Quantitative trading strategies — research, backtests, and writeups. Currently includes RGVH, a regime-gated short-vol strategy on SPY options (Sharpe 3.38 net, 12y OOS).
Options trading bot for Derive.xyz. Captures volatility risk premium by selling short-dated Iron Condors (7–14 DTE) while recycling a portion of the premium into long Calendar Spreads (30–45 DTE) as tail hedges. Includes risk management with circuit breakers, VRP-based signals, and a terminal dashboard. Supports both paper and live modes.
Variance-risk-premium harvesting via the VIX-futures term-structure roll, with a crash filter — LSEG data, roll-aware, look-ahead-free backtest (Sharpe ~1.3, drawdown halved by the filter).
Systematic volatility research combining variance risk premium carry with ML-based regime detection and selective long-volatility exposure.
Arbitrage-free implied volatility surface engine for equity index options: SVI/SSVI calibration, Heston pricing via COS method, variance risk premium analysis, and a delta-hedged short-vol backtest.
Out-of-sample realized-volatility forecasting benchmark with HAR models, microstructure estimators, and Model Confidence Set testing.
Replication of Bollerslev, Tauchen & Zhou (2009) with GPD-based EVT tail correction to realized variance
Implied volatility surface construction (SVI), hand-rolled Black-Scholes Greeks, Newton-Raphson IV solver, and delta-hedged options backtesting with full P&L attribution across theta, gamma, and vega.
The SPX variance risk premium measured over 36 years of free data: ~4 vol points of persistent premium, Sharpe ~0.9 net, and the crash months that explain why it exists. Julia, stdlib-only, honest accounting.
Black-Scholes pricer and Greeks validated against parity and finite differences, with a delta-hedging study on 30+ years of SPX and VIX data.
Production-style, reproducible toolkit for volatility RV (VIX term structure, carry/roll-down, VRP proxy) with run manifest and reports.
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