Docs on Thetabruv

Start here

Mon, 01 Jan 0001 00:00:00 +0000

START HERE#

Welcome to Thetabruv.com.

I use this space to share the theoretical and practical foundations of a few strategies for capturing the volatility risk premium (VRP). I became interested in the subject in 2019, after a decade or so of passive investing, when I started asking myself whether a retail investor could go beyond building a portfolio of ETFs.

Over the years I collected quite a lot of material, and I decided to structure it into this site — for myself, and for the friends and acquaintances I end up discussing it with. It is therefore a living repository rather than a finished work: nobody should be surprised by corrections and re-editions.

Resources

Mon, 01 Jan 0001 00:00:00 +0000

RESOURCES#

This is the site’s annotated bibliography: the sources I cite throughout the pages and the material I built the site with are all in here. Where a PDF is distributed freely and legally by its authors or institutions (AQR, NBER, arXiv, university sites), I keep a local copy on this site next to the original link — papers have a bad habit of vanishing from the web. Books, videos and paywalled articles are only linked to their source. As with everything else on this site, the Disclaimers page applies: this is study material, not an invitation to trade.

Glossary

Mon, 01 Jan 0001 00:00:00 +0000

GLOSSARY#

The terms this site uses constantly, defined in a few sentences and with no claim to completeness: each entry points, where one exists, to the page that treats it properly. If a term goes missing while you read, this page is the place to come back to.

1DTE#

One day to expiration: an option with one day of life left. It’s the home turf of TRPS: tiny vega, a daily strike reset and 252 near-independent bets a year — which is what makes the seller’s statistics legitimate.

About me

Mon, 01 Jan 0001 00:00:00 +0000

ABOUT ME#

I was born in a village deep in the Italian countryside, long enough ago that my earliest memories go back to the magical nights of Totò Schillaci at Italia ‘90. I was good at maths in school, so I was told I should get an engineering degree, which I did. Once I entered the workforce, I ran into the inconvenience of having to invest the savings sitting idle in my bank account, and I made two discoveries. The first was the world of passive investing, through the books of Bogle, Malkiel and Bernstein. The second was the early FIRE movement in its most radical incarnations, Early Retirement Extreme (ERE) and Mr Money Mustache (MMM). After reaching my long-coveted FU money, I softened my positions and I am keeping my corporate job while waiting for something to happen.

Disclaimers

Mon, 01 Jan 0001 00:00:00 +0000

DISCLAIMERS#

This page exists because the rest of the site deals with instruments that can wipe out an account, and being clear about what this site is — and above all what it is not — is no formality: it is part of the same intellectual honesty I try to apply to risk.

This is not financial advice#

All content on this site is for educational and informational purposes only. It does not constitute financial advice, investment advice, a personalized recommendation, a solicitation of investment, or an offer to buy or sell any financial instrument. I am not a licensed financial advisor, and I know nothing about your financial situation, your goals or your risk tolerance: nothing you read here can take them into account.