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.
Tweets
| Twitter Thread | Date | PDF unroll (no ads) | Keywords |
Derivative Notional and Counterparty Risk
| To 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 Options
| Problems with “Income From Options” | Nov 8, 2022 | Income from Options (pdf) | options, strangles, premium, margin calls, “tail leveraged” |
Sticky Delta or Sticky Strike
| Better 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 Volatility
| Skew 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 Derivatives
| The 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 |
| Vanna 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 | Vanna, Fixed-Strike, Volga, Vega |
| Calendar day effects in VIX, or why it tends to fall on Fridays and before holidays and rise on Mondays. | Feb 20, 2020 | Calendar Day Effects | VIX, Fridays, Holidays, one-month variance swap, implied volatility |
| VIX 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 Swaps
| Popular 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 |
- Why Tail Hedges have underperformed in 2022
- An option’s theta (theoretical rate of decay over time) is not “income” to an investor holding a short position.
- Large sophisticated prop firms and hedge funds running volatility arbitrage strategies in listed options effectively look like market makers in how they execute and manage positions.
- What you thought was magic alpha is almost always levered shit beta (March 2022 single tweet)
- Twenty Books for the Aspiring Derivatives Quant
- Pet peeves in options and derivatives (not surprisingly, includes Benn disdain for quoting volatility moves (e.g, VIX) in percentages)
- The infamous capped-vs-uncapped variance trade
- How would you hedge this rainbow variance option?
- The underlying of every fixed-maturity derivative is the forward price of the underlying to that maturity date, NOT the spot price
- S&P volatility Swap Hedged with a short ATM straddle Feb 2020
Trader Interview Questions
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