Index options and volatility, written down carefully.
About
I trade and research U.S. equity index options — SPX, NDX and VIX-linked instruments. Most of my work is about what happens to a portfolio when volatility stops behaving, and what it costs to arrange things in advance so that it doesn't matter as much.
I began on a trading desk at Goldman Sachs in New York and now manage a portfolio at a multi-strategy hedge fund. I hold bachelor's and master's degrees from Cornell. I grew up in Shenyang and live in New York.
I write here because the things I find most useful about this market are rarely written down by people who actually have to put on the trade.
What I write about
Skew, term structure and implied correlation, read as the output of supply, dealer hedging and constraint rather than as the market's forecast.
Collars, put spreads and systematic overlays decomposed into their parts, including the part nobody quotes you. Long-horizon drag, measured against the right comparison.
Offshore structures, margin and netting, prime and administration — the operational detail that decides whether a strategy survives contact with the real balance sheet.
Writing
Put skew is routinely read as the market's estimate of crash probability. It isn't. It is the price of a constrained good, set by who has to buy protection and who is able to sell it — which is why it can steepen with no change in anyone's view. The piece ends on a claim you can check against the tape.
Contact
关于 index options 与 volatility，认真写下来。
关于
我做美股 index options 的交易和研究 —— SPX、NDX，以及与 VIX 挂钩的工具。我的工作大部分是在回答两件事：当 volatility 不再按常理走的时候，一个组合会发生什么；以及事先把结构安排好、让这件事不那么要紧，代价是多少。
我从纽约 Goldman Sachs 的交易台开始，现在在一家多策略对冲基金管理组合。本科和硕士都在 Cornell。我在沈阳长大，现在住在纽约。
我写东西，是因为这个市场里我觉得最有用的那些东西，很少由真正要把这笔交易做出来的人写下来。
写什么
把 skew、term structure 和 implied correlation 当作供给、dealer hedging 和约束条件的结果来读，而不是当作市场的预测。
把 collar、put spread 和系统化 overlay 拆成零件，包括没有人会报给你的那一部分。以及长周期的 drag —— 和正确的基准做对比。
离岸架构、margin 与 netting、prime 和 administration —— 这些运营细节决定一个策略在真实资产负债表上能不能活下来。
文章
put skew 常被当作市场对崩盘概率的估计。它不是。它是一个受约束商品的价格，由"谁必须买保护"和"谁有能力卖"共同决定 —— 这正是为什么它可以在没有任何人改变看法的情况下变陡。文章最后会给出一个你可以自己去数据里验证的结论。
联系