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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 12
This post is fine, reasonable posture.

...but if I may piggyback off some of the numbers in the post...

I want to repeat what the post says but with slightly different emphasis which leads to a large difference in framing. Image
For example, it talks about people being in the top 5% of income or wealth being disappointed and you'd be better off having going in with lower expectations.

When I think the harsh but true reality is being in top 5% when you measure against the whole population just...
isn't that special.

When I was a kid rich was like Robin Leach stuff. It felt totally unattainable. And you know what it, it is. Rich as defined by its day is unattainable.

Of course someone will say "actually it is attainable" and my argument is...
Read 14 tweets
Kris Profile picture
Sep 30
Yesterday I unlocked a paid post that might have broad appeal

a deeper understanding of vertical spreads

thread version...
In part 1, we tackled a common problem without the use of an option model:

Assume SPY volatility is 16% and we want to hedge using a 1-year put.

2 questions emerge

✔️What strike is 1 standard deviation down?
✔️What’s the cost of that put?Image
Let's start by estimating the 1 s.d. OTM put value.

Steps:

1. Estimate 1 s.d. OTM strike.
2. Estimate ATM straddle to find the value of the ATM put.
3. Estimate ATM/1 SD put spread.
4. ATM put - put spread = 1 s.d. OTM put
Read 35 tweets
Kris Profile picture
Sep 8
A thread zooming in on a section of today's moontower...how arbitrage pricing creates opportunities for directional investors
it starts with a reader question about a common source of confusion -- why cheaper OTM calls (ie lower call skew) leads to more expensive call spreads and a higher probability of the stock going upImage
my response:

distribution is like a sculpture — the volatility skew moves some clay from the right tail to the left tail, and shifts the whole sculpture rightwards a smidge.Image
Read 13 tweets
Kris Profile picture
Aug 29
Thinking a bit about how certain fields and crafts and the extent to which the intensity of the enabling technology acts as a career or skill shock absorber...to be more concrete I was thinking about writing vs other fields...
STEM fields even if you stay in the theoretical force you to learn programming. If you make movies, music, photography there's an aspect of technical + technology that comes with the territory even if it's not the focus
(writing can be a technical craft of course it's just that the enabling tools are not themselves technology intense)

Facility with technology (the longest lever and highly defining theme of modernity impacting absolutely everything) has been key to adapting...
Read 18 tweets
Kris Profile picture
Jun 14
Sharing the monkey thoughts as i mess around in GME...

I'm long that 20 lot of June 20/30 call. Despite the stock being down today, the 30s are eroding + vol is declining so it upticked in value...

also looking at the june 20/25 call spread...
the spread value has increased a lot. The vega on these options is small but not totally negligible. So look at the IV spread...it's fallen 14 points today on a spread with a penny of vega - that's a 14c rally in the spread on a delta deutral basis! Image
Since the spread is only .23 delta the vol change has kept the spread little changed despite the stock move.

Anyway, decided to roll my short 20s into short 25s (so I sold the June 20/25 cs).
Read 17 tweets
Kris Profile picture
Jun 11
Messing around a bit. Used an option calculator and ran 300% flat vol sheets vs skewed vol sheets that roughly fit the market just to see how different the distributions are (stock ref $25 in $GME)
Image
Fly density is just butterfly centered on the middle strike divided by the strike width. This is why vertical spreads are model free bets on the distribution.

A lot of call skew or vol pushes the modal outcome to the left. High call skew makes call spreads cheaper...
which implies lower probabilities of the stock going up. Which is why my original tweet is looking at how cheap the call spreads are and the market implying the stock lower
Read 13 tweets

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