Infrastructure
expiration day: everything is already automated
·2098 words
2:30 AM. may 15.
today is standard monthly options expiration. third friday of the month. the SPX condors i’ve been running since late april close today, or they already closed this week because the system flagged them as targets before i ever had to think about it.
roll logic: automating when to hold, roll, or close short premium
·1958 words
2:15 AM wednesday.
A. made pasta around 7, crashed by 10 - she had a brutal deadline at work today. i cleaned the kitchen, sat down to “just check something,” and have been staring at this roll management code for four hours.
one year: system check
·1253 words
5:30 AM. may 11.
she went to bed before me last night, which almost never happens. i stayed up reading market structure notes until around 2, realized sleep wasn’t coming, made coffee. opened the laptop.
funding rate harvest: neutral crypto carry when momentum breaks
·1610 words
2:15 AM. friday.
A. is asleep. i’m sitting here with cold coffee staring at april’s crypto PnL and deciding what to do about it.
BTC momentum strategy: -$800 for april. wrote about this monday. stale params, wrong regime. fair enough. i’m fixing the walk-forward pipeline. but even when that’s running clean, the strategy has real variance. some months it just doesn’t work.
vix futures term structure as regime filter — auto-switching theta vs momentum
·1789 words
late night. A. went to bed around 10:30, told me not to stay up too late. i said “just finishing something.” she gave me that look. it’s now 2 AM.
april done. built a signal quality gate with LightGBM.
·2161 words
2:15 AM. saturday.
april closed today. before I get into what I actually built this week I’ll do the quick numbers.
april final: +$15,800. minor revision down from the +$16,500 estimate I had wednesday — a few iron condor legs settled a tick or two against on friday’s close, plus a small NQ position gave back $430 into the bell. nothing significant. still a clean month.
may cycle setup: scanning the iv surface, automating strike selection
·1982 words
2:30 AM. wednesday.
april is basically wrapped. last weekly expiration cleared friday. monday was flat, tuesday had one small SPX position that ticked through on delta and I let it ride — closed today for +$1,100. running estimate: april MTD somewhere around +$16,500 when everything settles. YTD is going to land around +1.5%.
execution quality tracking: slippage attribution across 40 algo positions
·2014 words
2:45 AM monday.
A. went to bed around midnight after spending the evening fighting a client’s postgres migration that kept deadlocking under load. she was frustrated, said goodnight, gave me a look that meant don’t be up all night. I said I wouldn’t be.
april theta harvest: weekly closed clean, colo queue backed up, thursday hit different
·1534 words
2:30 AM. friday night.
A. made chicken marsala — she does it maybe once a month and I forget every time how good it is. ate around 7, she went back to her desk, lights off in the bedroom by midnight. apartment’s quiet. been staring at P&L since 11.
nq momentum signal: adaptive lookback after the tariff vol test
·1975 words
2:30 AM wednesday. A. finished something around 1 and went to bed still holding her coffee mug. found it on the counter half-full when I went for water. she’s like that when she’s in flow — stops the world when she figures it out.