. 🌙Visual derivation of the .80 straddle approximation 🌙How skew distorts vol-based risk measures 🌙 Practical tips& discussion
Call Skew Lowers Oil Spreads, Polymarket Binaries Boost Value
I wrote about Polymarket Iran markets and crude vols last week but didn't cover oil call spreads vs the odds. Jacked call skew makes call spreads cheaper in oil but the presence of Polymarket binaries creates a bid for them...
TSLA Cheap Vol, but Skew Makes Puts Pricey
TSLA is frustrating...vol is cheap and I want the nitroglycerine puts but the skew is jacked. https://t.co/e8sACX2GXu
Understanding Covered Calls vs Equivalent Stock Delta Sale
Today's spaced repetition is structured as a slow-as-molasses homework that builds up to understanding the nature of covered calls vs the equivalent portfolio of selling [delta] amount of your stock (which is the right basis of comparison)
Master Bad Beat Management with Simple Position Sizing
Moontower for today... 🌙options policework A highly useful and approachable post (well that claim is for you to decide) for deconstructing a bad beat, how to manage the position, and basic sizing framework https://t.co/lriLcCfSTC https://t.co/zBmPgdFBWn
Volatility Drops Across Board Despite Apparent Front Pressure
Yesterday SLV vols were down with the small down day...today vols are down across the board on the uptick. Unexpected. These are pct changes in the vols. It appears like the fronts are getting hit harder. But they're not... https://t.co/Py3JzocrxE
Socratic Walk‑Through Reveals Hidden Options and Premium Logic
Today's spaced repetition is a socratic walk-thru of a situation where you could spot a hidden option AND also realize when something that looks "wrong" makes sense (in this case the premium to NAV)
Trade Ideas' Presets
Option 👀 My first stop is our Today's Markets page. My default watchlist is loaded so all metrics snapped to that. Volume list shows notable volumes (XLU 48 calls opening traded size today) Trade Ideas classifies based on vol surface signatures we...
Diversifiers May Offer Negative Risk Premiums
Today's spaced repetition ties in well with @dampedspring fantastic commodities post yesterday. For example why amazing diversifiers likely have negative risk premiums
Delta: The Sole Greek Worth Tracking
Moontower Thursday Finally got around to writing on this topic... "delta is the only greek" https://t.co/KRPirWhJSY
Portfolio Thrives on Chaos, Not Just Individual Edges
One more tweet as I've been procrastinating this am. This short exchange actually captures a lot of how I think about a portfolio when you roll it up to a high level. Trading your little edges but the portfolio wants...
TSLA $365 Drop Represents 1‑
Using a 40% vol for TSLA, the stock dropping to $365 by March expiry is about a 1 st dev move. If normal distrubution the fair odds for that are 5-1. The 370-365 ps offers 5.7-1 It's not a rec...
Oil's High Risk Premium Clashes With Market Near-Highs
Oil has a big risk premium in it in terms of vol and skew. Meanwhile SPUs, IWM, VXUS all near ATHs Feels like a tense contradiction. https://t.co/6lmCdFZUnm