QUANT BLOG
A growing library on how to properly design, test and interpret options strategies.
Market 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
Backtesting
Mid-price fills on daily bars can turn a losing spread strategy into a beautiful equity curve. Here's how to quantify the damage.
In writing · 8 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
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