Benn Eifert’s contributions to the field of finance are impressive but can be hard to find. I’ve compiled links to some of his Twitter tweets below. I have also collected links to his blog posts and podcasts.
TweetsTwitter Thread Date PDF unroll (no ads) Keywords
Derivative Notional and Counterparty RiskTo briefly reiterate, on derivatives notional and counterparty risk. Dec 6, 2022 Derivatives notional and counterparty risk (pdf) ISDA, notional, interest rate swap, counterparty risk
Fallacy of Income from OptionsProblems with “Income From Options” Nov 8, 2022 Income from Options (pdf) Options, strangles, premium, margin calls, “tail leveraged”
Sticky Delta or Sticky StrikeBetter to forget that you ever heard “sticky delta” or “sticky strike” vol heuristics. Oct 25, 2022 Sticky Delta Sticky Strike (pdf) Sticky Delta, Sticky Strike, Floating Strike
Skew, Covariance between returns & Implied VolatilitySkew tells you about the market-implied level of statistical covariance between an underlying asset’s returns and the implied volatility of its fixed strike options Oct 24, 2022 Skew-Implied Covariance (pdf) Skew, Fixed Strike, Implied Volatility, Covariance
No-Arbitrage in DerivativesThe principle of no-arbitrage in derivatives pricing Oct 10, 2022 No arb in derivatives arbitrage, forward contracts, carry costs, hedging, higher order risks, delta hedge
Black Scholes, Model vs Normalization (very good!)Big daddy of all elementary confusions in derivatives: Black-Scholes (and related) models Sept 27, 2022 Black+Scholes, for Normalization (pdf) Black & Scholes, Model vs Normalization, Implied Volatility, Volatility Surface
Dealer Gamma Positioning (not as central as you might think)Dealer Gamma Positioning Sept 27, 2022 Dealer Gamma (pdf) Black & Scholes, Model vs Normalization, Implied Volatility, Volatility Surface
All About VannaVanna is the cross-partial derivative of an option’s value with respect to spot price and fixed-strike implied volatility. Sept 22, 2022 Vanna Definitions (pdf) Vanna, Fixed-Strike, Volga, Vega
What Forward Starting Variance isForward Starting Variance/Volatility Feb 18, 2020 Forward Variance (pdf) Variance swaps, VIX Futures, Options
Calendar Day Effects in VIXCalendar day effects in VIX, or why it tends to fall on Fridays and before holidays and rise on Mondays. Feb 14, 2020 Calendar Day Effects VIX, Fridays, Holidays, one-month variance swap, implied volatility
VIX & VIX futures/optionsVIX and VIX futures/options Feb 14, 2020 VIX & VIX Futures VIX, VIX Futures, variance swap, volatility, Implied volatility, VIX not tradable, VIX options, term structure
Structured Products and Corridor Variance SwapsPopular Asian and European structured investment products, exotic derivatives dealers, and enigmatic corridor variance swap Nov 28, 2022 Structured Products Variance Swap (pdf) Risk Transformation, Speculative Excess, 2022 Collapse
Tail Hedge underperformance in 2022Why Tail Hedges have underperformed in 2022 Nov 19, 2022 Tail Hedges (pdf) A slow, choppy grind down
A Lot More About ThetaAn option’s theta (theoretical rate of decay over time) is not “income” to an investor holding a short position. Nov 19, 2022 A lot about Theta (pdf) Using Taylor expansions to solve complex problems
Volatility Arbitrage Can Look Like Market MakingLarge sophisticated prop firms and hedge funds running volatility arbitrage strategies in listed options effectively look like market makers Sept 21, 2022 Arb Strategies (pdf) What the big boys are up to
Magic Alpha and Shit BetaWhat you thought was magic alpha is almost always levered shit beta (single tweet) Mar 27, 2021 Crypto Crash
Twenty Books for the Aspiring Derivatives QuantTwenty Books for the Aspiring Derivatives Quant April 11, 2022 Image SciFi / Fantasy
Some of Benn’s Pet PeevesPet peeves in options and derivatives Jan 11, 2020 Pet Peeves (pdf) includes Benn’s disdain for quoting volatility moves (e.g, VIX) in percentages)
Capped vs Uncapped Variance TradeThe infamous capped-vs-uncapped variance trade Jan 17, 2022 Variance Swaps and Squeeth (pdf) Blowups during Covid crash
Hedging A Rainbox Variance OptionHow would you hedge this rainbow variance option? Oct 18, 2021 Theory & Practice on Managing Your Book Synthesizing more complex risks out of simpler building blocks
The Underlying of Fixed-Maturity Derivatives is A ForwardThe underlying of every fixed-maturity derivative is the forward price of the underlying to that maturity date, NOT the spot price June 26, 2021 Derivatives & Forwards (pdf) The forward reflects the term structure, the spot does not
Volatility Swap Hedged with a Short StraddleS&P volatility Swap Hedged with a short ATM straddle Feb 19, 2020 Vol Swap Hedging (pdf) Losing Money via “Smile Delta”
Trader Interview Questions
Click here to leave a comment