Tho retweeted
I am excited to be an investor in trade(xyz) as they partner with ICE to bring 24/7 perpetual futures on Hyperliquid to the United States. As a market participant, I am looking forward to to using their innovative product to enhance my investment process.
Tho retweeted
I think one could quite confidently call this a stock pickers market since there is more idio dollar spread available than in any non-crisis year since 2002 (see first chart comparing demeaned, windorized ESTU total returns decile ranked in 2019, 2025, 2026 (all through the 1/1-10/12 YTD period). We note the total return spread between top and bottom decile is larger in 2026 than either of the other two sampled years which further supports this thesis. However, a larger proportion of the x-sectional volatility this year has been factor-driven which the next two charts further expand on.
The second chart tracks how far apart stocks have drifted from each other in 2026, split into the component explained by factor exposures and the component that is stock-specific. The dashed lines show where each would be if no moves had reversed. From this we note that idio dispersion has compounded steadily all year while factor dispersion ran ahead of its line until June 22, then collapsed through late July.
The third chart shows stocks are ranked by how much factor exposure helped or hurt them through June 22. From this we note that the biggest factor winners had gained 47pp, then gave back 25pp by July 29. The biggest losers recovered 11pp. Every decile reversed in order meaning this was a systematic unwind.
The takeaway here is that through June, factor tilts created a 79pp spread between stocks and almost half of that reversed in five weeks, whereas the same window in 2025 gave back 1%. So pnl generated by stock-specific returns were relatively more stable, while gains carried by factor exposure largely have not been. This all generally supports the notion that there IS spread to capture in 2026 but that a sloppy approach to this has resulted in underperformance relative to the market given the broad factor return reversal the market has been experiencing in 2H 26'.
Methodology: Top 3,000 stocks by market cap in the risk model's US estimation universe, Jan to Oct 12 each year: daily returns are split into factor (total minus specific) and idio (risk model specific), winsorized at the 1st/99th percentile and demeaned across stocks each day to remove the market. They are then summed additively to compare cross-sectional dispersion, decile spreads and the build-up and reversal of factor vs idio returns against 2025 and 2019.
Tho retweeted
Excited to announce Options 101!
It's a site that provides free, no-ads, no-shill education on financial options (calls + puts).
The first course is one I'm now teaching this fall at Charles University in Prague. Lecture notes, videos, assignments.
options-101.com/
Tho retweeted
***BONDISTAN IS NOW ON SALE!***
GET IT WHILE IT'S HOT
It has been a journey to get this ready for publishing and I'm proud to finally share this with everyone. It would mean the world if you could spread the word and maybe buy a copy (or few dozen). Your support for my work means everything. ❤️
Available in physical and digital, Bondistan 2nd Edition in all its glory is here. Links to the various formats below. (If you're using your non-US Amazon storefront just search for "tourist guide to bondistan")
Hardcover (Physical)📔: amazon.com/dp/B0HGQG3XJP
Paperback (Physical)📔: amazon.com/dp/B0HGLDK8RF
Kindle e-book (digital)📱: amazon.com/dp/B0H1D4GVQR
Gumroad Store (digital - PDF + e-book + Prove-outs)📱: effmkthype.gumroad.com/l/bon…
Tho retweeted
Using Astra (checked by fable), I think I have proven and formally verified that in the Black-Scholes model, the exercise boundary of an American put option is log-convex for nonzero dividends.
It’s not really earth-shattering, but it’s a legitimate open problem in mathematical finance: it was shown in 2008 that the exercise boundary was convex for the zero-dividend (q=0) case, and in 2013 that it could be non-convex for dividends exceeding the risk-free rate r, but the very practical worlds where 0 < q <= r were unknown (barring a claimed tightening of the bound in 2017). Astra found a relatively intuitive proof that the boundary is log-convex (stronger than convexity) for the full 0 < q <= r domain. — essentially sweeping sets of candidate linear boundaries, to show that the exercise boundary would never intersect that line twice.
This result is probably not useful standalone when we already have numerical solutions for pricing American options and have empirically observed for many years that the boundary was convex (not to mention this is in pure Black-Scholes world)… but it’s a doorway to provably reliable pricing approximations and [redacted].
Tho retweeted
*BREAKING: Bondistan is opening its borders on 15th September to celebrate Lehman Collapse Day and you're invited to get your visas ready!
The Ultimate Guide to Bondistan 2nd Edition is coming to print!
Do me a favour and spread the word!
More details to follow.
Tho retweeted
AI has made me too lazy with writing
Forcing myself to write more on jaechung.net
Will be posting random musings from time to time
First piece was on early days of @ManifoldTrading
Tho retweeted
I've been building an exchange for the better part of the past year.
I'll say more in the coming weeks but we have a small, focused, top notch team working in earnest to deliver a high quality venue that treats traders with respect.
teapawt.org/pascaldottrade/status/…
Tho retweeted
Good morning my loves, happy Saturday. Sorry I've been quiet, obviously been busy, but thought it'd be nice to give you all the details on the multi-strategy absolute return program that experienced the 28% drawdown this year. (1/n)
Tho retweeted
Do I have any followers who work at AlphaGrep (either now or in the past) who would be willing to talk to me about it? Trying to figure out some stuff.
Tho retweeted
The gap between where you are and where you want to be exists only in the space between thinking and doing. Everything you desire already has a path to it. Someone has done it before, or the steps can be broken down and figured out. The real barriers aren't external; they're the stories you tell yourself about why you can't start today, with what you have, from where you are.
Your desires aren't random, they're signals pointing toward your authentic self. Trust them, but hold them lightly. As you move toward them, you'll discover that the person you become in pursuit of what you want is often more valuable than getting the thing itself.
Start now. Start imperfectly. Start with one small action today. Then another tomorrow. Consistency compounds faster than talent, and action creates clarity faster than planning. Most people wait for permission, perfect conditions, or complete knowledge. You don't need any of these.
The universe is incredibly responsive to genuine effort. When you commit and start moving, resources appear, people help, opportunities emerge. But this magic only happens after you begin, never before.
Your time is finite and precious. Every day you delay acting on what matters to you is a day you can't get back. Stop researching, stop preparing, stop waiting for the right moment. The right moment is now, and you already have enough to take the first step.
Everything else is just details you'll figure out along the way.
Tho retweeted
Mean-variance optimization (MVO) is one of the most foundational ideas in finance.
It is also one of the easiest to caricature.
You estimate expected returns and a covariance matrix, feed them into an optimizer, and often the result disappoints.
So what goes wrong?
Portfolio Optimization: What Could Go Wrong?
Latest post here👇
systematicallybiased.substac…
#QuantFinance
#PortfolioOptimization
#AssetAllocation
#SystematicInvesting
#Investing
Tho retweeted
This is the story of Hyperliquid, the most profitable startup per employee on earth, told from a guarded office in Singapore.
Last year, its team of 11 generated $900 million in profit. It's 3 years old, has never taken a dollar of venture capital, and is beginning to change how century-old markets work.
Its founder, Jeffrey Yan (@chameleon_jeff), had never taken a physics class when he picked up a textbook at 16. Two years later, he won gold at the International Physics Olympiad. In 2019, he started trading with $10,000 from a living room in Puerto Rico—working off a television because he didn't own a monitor.
Within 3 years, he was running one of the largest anonymous crypto trading firms.
Then he shut it down. Yan was rich and free, but he had spent years inside crypto, watching it betray itself. Bitcoin's central premise was decentralization. Yet the biggest exchanges were centralized. Crypto kept reintroducing the dependence on trust it was built to eliminate. He set out to create what should have existed.
Hyperliquid is a blockchain with a trading exchange on top, and anyone can build on it. Yan's vision is to house all of finance. In 3 years, it has done over $4 trillion in volume. And in the past few months, it has begun to outgrow crypto.
Markets for oil, silver, and the S&P 500 now trade on Hyperliquid around the clock, weekends included, and are growing roughly 40% week on week. When the US and Israel bombed Iran on a Saturday in February, Hyperliquid was the venue traders turned to.
Hyperliquid's success has cost Yan his freedom. He works out of a secret office in Singapore and cannot travel without two bodyguards. Even the team's housekeeper doesn't know what they do.
In January, @domcooke spent a week at their office. Read his profile on Yan and @HyperliquidX below.
Tho retweeted
I see comments like this re: the design of oil perpetuals on TradeXYZ/HL a lot -- why do the oil perps use futures as the underlying, rather than spot?
The question shows a fundamental misunderstanding by crypto-native people, who I guess understandably do not spend much time thinking about the mechanics of physical commodity markets!
