Dispersion Trading & Implied Correlation: CBOE COR1M/COR3M Arbitrage
How institutional volatility desks trade dispersion: selling index options, buying single-stock options, and exploiting the Correlation Risk Premium.
11 Derivatives Primers
Showing 11 Primers
Volatility & Derivatives: Options Greeks, Variance Swaps & Tail Hedging
Derivatives microstructure: options Greeks, dealer gamma hedging, 0DTE volatility pinning, VIX term structure contango and backwardation, dispersion trading, and volatility skew.
Systematic Flow Engines: Vol-Targeting Funds, CTAs & Risk Parity Mechanics
How algorithmic Commodity Trading Advisors (CTAs), Volatility Target strategies, and Risk Parity funds mechanically allocate capital and trigger market cascades.
0DTE Options: Volatility Suppression vs. Intraday Gamma Pinning
How Same-Day Expiring (0DTE) options dominate S&P 500 volume, compress intraday realized volatility through dealer gamma pinning, and create tail-risk barriers.
Realized vs. Implied Volatility: The Volatility Risk Premium (VRP)
Deconstructing the Volatility Risk Premium (VRP): why implied volatility structurally exceeds realized volatility, variance swaps, and short-volatility strategy risks.
VIX Explained: The Market's Forward-Looking Volatility Gauge
How S&P 500 options implied volatility is calculated, delta/gamma hedging, and interpreting VIX market regimes.
VIX Term Structure: Contango vs. Backwardation Regimes
Analyzing front-month vs. second-month VIX futures, roll yield decay, and detecting systemic panic capitulation.
Options Greeks & Market Maker Gamma Hedging (0DTE)
Delta, Gamma, Vega, Theta dynamics, positive vs. negative gamma regimes, and how 0DTE options dictate intraday price discovery.
Volatility Skew & The Volatility Smile Framework
Why out-of-the-money puts trade at implied volatility premiums, post-1987 crash-o-phobia, and commodity call skew setups.
Put/Call Ratios: Measuring Derivatives Positioning & Sentiment
Institutional vs. retail put/call ratios, options open interest positioning, and contrarian sentiment extremes.
Value at Risk (VaR) vs. Expected Shortfall (CVaR)
How quantitative desks calculate 99% VaR, the critical blindspot of traditional VaR, and Basel III Expected Shortfall fat-tail risk.
Commitments of Traders (COT) Report Explained
CFTC commercial hedgers vs. non-commercial speculators, positioning percentiles, and crowded trade reversals.