Blog
Volatility research, trade breakdowns, and platform notes — in progress. First posts are on the way.
What Is the Variance Risk Premium — and Why It Persists
Options have been overpriced, on average, for decades. Where the variance risk premium comes from, why it survives being publicly known, and how to measure it per name.
Implied vs. Realized: Reading the Gap Before You Sell
IV/RV ratios look simple until you pick the wrong realized window. How to compare implied against realized volatility without fooling yourself.
Earnings Vol Crush, Quantified
What actually happens to implied volatility through an earnings print — measured across hundreds of events — and when the implied move overpays.
Term Structure 101: Contango, Backwardation, and What They Pay
The shape of the volatility curve is a price signal. Reading tenor spreads, inversions, and what an upward-sloping curve pays a systematic seller.
Position Sizing Short Vol: Kelly Without Blowing Up
Short volatility returns are left-skewed — full Kelly is a blowtorch. Fractional sizing, VaR-based risk units, and why the distribution matters more than the mean.
Skew: What the Smile Tells You About Crash Pricing
Put skew is the market quoting a price for disaster. How to read the smile, when skew is rich, and what it means for strike selection.
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