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Research Directions

Options and Volatility Latest Activity

Research and rules on option pricing, Greeks, volatility surfaces, and option strategies — a core set of topics for option traders.

58 related activitiesLast 30 days 47 itemsFeatured among them 2 items

Updated

Activity Archive · Page 3 页

7 OctWedIssue 41–58 items
  1. Moontower58

    How to Express a Specific View Using Vertical Spreads: A Practical Review of an Options Trade Around Nike’s Earnings

    In a trading lab at the Robinhood Summit, the author used Nike’s (NKE) after-hours earnings release on October 1, 2025, as a backdrop to demonstrate how to express a specific directional view using vertical spreads. At the time, NKE traded around $36, and the $36 straddle implied an expected move of about $3 (8%). The author chose to buy the 38.5/39 call vertical for a premium of $0.12, which would pay $0.50 if the stock closed above $39 at expiration, for a risk-reward ratio of roughly 3:1.

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6 OctTue
  1. Quantocracy24

    Quantocracy's Roundup of Quantitative Research Links for October 5, 2026

    Quantocracy has compiled recent quantitative research-related links as of October 5, 2026, covering 5 quantitative research pieces on different topics. The content includes a study on the century-long history of meme stocks, methods for constructing statistically valid backtests, market reactions following analyst downgrades, a comparison of 200-day moving average and volatility targeting strategies, and an introduction to the Orthogonal Clustering Risk Parity (OCRP) strategy.

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5 OctMon
  1. Quantpedia62

    A century of meme stock research: identifying speculative characteristics using market data, with a weekly portfolio achieving a five-factor plus momentum alpha of 11.5% annualized

    The SSRN paper "A Century of Meme Stocks and the Price of Coordination" proposes training machine learning models using market and company data to identify meme stocks, extending the traceable "memeness" indicator back to 1926.

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4 OctSun
  1. Moontower51

    Moontower Recaps Robinhood Summit Options Education: Kelly Criterion, Directional Value of Options, and Analysis of Unusual INTC Options Flow

    The author participated in an options buying education session and a roundtable for trading platform data providers at the Robinhood 2026 Summit in Houston, recapping the Kelly Criterion supporting course, the profit and loss comparison logic of buying options versus holding the underlying stock, and the analytical approach for unusual INTC options flow.

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1 OctThu
  1. Quantocracy31

    Quantocracy Latest Quantitative Research Link Roundup for September 30, 2026

    Quantocracy released its latest roundup of quantitative research links on September 30, 2026, covering areas such as quantitative strategy replication, machine learning cross-sectional factors, quantitative trading podcast analysis, and correlation and volatility research. This includes the launch of the Quantpedia Awards 2027 competition, a replication of the intraday momentum strategy proposed by Gao et al. in 2018, and a systematic summary of the 335th episode of a quantitative trading podcast.

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30 SeptWed
  1. Deribit Insights38

    Block Scholes Week 40 Crypto Derivatives Market Analysis Report

    Block Scholes has released its Week 40 crypto derivatives market analysis report, noting that against a macro backdrop of rising oil prices, the ongoing U.S.-Iran Strait of Hormuz standoff, and deepening U.S. Treasury sell-offs, BTC prices have consolidated in the $82,000 to $84,000 range, while spot BTC and ETH ETFs have recorded net capital inflows for over 7 consecutive days.

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  2. OpenBB：GitHub Releases60

    OpenBB V5 Released: License Changed to Apache-2.0, Core, CLI, and Most Providers Upgraded to 2.0

    OpenBB has released the V5 major version line. The openbb meta-package is at 5.0.0, while the core, CLI, API, MCP server, router, and most providers are at 2.0.0. openbb-devtools is at 2.0.1, openbb-charting is at 4.0.0, and openbb-imf is at 3.0.0.

    Key Takeaways:OpenBB V5 changes the license to Apache-2.0 and migrates to hatchling/uv packaging, a layered openbb.toml configuration, and a CLI 2.0 spec file mechanism. These changes can be used to evaluate upgrade paths and available data sources.

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17 SeptThu
16 SeptWed
3 SeptThu
28 AugFri
  1. HKEX: Press Releases56

    HKEX announces weekly and monthly options will launch on SHEIN stock on its September 1 listing day, with derivative warrants permitted and the stock added to the designated securities list for short selling

    HKEX announced that on the first day of listing of SHEIN Global Holdings Limited (stock code: 625) on the HKEX securities market on September 1, 2026, weekly and monthly options on its stock will be launched simultaneously, issuers will be permitted to issue SHEIN derivative warrants on the listing day, and SHEIN stock will be added to the designated securities list for short selling.

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27 AugThu
  1. Deribit Insights40

    Block Scholes Weekly Crypto Derivatives Analysis: Week 35

    Block Scholes released its Week 35 crypto derivatives market review. Influenced by the U.S. Treasury's plan to expand Treasury repo operations and Trump pushing the Senate to pass the Clarity Act, BTC rose 20% over the past week, with its current price breaking through $80,000, and ETH rose 30%. The three major sentiment indicators in the derivatives market have repriced along with spot market movements. Options skew has turned positive, call option premiums have appeared in contracts with tenors of 7 days or more, funding rates remain positive, and the futures term structure is inverted.

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14 AugFri
  1. EDGAR 13F：Susquehanna14

    Susquehanna (SIG) Filed Its Q2 2026 13F-HR Holdings Report

    Options market maker Susquehanna (SIG) filed its 13F-HR quarterly holdings report with the SEC on 2026-08-14, for the reporting period ending 2026-06-30, which was accepted by the SEC on the same day. The report includes the main document and holdings information table, with the complete submission file number 0001446194-26-000008, available for review on the EDGAR platform.

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24 JulFri
14 JulTue
14 MayThu
  1. vn.py：GitHub Releases47

    vn.py 4.4.0 Released

    vn.py 4.4.0 is officially released. This version adds notification functionality based on the WeChat iLink protocol, introduces the vnpy_questDB time-series database integration module, upgrades vnpy_esunny to the Esunny QD V9 API, and optimizes the vnpy.alpha data processing and backtesting workflow, while fixing multiple issues related to logging, data downloading, and algorithmic trade execution judgment.

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24 DecWed
22 SeptMon
  1. Bridgewater: Research & Insights52

    Bridgewater: Inflation Risks Enter a New Era of Structural Uptrend

    Bridgewater released a research report, arguing that the inflation center in the post-pandemic era has risen compared with that before the pandemic, 2% is more like a bottom than an upper limit, and the distribution of inflation outcomes is wider and skewed upward. The report compares the current environment with that in the 2010s, pointing out that restraining factors such as China's export of low-priced goods, shale oil production, and post-crisis deleveraging have weakened; while the medium-term expansion deficit of about 7% of US GDP, the compromised independence of the Federal Reserve, tariffs and trade restructuring, potential depreciation of the US dollar, and AI power and commodity demand constitute structural inflationary pressures.

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