Archive - Portfolio Design with TheTape

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Earnings strategies for the vol crush

Dec 1 •

November 2023

Volatility's Past Trauma

How GARCH Adjusts for Environments and Extremes

Nov 17 •

Volatility Frameworks

How different calculations of historical vol fit into trading strategies

Nov 10 •

Risk Reversal Premiums as Vol Drops

Nov 3 •

October 2023

Protecting the Flock

Analyzing the changing price of volatility and strategy implications

Oct 27 •

Choose When You Fly

Parameters to time entries significantly improve COND returns

Oct 20 •

Taming Wild Components

How the new dispersion index DSPX fits into trading strategies

Oct 13 •

The Daily Theta Cliff

Analyzing and Replicating the Short 0DTE Trade

Oct 6 •

September 2023

Seagulls Soar into Quarter End

How rebalance timing impacts buffer strategies

Sep 29 •

Spreading Across Time

Protective strategies when front month vol pops

Sep 22 •

A Ring of Champions

Spinning the Wheel with Dividend Aristocrats

Sep 15 •

Skew for the QQQs

Capturing the Risk Reversal Premium in the Nasdaq 100

Sep 8 •

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