QUANT BLOG
A growing library on how to properly design, test and interpret options strategies.
Volatility
A straddle is usually described as a bet on a big move. More precisely, it is a bet on whether the move will be bigger than the one the market has already priced in.
· 9 min read
Read articleVolatility
The textbook says a delta-hedged option earns vega times the gap between implied and realized volatility. That is only true on average, and the spread around that average is often wider than the edge itself.
· 11 min read
Read articleData quality
A daily closing quote looks like a price you could have traded. It is a single snapshot, often out of sync with the underlying, and filling at its midpoint assumes execution skill the data cannot show. Here's how to quantify the damage.
· 11 min read
Read articleRisk
The Kelly criterion tells you the bet size that grows your account fastest. It assumes you know your edge exactly, and when you overestimate it, the same formula sizes you into zero growth.
· 9 min read
Read articleMarket structure
Retail narrative treats GEX as a near-deterministic lever: positive GEX compresses volatility, negative GEX explodes it. The mechanism is real — the magnitude is not what the narrative claims.
· 6 min read
Read articleStatistics
The Sharpe ratio tells you return per unit of volatility. It does not tell you how many strategies you tried before you found this one — which is exactly what the Deflated Sharpe Ratio corrects for.
· 6 min read
Read articleMarket structure
"Options" is a contract structure, not a single market. Same payoff logic, very different settlement, liquidity and volatility behaviour across asset classes.
· 9 min read
Read articleVolatility
Implied volatility is never observed directly — it is backed out of market prices by running Black-Scholes-Merton in reverse. Here is how to read the resulting surface.
· 10 min read
Read articleData quality
There is no official Greek value for any contract. Delta, gamma, theta and vega are model outputs — which is why two platforms quote two different numbers for the same option.
· 8 min read
Read articleArticles in the pipeline — published here as they're written.
Market research
Defining the event, the window and the universe before you look at the answer — the difference between research and data mining.
In writing · 7 min read
Statistics
A single stock gives you a few dozen earnings events. Why that hit rate tells you almost nothing, and how to widen the sample honestly.
In writing · 6 min read
Statistics
A practical guide to sample size, confidence intervals and the point at which a win rate stops being noise.
In writing · 6 min read
Risk
From fixed fractional to volatility-scaled sizing, and why max drawdown is the number that decides whether you can keep trading.
In writing · 9 min read
Market structure
Spreads, quote depth and where your fill actually lands — the microstructure details that decide net edge.
In writing · 7 min read
Backtesting
Splitting results by volatility and rate regime is the fastest way to find out whether you have an edge or a lucky sample.
In writing · 10 min read
Product
Patterns and phrasing that produce precise, unambiguous backtest specs on the first try.
In writing · 5 min read
Early access members get the full library plus the backtesting engine behind it.
