Notes from the options surface.
Working papers, strategy notes and periodic reporting on systematic options, volatility and portfolio risk.
Capital Delta Q2 2025 Quarterly Report
Comprehensive quarterly analysis highlighting strategic consolidation achievements including advanced MVP development, enhanced operational infrastructure, and preparation for full automation deployment and capital expansion initiatives.
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Vega: Harnessing Volatility to Optimize Your Options Portfolio
Learn how to leverage vega sensitivity to optimize your options portfolio and implement effective volatility-based trading strategies.
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Beyond Directional Bets: Building Systematic Delta Neutral Strategies
Exploring mathematical frameworks for delta-neutral options strategies that exploit pricing inefficiencies through systematic quantitative modeling.
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The Power of Theta: Mastering Time Decay in Options Strategies
Understanding how theta works and its impact on options strategies, with insights into time decay calculation and its non-linear behavior.
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Gamma: The Hidden Enemy of Delta-Neutral Strategies in 0DTE Options
Exploring why gamma becomes particularly problematic in delta-neutral strategies for same-day expiration options, with practical insights for traders.
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A Structured Approach to Options Trading Strategies
A comprehensive framework for classifying options strategies based on market bias, volatility expectations, and risk tolerance to enhance trading decisions.
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