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Kris Profile picture
@KrisAbdelmessih
Oct 2, 2020 • 5 tweets • 2 min read • Read on X
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Moontower Money Wiki:
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"The Gift Of Market Efficiency"

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More from @KrisAbdelmessih

Kris Profile picture
Mar 20
a quick little trading inspiration..

track the implied delta of the >90 market on poly compared to the corresponding futures price by tracking its price change.

For example if the market went to 75% on a $1 rally then it's a .02 delta... Image
If implied delta is larger than the delta of a tight call spread around the $90 strike that's an idea for the type of thing you can make markets in.
You'd have a fair value based on the call spread with some delta and compare that to the orders that come into poly for that contract
Read 6 tweets
Kris Profile picture
Oct 17, 2025
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, 2025
GLD vols in pics... Image
Image
Image
Read 4 tweets
Kris Profile picture
Oct 7, 2025
🌙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, 2025
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, 2025
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

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