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Markets
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
A Gold Producer Controls Neither Price nor Cost. It Can Still Control Profit.
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
Monetizing a Position You Can't Trade: Proxy Hedging and Options Carry on Illiquid Micro-Caps
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