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Mar 27 13 tweets 3 min read
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?
Feb 23 7 tweets 2 min read
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
Feb 19 5 tweets 1 min read
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.
Jan 22 13 tweets 3 min read
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)
Jan 19 18 tweets 6 min read
Thread version of a recent post.

I'd describe as grout in your options thinking. It helps make connections between various concepts by showing you them from a different angle.

A Visual Appreciation For Black-Scholes Delta

⬇️(that arrow means I'm an OG guy account) ⏪A rewind of B-S basics

The equation was born from a principle of no arbitrage:

If you can replicate the cash flow of an asset with a strategy then the price of the asset should equal the cost of executing the strategy.Image
Nov 23, 2023 10 tweets 2 min read
This is from @dynomight7 always fun annual list of underrated things to be thankful for.

It really resonates. Image 2 nights ago my wife and I were discussing some people we know. Some maniacally ambitious. And talking about motivations and beliefs.

And a few points I come back to a lot that becomes more clear every year I age...there are billions of people...
Oct 5, 2023 17 tweets 5 min read
🖼️Visual Derivation of Straddle Approximation

We start with Black-Scholes and end up with compact approximation for ATF straddle, call, and put Image 1. The mean of the distribution Image
Oct 2, 2023 29 tweets 6 min read
Moontower #200 as 🧵

Straying from the typical format for this one. No options talk. This is about spirit. Sprinkled with some middle-agedness and being a parent. And flourishing.

We'll wind through some ideas —you can rummage through them and keep what you need. As an audience you are strivers. Addicted to growth. Always dissatisfied. Looking for an edge. But you’re also self-aware. The most viral Moontower post in 200 issues was Ambition As An Anxiety Disorder (no link elmo see!).

You get it.
Jul 10, 2023 26 tweets 7 min read
A little walk thru the new post...

notion.moontowermeta.com/what-we-can-le… What prompted me to write the post in the first place
Mar 25, 2023 6 tweets 2 min read
I was stoked to write on Boundless while Paul took a break to enjoy being a first-time dad. His writing, thinking, advice have all been influential to me so it was fun to return something back to the master. In separate news, I'm on this app because it's 5am and I can't sleep after the first day in Saigon...the day started tough
Mar 23, 2023 13 tweets 2 min read
For many, the choice feels binary — a fulfilling career that you don't need crave vacations from or making ends meet. The first is an existential problem (how do I want to spend most of my waking hours). The second is a technical one.
Mar 15, 2023 32 tweets 6 min read
One of my favorite testimonials:

"After reading your latest Moontower and playing StockSlam/chatting with you, I definitely have more clarity of thought around your writing and the ideas around trading. (I definitely wasn't thinking with as much precision during StockSlam)" This was the section of the Moontower referenced published as its own post:

moontowermeta.com/mock-trading/
Mar 7, 2023 10 tweets 2 min read
So 0DTEs are a thing. Expiration every day. Lovely.

A few unsolicited thoughts...

First of all, "expo" trading as we'd call it was IMO a pure trader's market. You don't need sheets or a model. Just listen to where the straddle is trading on legs, know the asset price and what time it is. You could price the board in your head.

You have muscle memory "at this time of day in this asset the straddle would be fair around X"

In open outcry it was about speed
Mar 6, 2023 25 tweets 8 min read
🌙New Post: The Snake Eyes Option

This homework assignment builds gradually towards the pricing of an option in a game scenario.

It can be used as an interview question for a junior trader position or any position that requires computational thinking

notion.moontowermeta.com/the-snake-eyes… Snake Eyes is a game my 1st grader plays at school.

The rules are simple:

1. Roll a pair of dice and record the sum
2. Continue until you roll a ‘2’ (but don’t record the ‘2’)
3. Your score is the sum of all your rolls

Screens of examples:
Feb 27, 2023 6 tweets 2 min read
New Homework:

Practice Pricing Options By Hand

notion.moontowermeta.com/practice-prici… A stock is fairly priced at $100. In one year, it will either be $50 or $125. What are the probabilities that make the stock fairly priced?

Step-by-step you will complete the following table.
Feb 20, 2023 19 tweets 6 min read
New Post: Using Log Returns And Volatility To Normalize Strike Distances

moontowermeta.com/using-log-retu…

Thread version... We start with a review Image
Feb 13, 2023 19 tweets 5 min read
New Post: Understanding Log Returns

I linked to this in Money Angle For Masochists section of Moontower yesterday.

Here's the thread version...

moontowermeta.com/understanding-… It starts with a review of transforming a total return into a compounded one if you define the compounding interval
Feb 7, 2023 5 tweets 2 min read
🔥Bay Area peeps🔥

StockSlam March Sessions are in the works!

Same recipe as the NY October sessions.

☮️Totally free
☮️Learn
☮️Have fun
☮️Network Steiner will be visiting the Bay (and we are working on @moreproteinbars too!)

Tentative dates are March 9th and 10th.

I will post an application later today.

The locations will be Downtown SF and/or Walnut Creek depending on the application feedback

More information...
Feb 7, 2023 21 tweets 4 min read
If you are on the outside looking in at trading, you might think there's some magic about knowing what a good trade is.

In the past week, I've explained the same idea to 2 different people so might as well say it here... In the day-to-day grind of trading options/derivs, all the sharps know the good side of a trade (sports sharps, is this true there as well?)

If you could freeze time Zak Morris style and poll them you'd see that quickly. If you ask them why they want to take that side...
Feb 6, 2023 34 tweets 7 min read
New Post: Well, What Did You “Expect”?

The word “expect” in math terms and in colloquial terms is a bit different. This post unpacks that idea and shows how confusing the meanings can lead to disappointment

What's inside...

moontowermeta.com/well-what-did-… In math, what you expect is just an average or "arithmetic mean". Sum a bunch of numbers, divide by the quantity of numbers.

"Expectancy" is a weighted average where the probability is the weight.
Jan 25, 2023 10 tweets 2 min read
Wife and I are laughing but knowing how school are today the 4th grader is prolly gonna get in trouble...so there's this currency in the school called "smile tickets"... You get smile tickets for being kind, as thank yous for working with younger kids, etc.

The smile tickets can be used for rewards like little toys (slinkies, squishy balls, earning) or classes can pool tickets to get extra recess time etc.