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

notion.so/The-gift-of-ma…
"Investing Is A Loser's Game"

notion.so/Investing-is-a…
"Time and Human Capital"

notion.so/Time-and-Human…
"Towards A Prescription"

notion.so/Towards-A-Pres…

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More from @KrisAbdelmessih

Kris Profile picture
May 8
moontower today was triggered by an insightful comment by @ScottPh77711570 on @choffstein podcast

Excerpts...
I fired up Corey Hoffstein’s goated Flirting With Models podcast to hear Scott Phillips discuss “ugly” edges in crypto. This episode came highly recommended in my corner of twitter. It does not disappoint.

But I want to zoom in on one part. Scott says: Image
I’m repetitive on log and compounding math for 2 reasons that extend beyond the shock factor of the “lilypads in a pond” puzzle:

a) Investing is a serially repeated game so compound returns are our primary concern
Read 15 tweets
Kris Profile picture
Apr 23
Kris' point is an instance of a wider tension. I call it distributional edge vs carry

The sellers believe they have distributional edge but the cost to hold the trade is carry (here in the form of roll-up).

blog.moontower.ai/distributional… x.com/Ksidiii/status…
I haven't actually done this explicitly but I could imagine some model where you solve for how many negative carry days vs speed to revert to say some vol target and set the p/l path to zero to solve for how long the market thinks it will take to resolve to a normal vrp world
It's not a real model, too many cross influences between the paths, but just framing it like this sharpens your thinking. Fuzzy "it'll go down eventually" is probably so consensus that my guess if I knew nothing else the vol is underpriced
Read 4 tweets
Kris Profile picture
Apr 20
Quick thread extracted from today's letter

If they ban short-selling derivatives become the underlying
A reminder in the spirit of being attuned to seemingly far-fetched risks:

If short selling were restricted in any way, the value of puts relative to calls on the same strike increases in a put-call parity framework.
Another way to say this is being long stock is more valuable since only long sellers can sell. If puts increase relative to calls on the same strike, as they do when borrow costs increase, that is like a synthetic future on the stock trading at a discount to the stock price.
Read 8 tweets
Kris Profile picture
Mar 24
A little thread of fun intuition for option probability based on yesterday's letter

A couple weeks ago @dampedspring posted: Image
By saying I’d buy that proposition I’m saying “I’d buy that vol”

Andy, responded with a joke about what’s the “one touch” option worth, which I asked him to delete because I really would have liked a fool to sell me that proposition and Andy’s comment gives away the sauce.
[X’s killer app would be to escrow bets, but that’s another convo altogether]

I’d be a size buyer of a 50% probability that we get back to the highs before the end of the year.

Why?
Read 14 tweets
Kris Profile picture
Mar 17
On "surfing volatility"

I narrated some of my IBIT trading last week streams. Expiration on Friday went well but I want to zoom in on the experience broadly because it’s a classic flow of what vol trading looks like...
Just for recap Image
But that masks the process and experience. Let's start.

Initial Trade Setup

I liked selling near-dated IBIT vol while buying extra teeny options in the second month for a calendar spread.
Read 40 tweets
Kris Profile picture
Mar 12
Threading today's letter...

I was out Monday night in SF with friends from Parallax and we realized it’s been exactly 4 years this week since I left. I gotta tell you, while I don’t miss having the job, I deeply miss the people.
I deeply miss being an office (although I don’t miss the commute or the 4am mornings). I reference the film Clerks all the time, but my professional life felt like Clerks.
Non-stop banter, friendly debate, and just sharing highs and lows on this little rowboat that we were all paddling in the same direction. Clearly that wasn’t enough for me to stay. The work itself felt stale and my heart wasn’t in. Nobody’s fault. It’s just a me problem.
Read 30 tweets

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