SPX
march vol spike: when the risk engine earns its keep
·1429 words
2:30am friday. rough week in the books.
march has been a whole thing. tariff headlines dropping every 48 hours, VIX spiking then partially recovering, nobody knows what SPX does next. january was decent (+2.1%), february went against me (-1.3%). march hasn’t been great either. week ending today, i’m down about $2.3k for the five sessions. month’s probably closing around -1%.
implied vol surface in python: stop guessing what the market thinks
·1944 words
4:30 AM. been staring at vol surfaces for three weeks straight. finally got the pipeline clean enough to write about it.
if you’re trading options without a vol surface you’re flying blind. period. everyone talks about delta and theta but the actual edge is in understanding where implied vol is mispriced relative to what it should be. that’s the surface. that’s where the money is.
first 50% profit close
·272 words
closed my SPX 4300/4310 call spread this morning for 50% profit
opened march 15 at $0.85 credit. closed today at $0.42 debit
net profit: $0.43 per spread = $430 on 10 contracts
modeling slippage the right way
·970 words
the slippage problem is worse than i thought # after 2 weeks live trading (10 total trades), my average slippage is $6.40 per spread