On Friday I tried a little experiment.
I opened a voice channel in our Discord called The Moontower Subscriber Hoot.
[Back in my floor days it was common for traders on the floor wear a headset to be on continuous conference with the traders streaming quotes upstairs in the office. At the fund, we also had an open conference line on our turrets to be able to talk to other traders on the team. I don’t know the origin of the term in the industry, but these conferences are called “hoots”.]
I wasn’t writing or working on something that needed deep attention so I figured why not open the hoot and chat while I tried to sell some TLT puts. [I didn’t get filled because I was cheeky with a limit a penny above the bid.]
I narrated what I was doing which I though could be a nice “over-the-shoulder” way to explain what I’m thinking as I do it plus enjoy the banter, something I miss from the old job.
Regarding TLT, I decided to toe into some bond delta with TLT being down more more than 2 st devs over the past month, more than any other liquid name in the Cockpit view.
I decided to express the delta through short vol as TLT vols in the belly of the term structure look attractive enough to sell on both our DASHBOARD and REAL view.
I chose a 35d put…skew is a bit elevated and the strike vol on the options were up a lot that morning.
We talked about several other trades on the hoot and I got to explain a juicy rev/con trade that turned out to not be a real opportunity but people came away with a better understanding of how synthetic futures work!
In narration, the group was able to see how I use greeks to make sense of what’s going on in real-time. Makes a topic that seems abstract super practical and useful. For example, if I sell .30d puts at $1.85 vs stock at $65 and buy them back at $1.88 when the stock drops to $64.50 why that’s a big winner if I traded them delta-neutral.
You can also use greeks to discuss vol changes from tick to tick.
“See how the option is offered at $1.80 again 20 minutes later even though stock is a dime lower? The option only has a penny of theta, so it wasn’t erosion. It has a .30 delta and .15 vega so that means IV is down .2 clicks”
Overall a great experiment that I’ll make a trend. Not committing to a schedule but when I host them it will be on a Thursday and/or Friday.
A few weeks ago Nick Pardini had me on his podcast Analyzing Finance.
I know Nick from his days as a researcher for Parallax, we sat a few desks from one another.
It was fun to catch up. We cover options, volatility, and how options theory principles are found in all kinds of life or business decisions. The options stuff is really perfect for people trying to learn, it’s not heavy, and touches on a lot of practical questions around when you should consider using them or not and why volatility behaves the way it does.