Moontower Blog

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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

When Car Leases Offer Options For Less Than Zero

Back out the option premium from a car lease

When Car Leases Offer Options For Less Than Zero

Back out the option premium from a car lease

When Car Leases Offer Options For Less Than Zero

Back out the option premium from a car lease

When Car Leases Offer Options For Less Than Zero

Back out the option premium from a car lease

“Renting A Straddle”

When event pricing hides extremely cheap trading day volatility

“Renting A Straddle”

When event pricing hides extremely cheap trading day volatility

“Renting A Straddle”

When event pricing hides extremely cheap trading day volatility

“Renting A Straddle”

When event pricing hides extremely cheap trading day volatility

Using Options Better

A smattering of practical option tips

Using Options Better

A smattering of practical option tips

Using Options Better

A smattering of practical option tips

Using Options Better

A smattering of practical option tips

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.