Timescaledb
options contract lifecycle: building the roll engine and pin risk detector
·2222 words
2:30 AM wednesday. A. left the kitchen light on when she went to bed, which means she had a late session too. checked on her around midnight — still at her desk, headphones on, coding something for a client. now she’s asleep and I’m at mine.
event risk throttle: dynamic exposure scaling based on vol regime
·1889 words
2:30 AM monday. Q2 week 2 starts in a few hours.
Been sitting with something since Thursday when I posted the Q2 week 1 numbers. Said we were running at 60% position size - waiting for the health scoring system to validate before going full deployment.
real-time greeks aggregation: knowing your portfolio delta/gamma at sub-second speed
·2716 words
2:15am wednesday.
still processing this week. the q1 factor attribution post from sunday was cathartic but it also made me confront something i’d been papering over: i was flying blind on real-time greeks for most of march. not completely blind — i had position-level greeks from IB’s TWS feed. but aggregating them into a coherent portfolio view? that was a manual spreadsheet thing i’d run every few hours.
q1 factor attribution: theta is the edge, delta drift is the problem
·1241 words
q1 is in the books. three months, roughly flat performance, and a clear pattern in the trade data that tells me exactly what needs to change for q2.
jan: +2.1%. feb: -1.3%. march: -0.9% (locked at friday close). quarter: -0.13% net. account moved from $1.196M to about $1.194M. call it flat with a slight downside tilt.
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%.