The Book
Extracting the Volatility Risk Premium Through Same-Day Options
A practitioner's guide to the systematic capture of the options volatility risk premium. It covers the academic foundations of why the premium exists and the operational mechanics of building strategies that can harvest it under tight risk constraints.
What's Inside
Why implied volatility tends to overstate realized volatility, the supporting evidence, and why the gap is structural rather than accidental.
The structural payoff of 0DTE iron condors, strike selection, and the asymmetric profile that defines risk before any trade is placed.
Kelly-aware sizing for premium collection. Capping the downside first, then accepting whatever growth follows from the process.
Stop design, tail hedging, correlation between sub-strategies, and a survival-first framework built to absorb regime shifts.
Execution infrastructure that removes discretion: signal generation, order management, monitoring, and recovery from failure modes.
Lessons from live execution: where theory meets slippage, how rules survive contact with markets, and how conviction is built through data.
Online Companion
Tools, templates, and ongoing notes that extend the book. The book lays out the framework. These resources help you apply it on your own terms.
Kelly-style position sizer, iron condor risk and reward analyzer, multi-strategy portfolio view, and sensitivity tables. Plug in your parameters and size with discipline.
Download .xlsxEnter your account size and see every SPX, SPY, and /ES iron condor setup ranked by expected P&L, edge lost to fees and wings, and risk. The point is to size hedges intentionally rather than accidentally.
Launch ToolA 0DTE journal with daily trade log (strategy, regime, stops), auto-calculated dashboard, regime breakdown, and a structured weekly review.
Download .xlsxNotes on regime changes, microstructure shifts, and how to adapt the book's framework as volatility surfaces, liquidity, and 0DTE participation evolve.
Updated PeriodicallyStep-by-step explanations of key concepts: iron condor construction, position sizing math, risk management rules, and worked trade examples.
WatchOngoing notes from running a systematic 0DTE operation in live markets: companion updates, new resources, and observations from the desk.
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