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0DTE Podcast: The Definitive Primer

Who, What, How, and Why- History, Current Situation, and How it Crashes.


Presentation and Questions on 0DTE Options for GoldFix Founders with a little background on VBL.Works just fine as audio with notes attached if you prefer. Introductory piece sent the day before.

Table of Contents

  • Intro:

    • CV/Trading Bio Excerpt

    • VBL’s trading between 2004-2011

  1. Market Participants

  2. History Evolution: Metals in 1993

  3. The Players’ Strategic Goals in more detail Real Life

  4. Roach Motel but No Systemic risk- Funds will Die

  5. Big Crowded Trade Risk

  6. How will it Happen? Markets are not always efficient

  7. How It Likely Ends Ugly

  8. The Delta Game

  9. Questions

Market Participants

  1. Speculators-  the buyers 

    1. seeking directional risk exposure

  2. Investment Funds- The Sellers 

    1. using them for covered call writing  dividends

  3. Marketmaker/dealers- buyer/sellers

  4. Retail- buyers

Intro: Hedge Fund Track Record

2004-2011 ROR

0DTE History Evolution

  1. Initial use was to hedge or speculate 1 day event risk

  2. Effectively very expensive 1 day insurance

  3. They almost always trade at higher volatility than they should relative to their longer dated cousins due to their low notional values and their lottery ticket aspects.

  4. it's like buying retail versus buying wholesale

  5. The Loosies Concept: Cigarettes to poor people.. buy a pack, stand in front of store and sell loosies cheaper than the store did.

  6. The higher volatility premium eventually attracts the crowd who do covered call plays

  7. This eventually creates a marketplace with short term speculators buying, and long term investors selling and market makers filling the void both ways.

  8. Between #6 and 7 the regulators step in usually after some player gets burnt

The full video is for paid subscribers