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.

Textbooks#

• John C. Hull — Options, Futures, and Other Derivatives (Pearson). The standard derivatives textbook, “the bible” of finance courses: if the Futures and Options pages felt too fast, the rigor lives here.
• Robert E. Whaley — Derivatives: Markets, Valuation, and Risk Management (Wiley). A comprehensive treatment with a strong focus on index options; this is the same Whaley of the net buying pressure cited in Volatility risk premium.
• Sheldon Natenberg — Option Volatility and Pricing (McGraw-Hill). The practical vocabulary of the trade — greeks, skew, term structure — written by someone who taught it to pit traders; the investment skew on the Options page comes from him.
• Jean-Philippe Bouchaud, Marc Potters — Theory of Financial Risk and Derivative Pricing (Cambridge UP). The econophysics of tails: the power-law exponents on the Tail risk page come from here.
• Richard Grinold, Ronald Kahn — Active Portfolio Management (McGraw-Hill). The Information Ratio book: the reference scales on the Risk measures page (0.5 good, 1.0 excellent) are theirs.

The ERN method#

The single most important source of this site: Karsten “Big ERN” Jeske has been publicly documenting since 2011 the strategy I call tail risk protection selling on the TRPS page.

• The “Passive income through option writing” series on Early Retirement Now — the full series index, including the case studies on XIV, OptionSellers and UBS. The starting point is Part 1 from 2016.
• “Why the Wheel Strategy Doesn’t Work” (Part 12) — the well-argued takedown of the wheel that I endorse on the Strategies page.
• Video — 15 Years of Selling SPX Options: What Big ERN Actually Does (Option Omega channel, 2026). The most technical and recent conversation: fifteen years of track record told first-hand — this is where the idea of the overnight futures hedge on The TRPS bot page was born.
• Video — Retired Early? This Options Approach Protects Your Portfolio (Theta Profits channel, 2025). The big picture: options as an overlay on an early-retirement portfolio.

Foundational papers of volatility selling#

• Israelov, Tummala — Which Index Options Should You Sell? (2017). The paper behind the DHCS and the STAR methodology of Risk measures: the SPX surface measured in alpha per unit of stress.
• Israelov, Nielsen — Covered Calls Uncovered (FAJ 2015) — local copy. The factor decomposition of the covered call cited in Strategies: half equity, some short vol, and an involuntary market timing that pays nobody.
• Gârleanu, Pedersen, Poteshman — Demand-Based Option Pricing (RFS 2009) — local copy. Why the demand for protection distorts option prices: the theoretical foundation of the structural edge on the Edge page.
• Constantinides, Jackwerth, Savov — The Puzzle of Index Option Returns (RAPS 2013) — local copy. The “unexplained quarter” of OTM put returns that I treat, on the Tail risk page, as the price of the event missing from the sample.
• Bates — Post-‘87 Crash Fears in S&P 500 Futures Options. How the market has priced crash fear ever since that October 19; in Volatility risk premium I also cite Bates’s work on delta-hedged put selling.
• Bandi, Fusari, Renò — 0DTE Option Pricing. The academic paper on ultra-short-dated options — the playing field of the TRPS 1DTE trades.
• Ilmanen — Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets? (FAJ 2012) — local copy. The insurance/lottery framework of the Edge page: markets reward those who sell insurance and those who sell lottery tickets, and punish those who buy them.
• Hull, White — Optimal Delta Hedging for Options (2017) — presentation, local copy. The minimum-variance delta that corrects the Black-Scholes delta for the price–volatility correlation: the refinement the bot’s monthly cycle keeps under observation.
• Whalley, Wilmott — The best hedging strategy — local copy. The no-transaction band around the theoretical delta: the foundation of the rebalancing band on The DHCS bot page.

Tail risk and fat tails#

• Taleb — Darwin College lecture on power laws — local copy. The densest short introduction to fat tails and to what they mean for whoever sells them.
• Taleb — Statistical Consequences of Fat Tails (arXiv, distributed freely by the author). The technical version of the Incerto: why standard statistics fails under power laws. The PDF is too heavy to keep a copy here: download it from arXiv.
• Litterman — Who Should Hedge Tail Risk? (CFA Institute video, 2013). The right question asked from the other side of the table: who should buy the protection that the volatility seller offers — and who pays for it for no good reason. The paper of the same name (FAJ 2011) is the written version.
• Ilmanen — Investing Amid Low Expected Returns (Wiley 2022) — official AQR excerpt, local copy. Where risk premia — VRP included — fit in a portfolio when everything yields little.
• Ilmanen — Expected Returns (Wiley 2011). The encyclopedia of risk premia; the chapter on volatility selling is worth the price on its own.

Ergodicity#

• Ole Peters — The ergodicity problem in economics (Nature Physics 2019). The paper behind the Ergodicity page: why the ensemble average is not your time average.
• Peters, Gell-Mann — Evaluating gambles using dynamics (Chaos 2016) — local copy. The formalization: evaluating gambles by their time-average growth rate instead of their expected value.
• ergodicityeconomics.com — the blog of Peters and the London Mathematical Laboratory group, with their publications and the 2025 textbook.

Popular science#

• Veritasium — The Equation That Beat Wall Street (2024). The story of the Black-Scholes-Merton equation told in half an hour, from the physics of Brownian motion to the Nobel prize to LTCM: the most pleasant first encounter with the concepts of the Options page.
• Veritasium — You’ve (Likely) Been Playing The Game of Life Wrong (2025). Power laws explained with sand, fires and networks: why the world is not Gaussian and why extreme events are the rule, not the exception — the popular-science version of the Tail risk page, featuring the St. Petersburg paradox so dear to Ergodicity.

Narrative voices#

• Emanuel Derman — My Life as a Quant (Wiley). From particle physics to Goldman Sachs: the memoir that explains, better than any textbook, what models can and cannot do.
• Nassim Taleb — the Incerto: Fooled by Randomness, The Black Swan, Antifragile, Skin in the Game. To be read before selling your first put, so you know exactly which distribution you are on first-name terms with — and to be re-read afterwards, so you don’t forget.