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August 23, 2019

Let’s Talk About Gamma Risk

In a featured comment yesterday I mentioned gamma risk in SPX and SPY options as one of the reasons explaining recent hedging activity in the VIX and ES futures. It’s a complex topic that we’ll have to peel one slice at a time. Let’s begin by considering that options in essence are multi-dimensional financial derivatives in that they exhibit sensitivity to not only price, but also time and volatility (yes interest rates as well but that’s not an issue in our current market environment).

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May 21, 2019

Burning The Temple

Hello denizens of Evil Speculator! Just as Mole is off to visit his indigenous peoples of Austria, I’m back from a week of honoring my Fucks Given Reduction (FGR) process in the California desert at Lightning In A Bottle (LIB). Fresh and ready to go deep into some stuff you can actually use to trade with. As a bonus to my Cali trip, I got to spend a time in Venice with a man who goes by the moniker The Trip Advisor, who is behind-the-scene responsible for the biggest hit Post Malone has.

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January 25, 2019

Linear Regression For Chipmunks

I’m working on a coding project today and neither have the time nor the inspiration to talk about the endless gyrations in equities. It’s heads down for me today and most likely I’ll be plugging through the weekend as well. So here’s a much needed refresher course on linear regression which most of you guys probably know as scatter plots/charts. This wills serve as the basis for a future post on how to correlate your prospective alpha factors when developing a trading system. So it’s important to fully understand how this works and why. Enjoy!

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November 8, 2017

State Of Volatility

Market volatility in all shape and form has over the years turned into a personal passion and lies now at the heart of my current system development efforts. There are several reasons for this, the first most likely being one you probably have heard about before, which is that volatility appears to be a lot easier to predict than market direction. Your mileage of course, as with all things in life, may vary considerably plus as you slowly embark on peeling this onion you’ll discover there are many layers hiding below the surface.

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    We all wish we could predict the future. After all trading would be a hell lot more profitable and given a year of prescient entries/exits … more
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