Option Alpha

Math PhD - Buy side quant

[Option Alpha @OptionAlpha3]

@AahanPrometheus Cool! Thx

[Option Alpha @OptionAlpha3]

@RodGordilloP Your chart is wrong.

[Option Alpha @OptionAlpha3]

@Jesse_Livermore Yes

[Option Alpha @OptionAlpha3]

@TheSpeculator0 I’m 90 bid

[Option Alpha @OptionAlpha3]

@__paleologo My personal belief is that fractional Kelly is practically “correct” but should/could be generalized to with CRRA utility. Any thoughts on this?

Fractional Kelly and CRRA agree for joint log normal, but CRRA will extend this for general distributions

[Option Alpha @OptionAlpha3]

@bennpeifert @Google The oracle has given you your prophecy. You can’t fight destiny

[Option Alpha @OptionAlpha3]

@pansareV I’ve had this thought. What if go crazy in my old age and forget appropriate risk controls? Or just have a really bad fat finger and don’t realize I put on a ton of risk.

I guess time to build the risk dashboard…

[Option Alpha @OptionAlpha3]

@jimdelisle @j_fishback I gotcha

[Option Alpha @OptionAlpha3]

@j_fishback Where can I get borrow?

[Option Alpha @OptionAlpha3]

@buccocapital @TheShortBear It’s done well

[Option Alpha @OptionAlpha3]

@jaydubs83 @patrick_oshag Double in 18 months pretty good call

[Option Alpha @OptionAlpha3]

@KrisAbdelmessih @moreproteinbars Wish there were more opportunities on west coast

[Option Alpha @OptionAlpha3]

@BeTheGrayMan @profplum99 @KrisAbdelmessih Here’s a fun exercise:

Suppose hypothetically QQQ goes up 1% a day everyday until it doubles in price from where it started. Ignoring borrow costs, ER, etc., how much is TQQQ up from where it started? I’ll just say: QQQ -> 2x TQQQ -> 8x. It replicates a cubic payoff before drag

[Option Alpha @OptionAlpha3]

@BeTheGrayMan @profplum99 @KrisAbdelmessih Vol drag isn’t a true drag. It’s the price of convexity. 2x ETFs are convex in the spot price on time spans longer than days. The vol drag is what balances the convexity. You can short the vol drag and gain from realized vol but you are also short convexity in the underlying

[Option Alpha @OptionAlpha3]

@searching4value From my POV, you found a nice, temporary edge that works with low capacity. Again from my POV, low capacity edges maybe more common than most people would think. I would give yourself credit and wouldn’t be so skeptical. The trades speak for themselves. That isn’t a random walk

[Option Alpha @OptionAlpha3]

Call me crazy, but @BillAckman should have played in the Wimbledon final today

[Option Alpha @OptionAlpha3]

@TheSpeculator0 lol so true. But it might be less than 40h tbh..

[Option Alpha @OptionAlpha3]

@profplum99 @EmanuelDerman Mike, with all due respect, please stop using this chart. Alpha is NOT the intercept when plotting returns vs TIME. Am I crazy here?

[Option Alpha @OptionAlpha3]

@bennpeifert ChatGPT wrote this for sure…