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Moontower Blog
Words on the internet about options, trading, investing.
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How Markets Work
Under
Under
Under
Mermaids, Fireflies, and the Bid-Ask Spread
On ETF and option market-making
Mermaids, Fireflies, and the Bid-Ask Spread
On ETF and option market-making
Mermaids, Fireflies, and the Bid-Ask Spread
On ETF and option market-making
Mermaids, Fireflies, and the Bid-Ask Spread
On ETF and option market-making
Life Settlement Arbitrage
A guest post showing how “markets find a way”
Life Settlement Arbitrage
A guest post showing how “markets find a way”
Life Settlement Arbitrage
A guest post showing how “markets find a way”
Life Settlement Arbitrage
A guest post showing how “markets find a way”
Index Investing: The Nature of the Proposition
What we can learn from historical performance
Index Investing: The Nature of the Proposition
What we can learn from historical performance
Index Investing: The Nature of the Proposition
What we can learn from historical performance
Index Investing: The Nature of the Proposition
What we can learn from historical performance
Inflation Replicator
Notes on my personal investing and hedging inflation
Inflation Replicator
Notes on my personal investing and hedging inflation
Inflation Replicator
Notes on my personal investing and hedging inflation
Inflation Replicator
Notes on my personal investing and hedging inflation
What Drives The Stock Market
Fundamental [still] matter.
What Drives The Stock Market
Fundamental [still] matter.
What Drives The Stock Market
Fundamental [still] matter.
What Drives The Stock Market
Fundamental [still] matter.
Nah…you just ain’t seein’ the ball
What people confess when they say markets don't make sense
Nah…you just ain’t seein’ the ball
What people confess when they say markets don't make sense
Nah…you just ain’t seein’ the ball
What people confess when they say markets don't make sense
Lessons From Ed Thorp’s Interview With Tim Ferriss
What we can learn from Ed Thorp
Lessons From Ed Thorp’s Interview With Tim Ferriss
What we can learn from Ed Thorp
Lessons From Ed Thorp’s Interview With Tim Ferriss
What we can learn from Ed Thorp
The GOAT’s Parting Wisdom
Lessons from Munger
The GOAT’s Parting Wisdom
Lessons from Munger
The GOAT’s Parting Wisdom
Lessons from Munger
The Creep of Arbitrage Means Investing Is Mostly A Faith Exercise
The challenge of "long term" investing
The Creep of Arbitrage Means Investing Is Mostly A Faith Exercise
The challenge of "long term" investing
The Creep of Arbitrage Means Investing Is Mostly A Faith Exercise
The challenge of "long term" investing
What I Learned About TIPs
The mechanics of TIPs
What I Learned About TIPs
The mechanics of TIPs
What I Learned About TIPs
The mechanics of TIPs
BOXX: Access Options Funding Rates in an ETF
How the t-bill alternative BOXX works
BOXX: Access Options Funding Rates in an ETF
How the t-bill alternative BOXX works
BOXX: Access Options Funding Rates in an ETF
How the t-bill alternative BOXX works
On Active Management and Private Investments
Cost/benefit of giving up liquidity and transprency
On Active Management and Private Investments
Cost/benefit of giving up liquidity and transprency
On Active Management and Private Investments
Cost/benefit of giving up liquidity and transprency
Investing With Your Hands On The Wheel
Assessing the returns to investing effort
Investing With Your Hands On The Wheel
Assessing the returns to investing effort
Investing With Your Hands On The Wheel
Assessing the returns to investing effort
The Pods On Top Of The Food Chain
Understanding multi-managers and pods
The Pods On Top Of The Food Chain
Understanding multi-managers and pods
The Pods On Top Of The Food Chain
Understanding multi-managers and pods
Using Insurance For Tax-Free Investment Growth
Insurance is a surgical tool -- use it carefully
Using Insurance For Tax-Free Investment Growth
Insurance is a surgical tool -- use it carefully
Using Insurance For Tax-Free Investment Growth
Insurance is a surgical tool -- use it carefully
The Investing Version Of “Nothing Good Happens After Midnight”
Don’t obsess about investing beyond the point of diminishing returns.
The Investing Version Of “Nothing Good Happens After Midnight”
Don’t obsess about investing beyond the point of diminishing returns.
The Investing Version Of “Nothing Good Happens After Midnight”
Don’t obsess about investing beyond the point of diminishing returns.
My Investing Shame Is Your Gain
Why it took so long for me to start learn about investing
My Investing Shame Is Your Gain
Why it took so long for me to start learn about investing
My Investing Shame Is Your Gain
Why it took so long for me to start learn about investing
Reflections On Getting Filled
What's the value of something you win at auction conditional on getting filled
Reflections On Getting Filled
What's the value of something you win at auction conditional on getting filled
Reflections On Getting Filled
What's the value of something you win at auction conditional on getting filled
Making Property Taxes Apples to Apples
Different state tax regimes make home price comparison difficult.
Making Property Taxes Apples to Apples
Different state tax regimes make home price comparison difficult.
Making Property Taxes Apples to Apples
Different state tax regimes make home price comparison difficult.
Reasoning Through A Housing Trade Out Loud
Qualitative discretion
Reasoning Through A Housing Trade Out Loud
Qualitative discretion
Reasoning Through A Housing Trade Out Loud
Qualitative discretion
Portfolio Theory In The Wild: Funding YouTube Creators
More life-applied portfolio theory
Portfolio Theory In The Wild: Funding YouTube Creators
More life-applied portfolio theory
Portfolio Theory In The Wild: Funding YouTube Creators
More life-applied portfolio theory
Trading Is Like Any Other Business
Trading is applying a process to a need or service the market demands
Trading Is Like Any Other Business
Trading is applying a process to a need or service the market demands
Trading Is Like Any Other Business
Trading is applying a process to a need or service the market demands
If You Wait For All The Info You’ll Be Too Late
The necessity of acting with incomplete info
If You Wait For All The Info You’ll Be Too Late
The necessity of acting with incomplete info
If You Wait For All The Info You’ll Be Too Late
The necessity of acting with incomplete info
There’s Gold In Them Thar Tails: Part 2
Part 2 of selecting outcomes from the tails of a distribution
There’s Gold In Them Thar Tails: Part 2
Part 2 of selecting outcomes from the tails of a distribution
There’s Gold In Them Thar Tails: Part 2
Part 2 of selecting outcomes from the tails of a distribution
There’s Gold In Them Thar Tails: Part 1
Selection from strictly narrowed criteria
There’s Gold In Them Thar Tails: Part 1
Selection from strictly narrowed criteria
There’s Gold In Them Thar Tails: Part 1
Selection from strictly narrowed criteria
It’s Not The Merit It’s The Price
The wrong price can ruin a great idea
It’s Not The Merit It’s The Price
The wrong price can ruin a great idea
It’s Not The Merit It’s The Price
The wrong price can ruin a great idea
The Antisocial Advantage
When "disagreeable" is an adaptive trait
The Antisocial Advantage
When "disagreeable" is an adaptive trait
The Antisocial Advantage
When "disagreeable" is an adaptive trait
Bubbles: Knowing You’re In One Is Not Even Half The Battle
Knowing something is a bubble doesn't prescribe an easy action
Bubbles: Knowing You’re In One Is Not Even Half The Battle
Knowing something is a bubble doesn't prescribe an easy action
Bubbles: Knowing You’re In One Is Not Even Half The Battle
Knowing something is a bubble doesn't prescribe an easy action
Measurement Not Prediction
Seeing the present clearly
Measurement Not Prediction
Seeing the present clearly
Measurement Not Prediction
Seeing the present clearly
The Peace Dividend of Overvaluation
What high prices beg for
The Peace Dividend of Overvaluation
What high prices beg for
The Peace Dividend of Overvaluation
What high prices beg for
Markets Will Permanently Reset Higher (My Sacrifice to the Delta Gods)
When the market going up is the scariest risk
Markets Will Permanently Reset Higher (My Sacrifice to the Delta Gods)
When the market going up is the scariest risk
Markets Will Permanently Reset Higher (My Sacrifice to the Delta Gods)
When the market going up is the scariest risk
3-Card Macro
A rare excursion into macro
3-Card Macro
A rare excursion into macro
3-Card Macro
A rare excursion into macro
Beating The SP500 > Winning The NBA Title
Consistent alpha or championships?
Beating The SP500 > Winning The NBA Title
Consistent alpha or championships?
Beating The SP500 > Winning The NBA Title
Consistent alpha or championships?
Finance Guilt
Defending finance careers
Finance Guilt
Defending finance careers
Finance Guilt
Defending finance careers
A Former Market Maker’s Perception of PFOF
Payment for order flow, market segmentation, and returns to scale
A Former Market Maker’s Perception of PFOF
Payment for order flow, market segmentation, and returns to scale
A Former Market Maker’s Perception of PFOF
Payment for order flow, market segmentation, and returns to scale
A Former Market Maker’s Perception of PFOF
Payment for order flow, market segmentation, and returns to scale
A Former Market Maker’s Perception of PFOF
Payment for order flow, market segmentation, and returns to scale
A Former Market Maker’s Perception of PFOF
Payment for order flow, market segmentation, and returns to scale
Twitter Reminds Me Of The Trading Pits
Information games
Twitter Reminds Me Of The Trading Pits
Information games
Twitter Reminds Me Of The Trading Pits
Information games
Twitter Reminds Me Of The Trading Pits
Information games
Negative Prices Make Sense
How oil tested assumptions that hold most of the time
Negative Prices Make Sense
How oil tested assumptions that hold most of the time
Negative Prices Make Sense
How oil tested assumptions that hold most of the time
Negative Prices Make Sense
How oil tested assumptions that hold most of the time
Prices Are More Than Expectations
The difficulty of extracting what markets imply
Prices Are More Than Expectations
The difficulty of extracting what markets imply
Prices Are More Than Expectations
The difficulty of extracting what markets imply
Prices Are More Than Expectations
The difficulty of extracting what markets imply
Why Investing Feels Like Astrology
Textbooks are far behind the market meta-game
Why Investing Feels Like Astrology
Textbooks are far behind the market meta-game
Why Investing Feels Like Astrology
Textbooks are far behind the market meta-game
Why Investing Feels Like Astrology
Textbooks are far behind the market meta-game
Market Mutations
An example of the biological nature of markets
Market Mutations
An example of the biological nature of markets
Market Mutations
An example of the biological nature of markets
Market Mutations
An example of the biological nature of markets
Investing Is Biology Not Physics
Markets evolve and adapt. Be careful extrapolating from the past.
Investing Is Biology Not Physics
Markets evolve and adapt. Be careful extrapolating from the past.
Investing Is Biology Not Physics
Markets evolve and adapt. Be careful extrapolating from the past.
Investing Is Biology Not Physics
Markets evolve and adapt. Be careful extrapolating from the past.
Dinosaur Markets
Markets are not democracies
Dinosaur Markets
Markets are not democracies
Dinosaur Markets
Markets are not democracies
Dinosaur Markets
Markets are not democracies
The Juicy Stuff Doesn’t Hit The Pit
On adverse selection
The Juicy Stuff Doesn’t Hit The Pit
On adverse selection
The Juicy Stuff Doesn’t Hit The Pit
On adverse selection
The Juicy Stuff Doesn’t Hit The Pit
On adverse selection
The Paradox Of Provable Alpha
What's more likely to have alpha: systematic or discretionary conditional on you being allowed to invest?
The Paradox Of Provable Alpha
What's more likely to have alpha: systematic or discretionary conditional on you being allowed to invest?
The Paradox Of Provable Alpha
What's more likely to have alpha: systematic or discretionary conditional on you being allowed to invest?
The Paradox Of Provable Alpha
What's more likely to have alpha: systematic or discretionary conditional on you being allowed to invest?
The “No Easy Trades” Principle
The moontower version of the "efficient markets hypothesis"
The “No Easy Trades” Principle
The moontower version of the "efficient markets hypothesis"
The “No Easy Trades” Principle
The moontower version of the "efficient markets hypothesis"
The “No Easy Trades” Principle
The moontower version of the "efficient markets hypothesis"
Why You Don’t Get Paid For Diversifiable Risks
Examples of a counterintuitive aspect of portfolio theory
Why You Don’t Get Paid For Diversifiable Risks
Examples of a counterintuitive aspect of portfolio theory
Why You Don’t Get Paid For Diversifiable Risks
Examples of a counterintuitive aspect of portfolio theory
Why You Don’t Get Paid For Diversifiable Risks
Examples of a counterintuitive aspect of portfolio theory
DCF As A Lower Bound
DCF valuations underestimate the value of an asset will trade for.
DCF As A Lower Bound
DCF valuations underestimate the value of an asset will trade for.
DCF As A Lower Bound
DCF valuations underestimate the value of an asset will trade for.
DCF As A Lower Bound
DCF valuations underestimate the value of an asset will trade for.
You Don’t See The Whole Picture
Syngerstic bids look expensive to those without the same diversification advantages
You Don’t See The Whole Picture
Syngerstic bids look expensive to those without the same diversification advantages
You Don’t See The Whole Picture
Syngerstic bids look expensive to those without the same diversification advantages
You Don’t See The Whole Picture
Syngerstic bids look expensive to those without the same diversification advantages
Your Portfolio Intuition Is Poor
Our instincts about the role of correlation are not well-tuned
Your Portfolio Intuition Is Poor
Our instincts about the role of correlation are not well-tuned
Your Portfolio Intuition Is Poor
Our instincts about the role of correlation are not well-tuned
Your Portfolio Intuition Is Poor
Our instincts about the role of correlation are not well-tuned
How Math Is Sufficient To Explain Small Stock Outperformance
Is it possible that factors overexplain excess performance?
How Math Is Sufficient To Explain Small Stock Outperformance
Is it possible that factors overexplain excess performance?
How Math Is Sufficient To Explain Small Stock Outperformance
Is it possible that factors overexplain excess performance?
How Math Is Sufficient To Explain Small Stock Outperformance
Is it possible that factors overexplain excess performance?
Is There Actually An Equity Premium Puzzle?
The distribution of the stock market is different than the distribution of stocks
Is There Actually An Equity Premium Puzzle?
The distribution of the stock market is different than the distribution of stocks
Is There Actually An Equity Premium Puzzle?
The distribution of the stock market is different than the distribution of stocks
Is There Actually An Equity Premium Puzzle?
The distribution of the stock market is different than the distribution of stocks
How Much of Momentum Is Caused By Randomness?
This is an example of a broad question we should always ask ourselves: "what would the random version of some process look like?"
How Much of Momentum Is Caused By Randomness?
This is an example of a broad question we should always ask ourselves: "what would the random version of some process look like?"
How Much of Momentum Is Caused By Randomness?
This is an example of a broad question we should always ask ourselves: "what would the random version of some process look like?"
How Much of Momentum Is Caused By Randomness?
This is an example of a broad question we should always ask ourselves: "what would the random version of some process look like?"
Shorting In The Time Of ShitCos
A qualitative appreciation for the asymmetry of shorting
Shorting In The Time Of ShitCos
A qualitative appreciation for the asymmetry of shorting
Shorting In The Time Of ShitCos
A qualitative appreciation for the asymmetry of shorting
Shorting In The Time Of ShitCos
A qualitative appreciation for the asymmetry of shorting
Options & Volatility
Options & Volatility
Options & Volatility
If you annualize volatility with 252 days can you use that number in a 365-day option model?
Why all implied volatilities are "wrong"
If you annualize volatility with 252 days can you use that number in a 365-day option model?
Why all implied volatilities are "wrong"
If you annualize volatility with 252 days can you use that number in a 365-day option model?
Why all implied volatilities are "wrong"
If you annualize volatility with 252 days can you use that number in a 365-day option model?
Why all implied volatilities are "wrong"
A Visual Appreciation For Black-Scholes Delta
Seeing delta from a new angle
A Visual Appreciation For Black-Scholes Delta
Seeing delta from a new angle
A Visual Appreciation For Black-Scholes Delta
Seeing delta from a new angle
A Visual Appreciation For Black-Scholes Delta
Seeing delta from a new angle
A Visual Primer For Understanding Options
A visual mapping of the greeks
A Visual Primer For Understanding Options
A visual mapping of the greeks
A Visual Primer For Understanding Options
A visual mapping of the greeks
Bridge of Asses
The replication mindset is the key to upgrading your financial thinking
Bridge of Asses
The replication mindset is the key to upgrading your financial thinking
Bridge of Asses
The replication mindset is the key to upgrading your financial thinking
A Simple Demonstration of Return Vs Volatility
Volatility is a quadratic drag on returns
A Simple Demonstration of Return Vs Volatility
Volatility is a quadratic drag on returns
A Simple Demonstration of Return Vs Volatility
Volatility is a quadratic drag on returns
Portfolio Theory And The Invisible Option On Hobbies
Portfolio theory is a portable idea to other parts of life
Portfolio Theory And The Invisible Option On Hobbies
Portfolio theory is a portable idea to other parts of life
Portfolio Theory And The Invisible Option On Hobbies
Portfolio theory is a portable idea to other parts of life
Portfolio Theory And The Invisible Option On Hobbies
Portfolio theory is a portable idea to other parts of life
An Example “Options Relative Value Trading Framework”
The professional inspiration for moontower.ai
An Example “Options Relative Value Trading Framework”
The professional inspiration for moontower.ai
An Example “Options Relative Value Trading Framework”
The professional inspiration for moontower.ai
Why Put-Call Parity Is Such A Deep Insight
The essence of understanding that calls and puts are actually the same
Why Put-Call Parity Is Such A Deep Insight
The essence of understanding that calls and puts are actually the same
Why Put-Call Parity Is Such A Deep Insight
The essence of understanding that calls and puts are actually the same
Are car leases confusing?
Leases are options with an embedded cost of carry
Are car leases confusing?
Leases are options with an embedded cost of carry
What The Widowmaker Can Teach Us About Trade Prospecting And Fool’s Gold
How an option market decomposes probability from expectancy
What The Widowmaker Can Teach Us About Trade Prospecting And Fool’s Gold
How an option market decomposes probability from expectancy
Excerpts From Benn Eifert on the Odd Lots Podcast
An insightful interview with the QVR option fund's founder
Excerpts From Benn Eifert on the Odd Lots Podcast
An insightful interview with the QVR option fund's founder
Option Lenses
The importance of looking at options comparatively
Option Lenses
The importance of looking at options comparatively
The Beauty of Option Theory
On a talk I gave about the value of option thinking
The Beauty of Option Theory
On a talk I gave about the value of option thinking
Where Does Convexity Come From?
Convexity is a fancy word for "my position size is not constant"
Where Does Convexity Come From?
Convexity is a fancy word for "my position size is not constant"
The Volatility Drain
The arithmetic behind how increased volatility reduces average compounded returns
The Volatility Drain
The arithmetic behind how increased volatility reduces average compounded returns
You Think You’re Trading Vol...But Are You Even?
The implied volatility you think you're trading technically depends on your actual funding costs not the ones inherited from the marketplace.
You Think You’re Trading Vol...But Are You Even?
The implied volatility you think you're trading technically depends on your actual funding costs not the ones inherited from the marketplace.
Insights From The Warrant Puzzle via Financial Hacking
Financial Hacking is one of the best books applying intuition to common problems in trading and investing
Insights From The Warrant Puzzle via Financial Hacking
Financial Hacking is one of the best books applying intuition to common problems in trading and investing
On Delta Hedging
The broad trade-offs when trying to isolate volatity bets
On Delta Hedging
The broad trade-offs when trying to isolate volatity bets
Celibacy Vs Condoms: The Answer To Whether You Should Trade Options
Options are surgical tools. They are priced for specifity. What to consider before bothering with them.
Celibacy Vs Condoms: The Answer To Whether You Should Trade Options
Options are surgical tools. They are priced for specifity. What to consider before bothering with them.
What Part Of Selling Calls Is “Income”?
Trading any option requires a view on volatility
What Part Of Selling Calls Is “Income”?
Trading any option requires a view on volatility
Dispersion Trading For The Uninitiated
A gentle introduction to trading implied index correlation
Dispersion Trading For The Uninitiated
A gentle introduction to trading implied index correlation
Binary Straddle Example Based On The 2016 Election
When an outcome is binary with an implied probability, the straddle will tell you the expected move in either direction
Binary Straddle Example Based On The 2016 Election
When an outcome is binary with an implied probability, the straddle will tell you the expected move in either direction
Straddles, Volatility, and Win Rates
If you sell fairly priced straddles you win more often than you lose, but the expectancy is zero. Find out why.
Straddles, Volatility, and Win Rates
If you sell fairly priced straddles you win more often than you lose, but the expectancy is zero. Find out why.
How Options Confuse Directional Traders
How you can be right on direction and still wrong
How Options Confuse Directional Traders
How you can be right on direction and still wrong
Structuring Directional Option Trades
Options allow us to express bets on the distribution of the underlying instead of just "will the stock go up or down?"
Structuring Directional Option Trades
Options allow us to express bets on the distribution of the underlying instead of just "will the stock go up or down?"
Understanding Implied Forwards
Learn how to compute the the volatility between 2 expirations
Understanding Implied Forwards
Learn how to compute the the volatility between 2 expirations
Using Log Returns And Volatility To Normalize Strike Distances
Log returns measure how far strike prices are from the stock price as a function of time and volatility
Using Log Returns And Volatility To Normalize Strike Distances
Log returns measure how far strike prices are from the stock price as a function of time and volatility
Greeks Are Everywhere
Greeks are just fancy terms for a familiar idea: how sensitive options are to their inputs
Greeks Are Everywhere
Greeks are just fancy terms for a familiar idea: how sensitive options are to their inputs
Moontower on Gamma
The first option greek people learn after delta is gamma. Recall that delta represents how much an option’s price changes with respect to share price.
Moontower on Gamma
The first option greek people learn after delta is gamma. Recall that delta represents how much an option’s price changes with respect to share price.
Understanding Vega Risk
Learn how option prices depend on changes in implied volatility
Understanding Vega Risk
Learn how option prices depend on changes in implied volatility
Finding Vol Convexity
See how out-of-the-money options have non-linear responses to changes in implied volatility
Finding Vol Convexity
See how out-of-the-money options have non-linear responses to changes in implied volatility
Why Option Traders Focus on Vega
The most important greek for long-dated options
Why Option Traders Focus on Vega
The most important greek for long-dated options
Lessons From The .50 Delta Option
The .50 delta option is not necessarily at-the-money. See how the .50 delta strike holds information about the underlying distribution.
Lessons From The .50 Delta Option
The .50 delta option is not necessarily at-the-money. See how the .50 delta strike holds information about the underlying distribution.
“Do You Even Trade Bro?”
When are you an investor vs a trader?
“Do You Even Trade Bro?”
When are you an investor vs a trader?
Risk & Edge
Risk & Edge
Risk & Edge
Know Nothing Sizing
Vol is more stable than returns
Know Nothing Sizing
Vol is more stable than returns
Battle Scars As A Call Option — The UNG Experience
A case study in oblique risk
Battle Scars As A Call Option — The UNG Experience
A case study in oblique risk
Battle Scars As A Call Option — The UNG Experience
A case study in oblique risk
Battle Scars As A Call Option — The UNG Experience
A case study in oblique risk
My grandma is $24.05 bid, stop embarrassing yourself
On competition and more on bet sizing
My grandma is $24.05 bid, stop embarrassing yourself
On competition and more on bet sizing
My grandma is $24.05 bid, stop embarrassing yourself
On competition and more on bet sizing
My grandma is $24.05 bid, stop embarrassing yourself
On competition and more on bet sizing
Kelly Math Weirdness
The danger of Kelly criterion when the bet is skewed
Kelly Math Weirdness
The danger of Kelly criterion when the bet is skewed
Kelly Math Weirdness
The danger of Kelly criterion when the bet is skewed
Getting Paid To Flip Million Dollar Coins
How much would you bet on a favorable coin?
Getting Paid To Flip Million Dollar Coins
How much would you bet on a favorable coin?
Getting Paid To Flip Million Dollar Coins
How much would you bet on a favorable coin?
Risk Depends On The Resolution
Volatility depends on sampling period
Risk Depends On The Resolution
Volatility depends on sampling period
Risk Depends On The Resolution
Volatility depends on sampling period
Understanding Edge
The foundation of all trading
Understanding Edge
The foundation of all trading
Understanding Edge
The foundation of all trading
Understanding Edge
The foundation of all trading
Talking To The Diamond Hands
Understanding the psychology of concentrated risk-taking
Talking To The Diamond Hands
Understanding the psychology of concentrated risk-taking
Talking To The Diamond Hands
Understanding the psychology of concentrated risk-taking
Distributional Edge vs Carry
The problem with buying "low" and selling "high"
Distributional Edge vs Carry
The problem with buying "low" and selling "high"
Distributional Edge vs Carry
The problem with buying "low" and selling "high"
Bet Sizing Is Not Intuitive
Even people that should no better bet sums that are wildly suboptimal
Bet Sizing Is Not Intuitive
Even people that should no better bet sums that are wildly suboptimal
Bet Sizing Is Not Intuitive
Even people that should no better bet sums that are wildly suboptimal
From CAPM To Hedging
CAPM can help us compute hedge ratios and estimate "idio" risk
From CAPM To Hedging
CAPM can help us compute hedge ratios and estimate "idio" risk
From CAPM To Hedging
CAPM can help us compute hedge ratios and estimate "idio" risk
The ‘Volatility Is A Risk’ Strawman
Risk is more than a single measure
The ‘Volatility Is A Risk’ Strawman
Risk is more than a single measure
The ‘Volatility Is A Risk’ Strawman
Risk is more than a single measure
Liquidity Ostrich
Thoughts on how we perceive risk and liquidity
Liquidity Ostrich
Thoughts on how we perceive risk and liquidity
Liquidity Ostrich
Thoughts on how we perceive risk and liquidity
Solving A Compounding Riddle With Black-Scholes
A puzzle that demonstrates why option models assume lognormal distributions
Solving A Compounding Riddle With Black-Scholes
A puzzle that demonstrates why option models assume lognormal distributions
Solving A Compounding Riddle With Black-Scholes
A puzzle that demonstrates why option models assume lognormal distributions
Solving A Compounding Riddle With Black-Scholes
A puzzle that demonstrates why option models assume lognormal distributions
How Much Extra Return Should You Demand For Illiquidity?
A market-based thought exercise for pricing the value of liquidity
How Much Extra Return Should You Demand For Illiquidity?
A market-based thought exercise for pricing the value of liquidity
How Much Extra Return Should You Demand For Illiquidity?
A market-based thought exercise for pricing the value of liquidity
How Much Extra Return Should You Demand For Illiquidity?
A market-based thought exercise for pricing the value of liquidity
How Tails Constrain Investment Allocations
How low probability-events restrict advisable position sizes
How Tails Constrain Investment Allocations
How low probability-events restrict advisable position sizes
How Tails Constrain Investment Allocations
How low probability-events restrict advisable position sizes
How Tails Constrain Investment Allocations
How low probability-events restrict advisable position sizes
The Gamma Of Levered ETFs
Applying the concept of option gamma to understand how levered ETF deltas trigger daily delta rebalances
The Gamma Of Levered ETFs
Applying the concept of option gamma to understand how levered ETF deltas trigger daily delta rebalances
The Gamma Of Levered ETFs
Applying the concept of option gamma to understand how levered ETF deltas trigger daily delta rebalances
The Gamma Of Levered ETFs
Applying the concept of option gamma to understand how levered ETF deltas trigger daily delta rebalances
Levered ETF/ETN tool
Compute the amount of dollars required to rebalance a levered exposure
Levered ETF/ETN tool
Compute the amount of dollars required to rebalance a levered exposure
Levered ETF/ETN tool
Compute the amount of dollars required to rebalance a levered exposure
Levered ETF/ETN tool
Compute the amount of dollars required to rebalance a levered exposure
The difficulty with shorting and inverse positions
The brutal arithmetic behind shorting
The difficulty with shorting and inverse positions
The brutal arithmetic behind shorting
The difficulty with shorting and inverse positions
The brutal arithmetic behind shorting
The difficulty with shorting and inverse positions
The brutal arithmetic behind shorting
Well What Did You “Expect”?
Understand the meaning of "average" when returns compounds
Well What Did You “Expect”?
Understand the meaning of "average" when returns compounds
Well What Did You “Expect”?
Understand the meaning of "average" when returns compounds
Well What Did You “Expect”?
Understand the meaning of "average" when returns compounds
If You Make Money Every Day, You’re Not Maximizing
A treatise on hedging
If You Make Money Every Day, You’re Not Maximizing
A treatise on hedging
If You Make Money Every Day, You’re Not Maximizing
A treatise on hedging
If You Make Money Every Day, You’re Not Maximizing
A treatise on hedging
Training & Numeracy
Growth rate = 70% * (doublings/years)
If you can count doublings then you can easily dazzle your friends with how fast you estimate a growth rate for any number of years.
Growth rate = 70% * (doublings/years)
If you can count doublings then you can easily dazzle your friends with how fast you estimate a growth rate for any number of years.
Growth rate = 70% * (doublings/years)
If you can count doublings then you can easily dazzle your friends with how fast you estimate a growth rate for any number of years.
Trade or Tighten’
A common trading game for trainees
Trade or Tighten’
A common trading game for trainees
Trade or Tighten’
A common trading game for trainees
Career Advice For Quants
Link to a collection of career resources
Career Advice For Quants
Link to a collection of career resources
Career Advice For Quants
Link to a collection of career resources
Getting Comfortable With Log Charts
Visualizing compounding for various rates of return
Getting Comfortable With Log Charts
Visualizing compounding for various rates of return
Getting Comfortable With Log Charts
Visualizing compounding for various rates of return
Thinking In N not T
Sample sizes are not the same over equal time intervals
Thinking In N not T
Sample sizes are not the same over equal time intervals
Thinking In N not T
Sample sizes are not the same over equal time intervals
Thinking In N not T
Sample sizes are not the same over equal time intervals
Using The Right Rulers
My notes on 2 books about measurement
Using The Right Rulers
My notes on 2 books about measurement
Using The Right Rulers
My notes on 2 books about measurement
5 Takeaways From Todd Simkin on The AlphaMind Podcast
More lessons from SIG
5 Takeaways From Todd Simkin on The AlphaMind Podcast
More lessons from SIG
5 Takeaways From Todd Simkin on The AlphaMind Podcast
More lessons from SIG
The Midpoint From 1 to 9 is…3?
numeracy practice
The Midpoint From 1 to 9 is…3?
numeracy practice
The Midpoint From 1 to 9 is…3?
numeracy practice
Notes from RenTec CEO Peter Brown on the GS Podcast
A rare interview
Notes from RenTec CEO Peter Brown on the GS Podcast
A rare interview
Notes from RenTec CEO Peter Brown on the GS Podcast
A rare interview
Getting Less Screwed On Compensation
Trading risk reversals on your bonus
Getting Less Screwed On Compensation
Trading risk reversals on your bonus
Getting Less Screwed On Compensation
Trading risk reversals on your bonus
Notes From SIG's Todd Simkin
This interview lifts the veil a bit on SIGs trader education program and culture.
Notes From SIG's Todd Simkin
This interview lifts the veil a bit on SIGs trader education program and culture.
Notes From SIG's Todd Simkin
This interview lifts the veil a bit on SIGs trader education program and culture.
Lessons From Susquehanna
Portable lessons from my SIG days
Lessons From Susquehanna
Portable lessons from my SIG days
Lessons From Susquehanna
Portable lessons from my SIG days
How I Misapplied My Trader Mindset To Investing
On narrowly overlearning lessons
How I Misapplied My Trader Mindset To Investing
On narrowly overlearning lessons
How I Misapplied My Trader Mindset To Investing
On narrowly overlearning lessons
Trading Vs Investing
Understand what you are actually doing
Trading Vs Investing
Understand what you are actually doing
Trading Vs Investing
Understand what you are actually doing
For Fun, My Career Origin Story
The start of an option career in 2000
For Fun, My Career Origin Story
The start of an option career in 2000
For Fun, My Career Origin Story
The start of an option career in 2000
Interview Questions A Market Maker Gave Me in 1999
A focus on basic probability
Interview Questions A Market Maker Gave Me in 1999
A focus on basic probability
Interview Questions A Market Maker Gave Me in 1999
A focus on basic probability
Trading Is A Team Sport
The lone genius trader is a myth
Trading Is A Team Sport
The lone genius trader is a myth
Trading Is A Team Sport
The lone genius trader is a myth
You Can Mock Trade With A Deck Of Cards
Card games used in training
You Can Mock Trade With A Deck Of Cards
Card games used in training
You Can Mock Trade With A Deck Of Cards
Card games used in training
Mock Trading
A game inspired by mock trading
Mock Trading
A game inspired by mock trading
Mock Trading
A game inspired by mock trading
Mock Trading Options With Market Makers
How professional option traders trained
Mock Trading Options With Market Makers
How professional option traders trained
Mock Trading Options With Market Makers
How professional option traders trained
Fun Analogy Between Combinations and a Correlation Matrix
Math fun relating ideas
Fun Analogy Between Combinations and a Correlation Matrix
Math fun relating ideas
Fun Analogy Between Combinations and a Correlation Matrix
Math fun relating ideas
Another Kind Of Mean
Harmonic means for ratios
Another Kind Of Mean
Harmonic means for ratios
Another Kind Of Mean
Harmonic means for ratios
Percents Are Tricky
Possible pitfalls of thinking in percents with ratios
Percents Are Tricky
Possible pitfalls of thinking in percents with ratios
Percents Are Tricky
Possible pitfalls of thinking in percents with ratios
The Benefit Of Betting Culture
Practicing confidence intervals
The Benefit Of Betting Culture
Practicing confidence intervals
The Benefit Of Betting Culture
Practicing confidence intervals
Calibrated Confidence
Being a strong bettor requires well-tuned meta-knowledge
Calibrated Confidence
Being a strong bettor requires well-tuned meta-knowledge
Calibrated Confidence
Being a strong bettor requires well-tuned meta-knowledge
Practice Second Gear Thinking
Developing a habit of looking past first-order consequences
Practice Second Gear Thinking
Developing a habit of looking past first-order consequences
Practice Second Gear Thinking
Developing a habit of looking past first-order consequences
Berkson’s Paradox
Why correlations breakdown in the presence of "range restriction"
Berkson’s Paradox
Why correlations breakdown in the presence of "range restriction"
Berkson’s Paradox
Why correlations breakdown in the presence of "range restriction"
The Monty Hall Problem Is More Than A Game
Real-life application of the Monty Hall conditional probability problem
The Monty Hall Problem Is More Than A Game
Real-life application of the Monty Hall conditional probability problem
The Monty Hall Problem Is More Than A Game
Real-life application of the Monty Hall conditional probability problem
Jensen’s Inequality As An Intuition Tool
Practice in distinguishing linear vs non-linear phenomena
Jensen’s Inequality As An Intuition Tool
Practice in distinguishing linear vs non-linear phenomena
Jensen’s Inequality As An Intuition Tool
Practice in distinguishing linear vs non-linear phenomena
Lessons From The Layup – Corner 3 Spread
Practice relative value thinking
Lessons From The Layup – Corner 3 Spread
Practice relative value thinking
Lessons From The Layup – Corner 3 Spread
Practice relative value thinking
Snowflakes vs Lemmings
First principles or fast-follow?
Snowflakes vs Lemmings
First principles or fast-follow?
Snowflakes vs Lemmings
First principles or fast-follow?
An Example Of Using Probability To Build An Intuition For Correlation
How probability relates to correlation
An Example Of Using Probability To Build An Intuition For Correlation
How probability relates to correlation
An Example Of Using Probability To Build An Intuition For Correlation
How probability relates to correlation
Understanding Log Returns
The basics of log returns
Understanding Log Returns
The basics of log returns
Understanding Log Returns
The basics of log returns
Geometric vs Arithmetic Mean In The Wild
Using SP500 returns to distinguish geometric (compouded) returns from average arithmetic returns
Geometric vs Arithmetic Mean In The Wild
Using SP500 returns to distinguish geometric (compouded) returns from average arithmetic returns
Geometric vs Arithmetic Mean In The Wild
Using SP500 returns to distinguish geometric (compouded) returns from average arithmetic returns
Examples Of Comparing Interest Rates With Different Compounding Intervals
Translating rates of return over different time periods
Examples Of Comparing Interest Rates With Different Compounding Intervals
Translating rates of return over different time periods
Examples Of Comparing Interest Rates With Different Compounding Intervals
Translating rates of return over different time periods
I Felt Bad For Picking My 3rd Grader Off
On quarantining risk by reducing dependencies
I Felt Bad For Picking My 3rd Grader Off
On quarantining risk by reducing dependencies
I Felt Bad For Picking My 3rd Grader Off
On quarantining risk by reducing dependencies
Do Professional Investors Understand Fees?
Non-obvious relationships between volatility and management fees
Do Professional Investors Understand Fees?
Non-obvious relationships between volatility and management fees
Do Professional Investors Understand Fees?
Non-obvious relationships between volatility and management fees
Path: How Compounding Alters Return Distributions
See how the path of returns can alter the distribution of p/l independently of expectancy.
Path: How Compounding Alters Return Distributions
See how the path of returns can alter the distribution of p/l independently of expectancy.
Path: How Compounding Alters Return Distributions
See how the path of returns can alter the distribution of p/l independently of expectancy.
Socratic Puzzles To Build Your Financial Intuition
Puzzles to build fundamental trading logic
Socratic Puzzles To Build Your Financial Intuition
Puzzles to build fundamental trading logic
Socratic Puzzles To Build Your Financial Intuition
Puzzles to build fundamental trading logic
A Cleaner Dashboard: Z-Scores Instead Of Price Changes
Use volatility-aware price changes for more context in your dashboards
A Cleaner Dashboard: Z-Scores Instead Of Price Changes
Use volatility-aware price changes for more context in your dashboards
A Cleaner Dashboard: Z-Scores Instead Of Price Changes
Use volatility-aware price changes for more context in your dashboards
Hands-On Learning Modules For Options Theory Topics
The MAD Straddle
This post explores the relationship between an option straddle and volatility.
The MAD Straddle
This post explores the relationship between an option straddle and volatility.
The MAD Straddle
This post explores the relationship between an option straddle and volatility.
Understanding Risk-Neutral Probability
This lesson will build an understanding of risk-neutral probability and why it’s such an important concept in reasoning about the value of investments.
Understanding Risk-Neutral Probability
This lesson will build an understanding of risk-neutral probability and why it’s such an important concept in reasoning about the value of investments.
Understanding Risk-Neutral Probability
This lesson will build an understanding of risk-neutral probability and why it’s such an important concept in reasoning about the value of investments.
The Intuition Behind The Black Scholes Equation
This post will help you understand the Black-Scholes equation in a conceptual way. No calculus or mathematical derivations.
The Intuition Behind The Black Scholes Equation
This post will help you understand the Black-Scholes equation in a conceptual way. No calculus or mathematical derivations.
The Intuition Behind The Black Scholes Equation
This post will help you understand the Black-Scholes equation in a conceptual way. No calculus or mathematical derivations.
A Socratic Dissection Of An Option Trade
CVNA case-study
A Socratic Dissection Of An Option Trade
CVNA case-study
A Socratic Dissection Of An Option Trade
CVNA case-study
Practice Pricing Options By Hand
Think of this like a homework assignment to help you do basic reasoning about option prices. It requires no more than elementary arithmetic and the concept of expected value.
Practice Pricing Options By Hand
Think of this like a homework assignment to help you do basic reasoning about option prices. It requires no more than elementary arithmetic and the concept of expected value.
Practice Pricing Options By Hand
Think of this like a homework assignment to help you do basic reasoning about option prices. It requires no more than elementary arithmetic and the concept of expected value.
Practice Pricing Options By Hand
Think of this like a homework assignment to help you do basic reasoning about option prices. It requires no more than elementary arithmetic and the concept of expected value.
The Snake Eyes Option
This homework assignment will build gradually towards the pricing of an option in a game scenario.
The Snake Eyes Option
This homework assignment will build gradually towards the pricing of an option in a game scenario.
The Snake Eyes Option
This homework assignment will build gradually towards the pricing of an option in a game scenario.
Financial Hacking: ETF vs Negative Oil Futures
This homework assignment will use arbitrage-goggles to show several dislocations that resulted from oil futures going negative
Financial Hacking: ETF vs Negative Oil Futures
This homework assignment will use arbitrage-goggles to show several dislocations that resulted from oil futures going negative
Financial Hacking: ETF vs Negative Oil Futures
This homework assignment will use arbitrage-goggles to show several dislocations that resulted from oil futures going negative
Understanding Variance Time
The concept of variance time acknowledges that the volatility of a stock is not evenly distributed across the year. This post will expand your understanding, vocabulary, and intuition.
Understanding Variance Time
The concept of variance time acknowledges that the volatility of a stock is not evenly distributed across the year. This post will expand your understanding, vocabulary, and intuition.
Understanding Variance Time
The concept of variance time acknowledges that the volatility of a stock is not evenly distributed across the year. This post will expand your understanding, vocabulary, and intuition.
What We Can Learn From Vertical Spreads
This homework will help a student think about vertical spreads and probabilities in options.
What We Can Learn From Vertical Spreads
This homework will help a student think about vertical spreads and probabilities in options.
What We Can Learn From Vertical Spreads
This homework will help a student think about vertical spreads and probabilities in options.
Covered Calls Are Still Just A Vol Trade
This homework will help a student understand why selling covered calls or cash-secured puts is not income. In fact, the student will see that options are always volatility trades — you will appreciate just how deeply insightful the concept of put-call parity is.
Covered Calls Are Still Just A Vol Trade
This homework will help a student understand why selling covered calls or cash-secured puts is not income. In fact, the student will see that options are always volatility trades — you will appreciate just how deeply insightful the concept of put-call parity is.
Covered Calls Are Still Just A Vol Trade
This homework will help a student understand why selling covered calls or cash-secured puts is not income. In fact, the student will see that options are always volatility trades — you will appreciate just how deeply insightful the concept of put-call parity is.
Short Where She Lands, Long Where She Ain’t
What vol traders understand that regular option users don't...and why they should
Short Where She Lands, Long Where She Ain’t
What vol traders understand that regular option users don't...and why they should
Short Where She Lands, Long Where She Ain’t
What vol traders understand that regular option users don't...and why they should
Ready to get started?
Ready to get started?
Ready to get started?
Ready to get started?
Track and analyze volatility metrics for 40+ symbols using 20+ proprietary charts. Equities, FX, commodities, crypto, and more.
© Copyright 2024, All Rights Reserved by Moontower AI, LLC.
© Copyright 2024, All Rights Reserved by Moontower AI, LLC.
© Copyright 2024, All Rights Reserved by Moontower AI, LLC.
© Copyright 2024, All Rights Reserved by Moontower AI, LLC.