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Bootstrapping Into Quant Trading
- Harel Jacobson learned derivatives by self-study after being hired despite no formal background and read options books obsessively.
- He transitioned from market-data work to quant trading and survived market shocks like Lehman and the 2010 flash crash early in his career.
Volatility Drives Theta–Gamma Tradeoffs
- Options decompose into intrinsic value and time value, and time value scales with variance and sqrt(time).
- Volatility drives both theta and gamma: high vol raises theta and lowers gamma, low vol raises gamma and lowers theta.
Exploit Relative Vol Mispricing
- Trade relative mispricings by comparing implied volatility to your forecast of forward realized volatility.
- Buy short-dated volatility when it looks cheap versus expected realized moves and sell long-dated expensive volatility.