The Book
Extracting the Volatility Risk Premium Through Same-Day Options
A practitioner's guide to the systematic capture of options volatility risk premium—from the academic foundations of why it exists, to the precise mechanics of building and running strategies that harvest it daily.
What's Inside
Why implied volatility is systematically overpriced, the academic evidence, and how this market anomaly creates a durable edge.
The "free try" structural advantage of 0DTE iron condors, strike selection, and the asymmetric payoff profile that drives returns.
Kelly criterion applied to options premium collection—optimal bet sizing for maximum geometric growth while surviving drawdowns.
Stop loss design, tail risk hedging, correlation management, and the survival-first framework that protects capital in regime shifts.
Building execution infrastructure that removes emotional interference—from signal generation to order management and monitoring.
Lessons from 35,000+ live trades: what works in theory vs. reality, execution slippage, and building conviction through data.
Online Companion
Tools, templates, and ongoing updates to support your systematic 0DTE journey. The book gives you the framework—these resources help you apply it.
Kelly criterion position sizer, iron condor risk/reward analyzer, multi-strategy portfolio dashboard, and win rate sensitivity tables. Plug in your parameters and size with precision.
Download .xlsxEnter your account size and instantly see every SPX, SPY, and /ES iron condor setup ranked by expected P&L, edge lost to fees and wings, and risk. Find the instrument, wing width, and tranche count that keeps the most edge in your pocket.
Launch ToolComplete 0DTE journal with daily trade log (dropdowns for strategy, regime, stops), auto-calculated performance dashboard, regime breakdown, and structured weekly review template.
Download .xlsxEvolving notes on regime changes, market microstructure shifts, and how to adapt the book's framework as volatility surfaces, liquidity, and 0DTE participation change over time.
Updated PeriodicallyStep-by-step explanations of key concepts—iron condor construction, position sizing math, risk management rules, and real trade examples brought to life visually.
WatchOngoing market commentary, companion updates, new resource announcements, and practical insights from running systematic 0DTE strategies in live markets.
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