Research
Research notes
Each note is the work behind one gate. They are written in the order they were learned, which is not the order they would appear in a textbook.
Leverage is priced. Spread is not.
Four calls at matched delta appeared to offer between 14% and 94% per 1% of underlying move. Adjusted for implied volatility they were within four points of each other.
October 2026Strike selection dominates thesis
A self audit found every open call needed a move between 7.6% and 23.8%. A contract on the same theme at delta 0.48 returned 77% on a 2.6% move.
October 2026What an earnings print actually pays for
A case study where the beat was irrelevant, the implied move was more than double the realised one, and the tradable consequence was two names removed from the company that reported.
August to October 2026Three liquidity traps that pass the obvious checks
A one lot bid behind a tight spread, open interest with no volume, and event driven volatility contagion into names that are not reporting.