Finding Vol Convexity
See how out-of-the-money options have non-linear responses to changes in implied volatility
Education
Moontower Blog
Our thinking on options, trading, investing.
Fun Analogy Between Combinations and a Correlation Matrix
Math fun relating ideas
Where Does Convexity Come From?
Convexity is a fancy word for "my position size is not constant"
Why Options Trades 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.
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
Negative Prices Make Sense
How oil tested assumptions that hold most of the time
Dinosaur Markets
Markets are not democracies
For Fun, My Career Origin Story
The start of an option career in 2000
Do Professional Investors Understand Fees?
Non-obvious relationships between volatility and management fees
Lessons From Susquehanna
Portable lessons from my SIG days
How Tails Constrain Investment Allocations
How low probability-events restrict advisable position sizes
Market Mutations
An example of the biological nature of markets
Markets Will Permanently Reset Higher (My Sacrifice to the Delta Gods)
When the market going up is the scariest risk
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