Volatility
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.
tariff week post-mortem: what the data actually showed
·1510 words
2:30 AM monday. week one of what i’m calling “the post-tariff-chaos era” starts in a few hours.
last week was one of those that splits into a clear before and after. monday and tuesday felt like freefall — VIX went from 20 to 32 in about 36 hours, SPX dropped hard, options spreads blew out 3-4x, and my event risk throttle (which I built the week prior and wrote about here) was earning every line of code it took to build. then wednesday happened. whoever made the tariff pause call did it at 1:07 PM eastern and watching the S&P rip 8% in ninety minutes while running algorithms was… a lot.
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.
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%.
adaptive stop losses - why fixed stops are leaving money on the table
2:30am wednesday.
been refactoring my exit logic all week.
fixed stop losses are lazy. there I said it.
the problem with fixed stops # “just use a 2% stop loss.”
volatility regime detection - when to switch strategies
the market doesn’t care what strategy you’re running.
it runs whatever regime it wants.
your job is to detect the regime and adapt.
why regime matters # every strategy has conditions where it crushes and conditions where it bleeds.
vix term structure algo - contango/backwardation trading
·776 words
been researching VIX term structure trades.
contango vs backwardation. predictable patterns.
finally got an algo working.
the concept # contango: front month VIX < back month VIX
election night - watching, not trading, wild swings
·223 words
election night.
watching everything. trading nothing.
the action # 7pm EST: polls closing, futures flat
9pm EST: swing states too close to call, futures dip -0.5%
earnings volatility filter - implementation and early results
·733 words
been running the earnings volatility filter for a week now.
early results are promising.
the problem # earnings = binary events. stock moves 5-10% or nothing.