Benn Eifert’s Twitter Threads On Finance

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.


Twitter ThreadDatePDF unroll (no ads)Keywords

Derivative Notional and Counterparty Risk

To briefly reiterate, on derivatives notional and counterparty risk.Dec 6, 2022Derivatives notional and counterparty risk (pdf)ISDA, notional, interest rate swap, counterparty risk

Fallacy of Income from Options

Problems with “Income From Options”Nov 8, 2022Income 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, 2022Sticky 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 optionsOct 24, 2022Skew-Implied Covariance (pdf)Skew, Fixed Strike, Implied Volatility, Covariance

No-Arbitrage in Derivatives

The principle of no-arbitrage in derivatives pricingOct 10, 2022No arb in derivativesarbitrage, 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) modelsSept 27, 2022Black+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, 2022Dealer Gamma (pdf)Black & Scholes, Model vs Normalization, Implied Volatility, Volatility Surface

All About Vanna

Vanna is the cross-partial derivative of an option’s value with respect to spot price and fixed-strike implied volatility.Sept 22, 2022Vanna Definitions (pdf)Vanna, Fixed-Strike, Volga, Vega

What Forward Starting Variance is

Forward Starting Variance/Volatility Feb 18, 2020Forward Variance (pdf)Variance swaps, VIX Futures, Options

Calendar Day Effects in VIX

Calendar day effects in VIX, or why it tends to fall on Fridays and before holidays and rise on Mondays.Feb 14, 2020Calendar Day EffectsVIX, Fridays, Holidays, one-month variance swap, implied volatility

VIX & VIX futures/options

VIX and VIX futures/optionsFeb 14, 2020VIX & VIX FuturesVIX, 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 swapNov 28, 2022Structured Products Variance Swap (pdf)Risk Transformation, Speculative Excess, 2022 Collapse

Tail Hedge underperformance in 2022

Why Tail Hedges have underperformed in 2022Nov 19, 2022Tail Hedges (pdf)A slow, choppy grind down

A Lot More About Theta

An option’s theta (theoretical rate of decay over time) is not “income” to an investor holding a short position.Nov 19, 2022A lot about Theta (pdf)Using Taylor expansions to solve complex problems

Volatility Arbitrage Can Look Like Market Making

Large sophisticated prop firms and hedge funds running volatility arbitrage strategies in listed options effectively look like market makers Sept 21, 2022Arb Strategies (pdf)What the big boys are up to

Magic Alpha and Shit Beta

What you thought was magic alpha is almost always levered shit beta (single tweet)Mar 27, 2021Crypto Crash

Twenty Books for the Aspiring Derivatives Quant

Twenty Books for the Aspiring Derivatives QuantApril 11, 2022ImageSciFi / Fantasy

Some of Benn’s Pet Peeves

Pet peeves in options and derivativesJan 11, 2020Pet Peeves (pdf)includes Benn’s disdain for quoting volatility moves (e.g, VIX) in percentages)

Capped vs Uncapped Variance Trade

The infamous capped-vs-uncapped variance tradeJan 17, 2022Variance Swaps and Squeeth (pdf)Blowups during Covid crash

Hedging A Rainbox Variance Option

How would you hedge this rainbow variance option?Oct 18, 2021Theory & Practice on Managing Your BookSynthesizing more complex risks out of simpler building blocks

The Underlying of Fixed-Maturity Derivatives is A Forward

The underlying of every fixed-maturity derivative is the forward price of the underlying to that maturity date, NOT the spot priceJune 26, 2021Derivatives & Forwards (pdf)The forward reflects the term structure, the spot does not

Volatility Swap Hedged with a Short Straddle

S&P volatility Swap Hedged with a short ATM straddle Feb 19, 2020Vol Swap Hedging (pdf)Losing Money via “Smile Delta”

Trader Interview Questions

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