From the inside
A deliberately narrow set of subjects: options pricing, the risk systems underneath them, and the reading that shaped how I think about both. I have built each of these in production — a derivatives pricing engine and SPAN margining for 400k investors, a greenfield risk system at Revolut, execution and hedging at scale. Explanations of this material are not scarce. Knowing which details decide whether it holds up is.
Every page that carries a number runs on the same pricing engine as the calculators, so nothing here can describe a shape the tools do not produce.
Options
3 pagesThe concepts every strategy page assumes you already have.
What an option actually is
Calls, puts, strike, expiry and the difference between intrinsic and extrinsic value — the vocabulary everything else assumes.
ReadThe Greeks, without the calculus
Delta, gamma, vega and theta as four questions about the same position, and which one actually kills you.
ReadImplied volatility is the price
Why an option's quoted premium is really a volatility number, and what the smile is telling you.
ReadStrategies
11 pagesOne page per structure, each with a live payoff chart you can edit and open in the calculator.
Long call
The simplest bullish option: defined risk, unlimited upside, and a bill for time decay every day you are wrong.
ReadLong put
Downside exposure with a floor on the loss — the cleanest way to be short without unlimited risk.
ReadCovered call
Own the underlying, sell someone the right to take it from you above a set price, and keep the premium either way.
ReadCash-secured put
Get paid to bid below the market, with the cash set aside to buy if you are filled.
ReadBull call spread
Buy a call, sell a higher one. Cheaper than the call alone, with the upside capped at the short strike.
ReadBear put spread
The same trade pointed down: buy a put, sell a lower one.
ReadLong straddle
Buy the call and the put at the same strike. A bet on movement, indifferent to direction.
ReadShort strangle
Sell an out-of-the-money put and call. Collect premium while nothing happens — and carry an undefined tail.
ReadIron condor
A short strangle with both tails bought back. Same idea, defined risk, smaller credit.
ReadLong butterfly
A cheap, narrow bet that the underlying finishes at a particular price.
ReadCollar
Hold the asset, buy a protective put, and sell a call to pay for it.
ReadRisk
4 pagesHow the positions above are margined and measured — the systems side, which is the part I actually built.
SPAN, and why your margin is not what you expected
How exchange portfolio margining actually works: the sixteen-scenario risk array, spread charges, and the short option minimum that catches people out.
ReadVAR, and what it does not tell you
Value at Risk in one sentence, the three ways to compute it, the reason it is not a coherent risk measure, and why regulators moved to Expected Shortfall.
ReadDV01 and the shape of rate risk
The one number a rates desk actually watches, how it relates to duration and convexity, and why a single parallel shift is not enough.
ReadDynamic hedging, and where the premium goes
Sell an option, hedge it to expiry, and watch the premium leave through the hedge — why the price you collect is the price of the gamma you are short.
ReadLibrary
3 pagesWhere to go when this runs out — one page each for books, series and films.
Books
The reference texts worth owning, the narratives worth reading, and where to look when both run out.
ReadTV series
Longer form gets closer to the texture of the job than any film has managed — desk culture, hierarchy, and the parts nobody puts in a prospectus.
ReadFilms
Which films get the culture right even when they bend the mechanics, and which ones to watch knowing exactly what they are.
Read