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!
💥【Decoding Options Arbitrage: 8 Lessons to Master the Derivatives Market!】💥
🚀 Core Highlights
1⃣ Top Strategy: Unveiling a quantitative arbitrage model with an annualized return of 100.3% (Sharpe Ratio 6.2, Calmar Ratio 4.4)
2️⃣ Hands-on Hardcore: Practical use of Python + Excel, covering the entire chain from BS pricing, high-frequency market making, to AI predictions
3⃣ Extreme Risk Control: Black Swan drawdown only 4%, recovered to 2% in 2 weeks, real BTC futures annualized at 70%
Note: This is a 3-minute condensed video; for more comprehensive information, please check the Twitter Thread for the full 13-minute version!
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