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 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