a talk I gave at a quant bootcamp
Friends,
First order of business…this week moontower.ai launched Workflows.
About Workflows
A quick reminder of how option enjoyyyyers are sorted into 2 camps.
Camp 1: Investors who start with an opinion on a stock. They go to the option chain to express it and accept the posted price as fair. This is the vast majority of option users. Using options for delta or possibly “income” which still maintains a delta.
Camp 2: Vol traders invert the process. They’ll concede the stock is priced about right, since that’s not the skill they bank on. Instead, their discernment goes into the derivatives where they search for relative value of contracts on the volatility surface.
Moontower originates from camp #2, but our new Workflows feature is to serve camp #1.
There’s 3 suites, each one is organized around an intent that drives your screening process married to the Moontower lens for finding value.
Income is for selling covered calls and cash-secured puts.
➡️ Introducing Income Workflows
Defensive is for buying protection, or replacing a long position with calls or spreads.
➡️Introducing Defensive Workflows
Collars is for investors willing to finance protection by selling some of their upside.
➡️Introducing Collar Workflows
You posts explain each suite in more detail but we built them after talking to clients about their specific processes. The interface will be intuitive based on how investors usually screen for these ideas except our opinionated analytics are quickly narrowing and sorting to accelerate your workflow. Hence the name.
“Income”
We use the word “income” only because that’s what the investor community recognizes. File that in the marketing hall of fame next to calling death insurance “life insurance”.
The focus on premium without a consideration for what it gives up is like talking about the price of anything without considering the value received. At worst, an investor sells calls without considering whether the option is cheap or expensive which is understandable. The knowledge and the tooling to answer that question have never been simple. Investors will default to non-vol-aware heuristics like sorting for the highest premium or sorting for the highest implied vol. Sure, you’ll find the option “which option costs the most”, but not “which option is most expensive.”
Most investors understand that a high P/E stock isn’t expensive if the earnings are compounding fast enough to deserve it. They understand that a low P/E stock can be a “value trap”. The options market is capable of the same distinctions with respect to option premiums.
Workflows pull together pieces of the vol surface and the stock’s own behavior to compare the relative value of options across names. The lens is entirely cross-sectional. Whether it’s your watchlist, a sector, or your portfolio of names vol surfaces are scored to one another based on what’s typical and what’s not in the current market in addition to considering the names own history.
Workflows acts like a cheat sheet but if you want more control every screener filters on any column, groups by any column, and carries a long roster of columns beyond the ones we show first. Intersect our scores with whatever your process already leans on : what IV has done in the past week, a correlation limit, how realized volatility is changing, how many standard deviations a stock is from its moving average, and so on.
We’ve preloaded a set of house screens (see the individual posts) but you can build and save your own.
In short, the value prop is whether you invest for your own account, advise clients, or just want to see the options market from the perspective of your intentions, you’ll spend less time assembling the picture and more time deciding what to do about it.
This is the call-to-action part: Sign up
Seriously, it’s bad-ass.
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a talk I gave at a quant bootcamp
I’ve praised Ricki Heicklen’s Arbor trading bootcamp countlessly over the past few years. I’ve recommended it, sent my friend’s son to it as he was entering college, been a student in that room and this past winter, a speaker.
The bootcamp reminds me of how lazy my own thinking can get. That reasoning and decision-making are practices. It also reminds me that I’m a midwit. I’m definitely the dumbest person in the room, but I can hide that behind crystallized knowledge and experience. I have perspective that comes from simply having had a lot more cycles to think about certain topics, and it is from that position that I conjured a talk that could actually get the whizzes in the room’s attention.
The setting is casual and kind so I took the flatteringly favorable feedback with a grain of salt but not so much that I wouldn’t recycle it here.
I hope you enjoy this talk I gave at the Arbor bootcamp (and thanks to the Arbor team for recording it!)
[I expect to be at the next bootcamp Oct 9-12 in SF which btw is my favorite time of year in SF weather-wise. It’s also Fleet Week. Nothing like watching the Blue Angels fly over the marina and all the ships in the Bay. I don’t know if Ricki planned it to sync up but either way it’s a bonus for everyone.]
