The Outlier Trading Podcast Kris Abdelmessih on the Volatility Secrets Nobody Talks About!
Nov 7, 2025
In this discussion, Kris Abdelmessih, an options and volatility expert who shares insights on his MoonTower Substack, dives deep into the unpredictable world of volatility. He explains why longer-dated options carry a risk premium and demystifies the concept of 'at-the-forward' pricing. Kris also explores the quirks of delta metrics, revealing why they sometimes don't add up. He emphasizes the importance of intuition versus models in trading strategies, especially in zero-DTE scenarios, and highlights how cognitive biases affect traders' beliefs. It's a must-listen for traders looking to sharpen their strategies!
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At-The-Forward Is The Distribution Center
- At-the-forward is the center of the BlackāScholes distribution and the zero point for synthetic futures pricing.
- Use the forward to interpret why calls and puts can have equal prices far from spot for longer-dated options.
Compute Forward To Sanity-Check Strikes
- Estimate the forward by adjusting spot for interest minus dividends over the option tenor to find where calls and puts should equalize.
- Use that implied forward to sanity-check strike deltas and which strikes are 50-delta versus at-forward.
Why Call+Put Deltas Can Exceed One
- Deltas can sum to more than one because platforms may use inconsistent interest rates or implied vols for calls and puts.
- Also remember synthetic futures include carry, so synthetic delta can exceed 1 by roughly the interest rate factor.
