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.

Tweets

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
Vanna is the cross-partial derivative of an option’s value with respect to spot price and fixed-strike implied volatility.Sept 22, 2022Vanna DefinitionsVanna, 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, 2020Calendar Day EffectsVIX, Fridays, Holidays, one-month variance swap, implied volatility
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

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