Lesson 32: "Practical Risk Control with Greek Letters" (Arbitrage Course Section 2)
Suitable for players who want to use options to implement main strategies, learn options arbitrage well, capture mispricing, and achieve steady compounding!
① Course Highlights:
Using Taylor expansion at the beginning and end, a deep quantitative and curve-level interpretation of delta, gamma, vega, and theta, especially Gamma-theta efficiency, to gain a deeper understanding of surface arbitrage through this principle.
② Preparation:
Club members are advised to review 2 sections of the basic Greek letters course: Lesson 2 and Lesson 19. Be sure to repeatedly watch Lesson 19, as this session is entirely quantitative and involves various curves, without visual cases; visual cases are the foundation of understanding!
③ Position Suggestions:
In the case of a 0 delta exposure or a static opportunity with a favorable delta exposure, you can participate fully in the U-based account; if there are unfavorable theta and vega exposure opportunities, you can participate according to the maximum drop down you can accept.
④ Course Time:
August 9 (Saturday) at 8:00 PM
⑤ Interactive Supplement:
This lesson is the 2nd of 8 core lessons, and it is recommended that everyone try to participate in the live broadcast!
For complex questions in the club group and arbitrage course group, you can leave messages in the group, and live answers will be provided; for questions I don't understand, I will clarify them later through private messages or group replies!
💥 [Deciphering Options Arbitrage: 8 Lessons to Take You to Play in the Derivatives Market!] 】💥
🚀 Quick facts about core benefits
1⃣ Top Strategy: Demystifying the Quantitative Arbitrage Model with 100.3% Annualized Return (Sharpe Ratio 6.2, Karma Ratio 4.4)
2️⃣ Practical hardcore: Python + Excel dual tools are practiced, covering the whole chain of BS pricing, high-frequency market making, and AI prediction
3⃣ Extreme risk control: the black swan drawdown is only 4%, repaired to 2% in 2 weeks, and the real BTC futures are now 70% annualized
Note: This is a 3mins condensed version of the video, please see the full version of Twitter Thread 13mins for more comprehensive information!
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