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Kris Profile picture
@KrisAbdelmessih
Oct 2, 2020 • 6 tweets • 2 min read • Read on X
Moontower Money Wiki: Start Here

This work-in-progress is an attempt to to connect the dots into a cohesive picture of how your financial picture over your life is connected to your daily decisions as well as what you actually do with your time.

I will append to it over time Image
"Does This Sound Like You?"

notion.so/Does-this-soun…
"Financial Hygiene"

notion.so/Financial-Hyge…
"Defining The Problem"

notion.so/Defining-The-P…
"A Word About Goals"

notion.so/A-Word-About-G…
"A Word On Constraints"

notion.so/A-Word-on-Cons…

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More from @KrisAbdelmessih

Kris Profile picture
Oct 17
This is going to be hard but I want a list of the top 3 in each of :

1. books
2. podcasts
3. blogs

you'd recommend for thinking about risk/reward/decisions

Imagine you are hiring a novice trader
Mine:

Books

Laws of Trading (@AgustinLebron3 )
Superforecasting (@PTetlock)
Fooled By Randomness (you know who)
Pods

Risk of Ruin @halfkelly
Bet The Process @jeffma & @RufusPeabody
FWM @choffstein (this one is a bit too technical for the purpose but it's aspirational for a novice so it works. Also, it's so damn good)
Read 7 tweets
Kris Profile picture
Oct 17
GLD vols in pics... Image
Image
Image
Read 4 tweets
Kris Profile picture
Oct 7
🌙Excerpt from today's letter:

Here’s how I describe the set-up:

1. The destabilizing moves are higher. The market-maker and hedging community get shorter vol as we go up.

2. Market-makers aren’t stupid.
They literally saw this movie a few years ago and if you think SIG doesn’t have the “run Softbank vol surfaces” button in their cockpit, trained on the 2021 flow signatures, then you must also be puzzled as to why the market-makers are making unprecedented piles of cash trading…
…against retail with their democratized access and fancy subscriptions. My guess, those single stock calls are rich enough to neutralize the gamma poison on the arrows being flung at them.

3. They also aren’t in the business of selling vol naked.
Read 22 tweets
Kris Profile picture
Oct 6
Asset prices climbing a wall of worry -- vols look broadly expensive compared to daily sampled vols.

Guessing they look cheaper relative to weekly sampled since we've been trending

Shorting vol = long beta; tough diversification setup

(Although oil has been 🚽)
Trimmed some hard deltas a month ago and trimmed also via soft deltas (buying puts in SMH)

Buying puts was the better play

Why?

1 month puts for 28 vol correspond to a 1 month st dev of 28/sqrt(12) ~ 8%

We've moved 16% in the past month
Another way to appreciate this is how a daily delta hedged position worked if you bought the 33d put back on 9/5

(I bot a lower strike put that day) Image
Read 5 tweets
Kris Profile picture
Jul 31
Let's actually understand the meaning of vol drag.

This week I explained that while meme stock put spreads "look" expensive, there's a good explanation.

High vol affects the skewness of a distribution -- it shifts the median return lower...
But the thread I wrote bounced all around the internet but like a nerdy game of telephone the message is suffering from major info loss as it gets passed on.

What you need to remember:
Vol drag does NOT change the mean or expected return. It affects the return you are most likely to experience.
Read 11 tweets
Kris Profile picture
Jul 7
Just an opinion...

Gonna put JS index expiry manipulation aside. It looks bad and if that was their intent it is bad.

But regarding the strategy where they sloppily buy deltas to turn around and sell option combos at artificially pumped prices...
The antitode is for the losers is to
realize that they aren't entitled to overestimate how much liquidity “last sale" represents

I mean as a market maker you are taught not to provide more delta liquidity in the options than the underlying so this isn't some profound suggestion
For example, if a market makers is seeing a bid for puts or call offers they are pricing the vol using the stock's bid (and vice versa, they use the offer if the option order is buying delta)

But they don't assume infinite liquidity at the bid or offer
Read 20 tweets

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