Blog

• Backtesting Proxy Carry Strategies: Pitfalls, Survivorship Bias, and Regime Sensitivity

• Basis Risk in Proxy Hedging: Measuring the Gap Between Your Stock and Its Synthetic

• Beyond Micro-Caps: Extending Proxy Hedging to Restricted Stock, PE Stakes, and Concentrated Positions

• The Borrow Constraint: When Stock Loan Availability Determines Whether a Strategy Is Viable

• Correlation Breakdown Under Stress: What Happens to Your Proxy When the Market Cracks

• Counterparty and Clearing Risk: What Happens When the Options Chain Gets Pulled

• Cross-Asset Hedging: Replacing Options with Sector Futures When the Chain Is Thin

• Dealer Gamma and Pin Risk: How Market-Maker Positioning Distorts Small-Cap Expirations

• Event-Driven Overlays: Structuring Carry Around Earnings, Litigation Dates, and FDA Catalysts

• Factor Decomposition for Illiquid Equity: How Much of a Micro-Cap Is Actually Hedgeable?

• Fixed Exit, Collected Premium: Proxy Options Carry on Illiquid Micro-Caps

• Selling Gold Forward Is Not a Hedge: A Margin-First Structure for Gold Producers

• The Unhedgeable 20%: Pricing and Managing Idiosyncratic Micro-Cap Risk

• Kelly Sizing for Options Carry: How Much of the Notional Should the Overlay Cover?

• Cross-Sectional Momentum as a Fifth Factor: Improving R² Beyond the Standard Four

• Multi-Leg Structures on the Proxy: Iron Condors, Butterflies, and Ratio Spreads for Defined-Risk Carry

• Sizing the Overlay: Dollar-Beta Matching and the Limits of Replication

• Portfolio-Level Greeks: Managing Aggregate Delta, Vega, and Gamma Across Multiple Overlays

• Premium Layer Design: Delta, Tenor, and Roll Frequency for Systematic Carry

• Proxy Basket Construction: Instrument Selection, Liquidity Constraints, and Beta Matching

• Optimal Execution for the Proxy Basket: Minimizing Market Impact on Entry and Rebalance

• Liquidity Constraints on the Proxy Leg: When Your Hedge Itself Becomes Illiquid

• Tail Hedging with Put Spreads: Structuring Downside Protection on Liquid Proxies

• Rebalancing Triggers: Calendar vs. Threshold-Based Approaches for Proxy Baskets

• Roll Mechanics: Monthly vs. Weekly Expiration Cycles for Carry Generation

• Scaling the Overlay: Applying Proxy Carry Across a Portfolio of Illiquid Positions

• The Small-Cap Volatility Surface: Skew, Term Structure, and Why It Pays the Premium Seller

• Synthetic vs. Physical Covered Calls: Tracking Error and the Illiquidity Discount

• Tail Risk Measurement Beyond VaR: Expected Shortfall and Stress Scenarios for Proxy Overlays

• Tax and Structural Considerations: Section 1256, Wash Sales, and the 60/40 Split on Proxy Options

• Volatility Harvesting vs. Carry: Two Distinct Frameworks for Monetizing the Same Position

• Volatility Regime Dependence: When Options Carry Works and When It Doesn’t