I trade and research U.S. equity index options, and write about how volatility is actually priced — by people who have to put on the trade.
我做美股 index options 的交易与研究，写volatility 到底是怎么定价的 —— 从真正要把交易做出来的人的角度。
I started on a trading desk at Goldman Sachs in New York and studied economics and computer science at Cornell. Most of my work is about what happens to a portfolio when volatility stops behaving, and what it costs to prepare for it.
我在纽约 Goldman Sachs 的交易台起步，在 Cornell 读了经济管理和计算机。我的工作大多在回答：当 volatility 不再按常理走时，一个组合会发生什么，以及提前做准备要付出多少代价。
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New York
Writing about index options, volatility, or how a hedge is really built? I'd be glad to hear from practitioners, researchers and editors.
如果你也在写或研究 index options、volatility，或者对冲到底该怎么搭，欢迎来自业界、学界和媒体的交流。
Get in touch联系我If put skew is not a forecast of a crash, what exactly is it the price of?
如果 put skew 不是对崩盘的预测，那它到底是什么东西的价格？
Approach思路
Read skew, term structure and implied correlation as the output of who must buy protection and who is able to sell it — not as the market's opinion.
把 skew、term structure 和 implied correlation 当作「谁必须买保护、谁有能力卖」的结果来读，而不是市场的看法。
What does a hedge really cost over a full cycle — including the part nobody quotes you?
一个对冲在完整周期里真正花了多少钱 —— 包括没人会报给你的那部分？
Methods方法
Decompose collars, put spreads and systematic overlays into carry, path and financing, and measure long-horizon drag against the right benchmark.
把 collar、put spread 和系统化 overlay 拆成 carry、路径和融资成本，并用正确的基准衡量长周期的 drag。
Current work进行中
Research in progress.
研究进行中。
Which operational details decide whether an options strategy survives contact with a real balance sheet?
哪些运营细节，决定一个期权策略能不能在真实的资产负债表上活下来？
Approach思路
Margin and netting, prime brokerage, custody and administration — the plumbing behind an options book, explained from the trading side.
Margin 与 netting、prime brokerage、托管和 administration —— 从交易的角度讲清楚一个期权账户背后的管道。
Current work进行中
Notes in progress.
笔记整理中。