Market mechanics you can take apart
A free handbook of advanced trading, quant finance and quant dev ideas. Each chapter starts with intuition, gives you a toy market to experiment with, shows the maths, then checks the idea against real market data.
A toy options market
Dealer gamma as the price moves
Drag the spot line, or focus it and use the arrow keys.
- Spot
- 100.0
- Dealer gamma per 1%
- +$1.2M
- Hedging scales moves by
- ×0.76
Dealers are long gamma here: their hedging sells rallies and buys dips, damping moves.
Dealers long every call and short every put, the usual assumption, with $4M of orders needed to move price 1%.
Contents
Order flow & profile
Chapters coming soon
How resting and aggressive orders shape the price path and the volume profile.
Options & positioning
Chapters coming soon
How option contracts and the positions held in them can influence the underlying market.
Quant finance
Chapters coming soon
The probability and pricing models behind systematic trading and risk.
Quant dev
Chapters coming soon
Engineering practice for research code, simulators and data pipelines.