Garrett DeSimone, Head of Quantitative Research at OptionMetrics, discusses his dissertation on event risk premia in single stocks and the implications for option pricing. They delve into the impact of macro events on options trading, the challenges of pricing options accurately, and the evolving nature of option markets. They also explore hedging strategies in a low VIX environment, portfolio scaling using implied downside volatility, and developing a model for calculating implied dividends in the options market.

Garrett DeSimone, Head of Quant Research at OptionMetrics, discusses various aspects of the Option environment including OptionMetrics, out of the money put, fat tails, long-dated options, and perspectives on the market. The discussion also touches on tail risk hedging, analytical tools for options-based research, and the use of Python and C++ in their work.