Interesting thing is that over the last year whenever we witnessed the VRP between front month /VX and spot $VIX widen out into a “juicy premium”, it’s usually resulted in the futures demonstrating abnormal strength. Almost as if that is starting to become a counter signal for

Kris Sidial🇺🇸 "It wasn’t the product of a 20-factor model or some complex stochastic process". Hey. My GJR-GARCH model with skewed Student-t innovations is going to rule the world of index options :).

One of the most important things Michael Jordan ever said: “They’re deceiving themselves about what the game requires”

This headline is a bit misleading. But here’s what’s actually happening. We’re seeing an uptick in shorting VIX-related derivatives such as VIX futures. At first glance, it looks like speculative bets against volatility are increasing, but that’s not really the case. What’s

Volatility focused trading desks continue to crush it because of the sheer size of these price insensitive flows that pile into the equity derivatives market every single day, in hundreds of different stocks. It’s becoming an absolute feast in terms of all the trading

It’s amazing how this has held constant. This is more of an S&P spot move, but the fact that it’s been so consistent is crazy.

Well front month vix futures was up not even half a point and the market closed basically flatish on the day, but please tell me how your hedging position in vix and options worked so well.

6. I can’t believe this is real

This is one of my all time favorite trading books, and it is great that Andrew gave it a read after my recommendation. What makes it so powerful is that it goes beyond models and signals and dives into the psychological pitfalls that can disrupt traders while providing real

Naive $VIX call buyers continue to experience massive pain. Front of the curve is just caving in day after day. Way better value to buy in other pockets than $VIX calls here.

This is such a great question. For us, strategy development usually follows this progression: 1.Idea generation comes from the trading side 2.The quant side statistically affirms or denies the validity of the edge 3.Parameters and trading rules are added 4.The strategy is

The quality of sell-side research continues to crater. It’s remarkable that a random writer on Substack, with far fewer resources, can consistently produce work that is lightyears ahead of what you get from tier-1 or tier-2 banks today. Personally, I think because a lot of

Regarding the S&P call tweet: When an asset rallies 35% in just a few months and the derivative market still prices the continuation of that path one vol above single-digit vol, that’s usually the kind of bet worth taking lol it’s quite frankly astonishing. Good vol trading