Kris Abdelmessih, Co-Founder, Moontower.ai

About this episode

Kris Abdelmessih discusses option pricing, volatility regimes, and trading strategies in the context of current commodity market dynamics.

Kris Abdelmessih, author of the MoonTower Substack and founder of the options analytics firm MoonTower.ai., has spent years thinking about option pricing, volatility regimes, and the mental math traders use to translate volatility into price. In this context, it was great to welcome him back to the Alpha Exchange to explore his thought process. We begin with developments in commodity markets, particularly crude oil, and silver, where geopolitical tension and speculative flows have led to sharp changes in volatility surfaces. Kris explains how option skew in underlyings like oil can reprice rapidly during shock events, leading to inverted termstructure and a well bid call skew. These dynamics create unusual behavior in vertical spreads and probabilities implied by option prices. Kris describes how the relationship between spot moves and volatility changes across market environments, emphasizing that traders must continually recalibrate their models. What appears to be a stable relationship—such as the familiar beta between the S&P 500 and the VIX—can shift quickly depending on positioning and market structure. A major focus of our conversation is on the mental math traders use to…

People in this episode

Host: Dean Curnutt

Guest: Kris Abdelmessih

Topics covered

• option pricing
• volatility regimes
• trading strategies
• commodity markets
• mental math in trading
• market dynamics

Keywords

• option pricing
• volatility
• trading
• commodity markets
• mental math
• market structure
• speculative flows

Mentioned in this episode

Organizations: Moontower.ai, MoonTower Substack

Places: S&P 500, VIX, crude oil, silver

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