Years worth of option education in under 90 minutes

✔️✔️Watch over my shoulder to see how many things you can learn about options.
Modeling a vol curve
✔️Computing a forward
✔️Specifying a vol curve with standard deviation gridpoints
✔️Computing the gridpoints
✔️Inputting skew parameters at the points to fit the market
✔️Using Excel’s linest function to get the coefficients of an n-order polynomial
✔️Using the curve to estimate IV for any strike
Option valuation
✔️Implementing Black Scholes for European-exercise style options
✔️Includes greeks and N(d1) and N(d2)
✔️Numerical methods for estimating gamma and theta
Interpreting skew
✔️How large skew values lead to counterintuitive probabilities as the implied distribution balances probability with magnitude
✔️Using vertical spreads to see the implied distribution
✔️Changing skew parameters to watch the spread prices change and the distribution shift
✔️How skew “corrects” the Black Scholes distribution to match empirical distributions
✔️Comparing implied distributions to “flat sheet” distributions
Understanding vol changes day over day
✔️The difference between fixed strike and “floating” strike vol changes
✔️How fixed strike vols change arise from the interaction of spot moves and skew parameters change
✔️Why fixed strike vol changes drive your p/l
Dissection
✔️How market makers actually use classic option structures and synthetic relationships
✔️Option traders “chunk” their positions to understand them just as seasoned chess players don’t see random configurations of pieces but see “mini-themes” that they understand deeply. For option traders these themes are structures like butterflies and condors
✔️How market makers “take structures out of the position” to minimize hedging costs
Decomposing vol p/l from greeks
✔️Learn how to use your gamma and theta to estimate the realized vol portion of your p/l
✔️Learn how to use your vega to estimate the implied vol portion of your p/l
✔️See how delta p/l comes form options and share positions
✔️Understand how the tug-of-war between gamma and theta relates to the stock’s move on the day
Uncategorized
✔️Pulling market data into Excel
✔️why the late 90s tech bubble was not irrational and how option markets understood that
✔️bubble distributions from the lens of the option market
✔️Put-call parity
✔️An intuitive way to estimate gamma p/l from middle school physics math: delta = velocity, gamma = acceleration, price change = time passage, and distance = p/l
✔️This shows why p/l is a function of the stock move squared

[@filippofanin7664]

awesome video and very helpful for thinking about portfolio exposure in a comprehensive and coherent way. Thank you

[@kurtosis0826]

Very useful video.... Thank you Kris ♥️

[@OtterMorrisDance]

Great video Kris, thanks for taking the time to put this together.

[@DMDyne99]

Appreciate you, Kris! Top-tier commentary as usual.

[@ravi78603]

This is invaluable work ! This is truly amazing high quality contribution to a less known field. Any comments on best providers of data to pull ? Is there a discord that you support ?

[@nuttttylg]

really really enjoyed this. Thanks a bunch Kris

[@djambazov84]

Lets go SHOX !!

[@ismaelersoz]

if vol term structure is going up then sell calendar spreads or vice versa. Anything else I missed?

[@aryanmanjunatha9265]

could please share the excel file