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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
Apr 23
A Demonstration of VRP Normalizing

One of 's "top of funnel" charts is a scatterplot of VRP (volatility risk premium) vs realized vol percentile

We are going to hindsight the chart to show how BTC vols anticipated the last month's moves...moontower.ai
while also being "overpriced".

First a refresher on the Real chart:

Y-axis plots the VRP defined as 1-month IV / trailing 30 day realized

X-axis is the percentile of 30 day realized compared to its own historymoontower.ai
So a 20% VRP means that IV is 120% of trailing realized (ie 24% IV vs 20% RV)

If the RV percentile is 80% then that means the realized vol is in the top 20% of historical realized vols (1 year history)
Read 22 tweets
Kris Profile picture
Apr 10
A Moontower reader asked a question that gets into one of the most confusing topics for option traders: Image
I know firsthand from watching people wrestle with option models that this topic has put many brains in a blender.

Let me take a stab at it.

Let's level-set with some basics: Image
The central question is:

Can you put 30% annual volatility into a typical 365-day option model or should you have annualized by √365?

The answer is a satisfying mix of reasoning and arithmetic.Image
Read 23 tweets
Kris Profile picture
Mar 27
I feel left out of the avengers (ht @choffstein) thread.

I'll add a few ideas for bystanders who already had an opportunity to learn a lot about options pricing from the outstanding replies.

Here we go...
1. As the put decays (or if vol falls enough) on the strike of the ITM calls, the extrinsic premium will evaporate. The carry to holding the long calls at intrinsic against short stock will be more expensive than the extrinsic of the strike.

So what happens?
The OP will be assigned as the option holder exercises early.

The OP may very well get "bot in" by his brokerage on his short share position.

Do you see what happens?

As vol decays or call goes deeper ITM, his desired position is fleeting because he gets assigned.
Read 13 tweets
Kris Profile picture
Feb 23
To be specific about the point of this post...growth in life feels like it's mostly about endurance.

Clever works for a bit but has a half-life.

What matters most is just something banal. Show up.
The thing I wonder about most in raising kids besides reinforcing a few core values (that as much as I think about legacy) is if persistence can be imparted. Curious others thoughts on that
I'm generally bearish on what can be imparted and thinking we have any control and prolly all we can do is model. I think approaches to build grit could possibly backfire (premature optimization -- i was a late bloomer maturity wise despite being born with a beard)
Read 7 tweets
Kris Profile picture
Feb 19
One of the lessons we were taught at SIG was that finding edge was the lifeblood.

"If you can find real edge we'll find a way to lay it off."

It is downstream of the idea that edge stacks linearly and risk scales sublinearly.
The sharp of any single trade in other words is not the sharp of the book over a year. I wrote we were flipping million dollar coins in exchange for a $10k payment up front. The sharpe stinks if you do it once. Do it 1000x and it's really hard to lose.
See moontowermeta.com/understanding-…
Read 5 tweets
Kris Profile picture
Jan 22
Hold on to this terrific observation by Visa for a sec...

First, background:

I hit a reset button in 2021 leaving a great job once I was sure I didn't want to keep doing it for say another decade. I also write a lot of personal stuff online. Where am I going with this...
It turns out that having a good career but feeling antsy about it mid-life is very common. You should see how many people reach out wanting to chat about transitions (btw @khemaridh & @p_millerd have really done great work on decision-making and framing the underlying dynamics)
I haven't really studied stuff like our relationship with work and all that so I can just offer a bit I have shared that I came to both by experience and observation...

Transitions are hard especially if you don't know the object level "job" you are transitioning to
Read 13 tweets

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