The Outlier Trading Podcast Kris Abdelmessih on the Volatility Secrets Nobody Talks About!
Nov 7, 2025
In this discussion, Kris Abdelmessih, an options and volatility expert who shares insights on his MoonTower Substack, dives deep into the unpredictable world of volatility. He explains why longer-dated options carry a risk premium and demystifies the concept of 'at-the-forward' pricing. Kris also explores the quirks of delta metrics, revealing why they sometimes don't add up. He emphasizes the importance of intuition versus models in trading strategies, especially in zero-DTE scenarios, and highlights how cognitive biases affect traders' beliefs. It's a must-listen for traders looking to sharpen their strategies!
AI Snips
Chapters
Books
Transcript
Episode notes
Compute Forward To Sanity-Check Strikes
- Estimate the forward by adjusting spot for interest minus dividends over the option tenor to find where calls and puts should equalize.
- Use that implied forward to sanity-check strike deltas and which strikes are 50-delta versus at-forward.
Why Call+Put Deltas Can Exceed One
- Deltas can sum to more than one because platforms may use inconsistent interest rates or implied vols for calls and puts.
- Also remember synthetic futures include carry, so synthetic delta can exceed 1 by roughly the interest rate factor.
Displayed Vols Reflect Many Firm Assumptions
- Market-makers don't 'hide' a single true vol; vendors and firms each build vol surfaces with idiosyncratic rates and assumptions.
- Execution and displayed quotes reflect exchange rules, queuing and internal electronic 'eyes', not a single canonical vol.
