Thetadata
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.
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.
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%.
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.
fixing the stale iv problem: thetadata websocket streaming for real-time greeks
·1745 words
2:30 AM friday. been at this since 9 PM.
promised myself two weeks ago, right in the middle of the tariff chaos, that i’d actually fix the IV rank staleness issue. the signal quality scoring work was the band-aid — a composite gate that tells the system “this signal isn’t reliable right now.” it worked. it’s in production. but the underlying problem was unchanged: during the spike, my IV rank was being computed from options data that was 10-14 minutes old. the signal wasn’t wrong, technically. it was just answering a question about a market that no longer existed.
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.