Charles Dillon

1503 karmaJoined


Experienced quant trader, based in London. Formerly a volunteer at Rethink Priorities, where I did some forecasting research. Interested in most things, donations have been primarily to longtermism, animal welfare and meta causes.


I think if there were proven methods to persuade such people to give away the excess, the world would look very different.

I hope you find success in persuading those around you to give, but I don't think the process of giving to neighbours and polling resources rather than going directly to supporting specific causes where they could have a lot of impact makes much sense.

Just had another glance at this and I think the delta vs implied vol piece is consistent with something other than a normal/log normal distribution. Consider: the price is $13 for the put, and the delta is 5. This implies something like - the option is expected to pay off a nonzero amount 5% of the time, but the average payoff when it does is $260 (despite the max payoff definitionally being 450). So it looks like this is really being priced as crash insurance, and the distribution is very non normal (i.e. circumstances where NVDA falls to that price means something weird has happened)

Generally I just wouldn't trust numbers from Yahoo and think that's the Occam's Razor explanation here.

Delta is the value I would use before anything else since the link to models of reality is so straightforward (stock moves $1 => option moves $0.05 => clearly that's equivalent to making an extra dollar 5% of the time)

Right now the IV of June 2025 450 calls is 53.7, and of puts 50.9, per Bloomberg. I've no idea where your numbers are coming from, but someone is getting the calculation wrong or the input is garbage.

The spread in the above numbers is likely to do with illiquidity and bid ask spreads more than anything profound.

The IV for puts and calls at a given strike and expiry date will be identical, because one can trivially construct a put or a call from the other by trading stock, and the only frictions are the cost of carry.

The best proxy for probability an option will expire in the money is the delta of the option.

"Nvidia’s implied volatility is about 60%, which means – even assuming efficient markets – it has about a 15% chance of falling more than 50% in a year.

And more speculatively, booms and busts seem more likely for stocks that have gone up a ton, and when new technologies are being introduced."

Do you think the people trading the options setting that implied volatility are unaware of this?

Seems like a rather vague collection of barely connected anecdotes haphazardly strung together.

I am not particularly concerned as I don't see this persuading anybody.

Thanks for posting this - on a quick read it looks pretty accurate to me and I'll be glad to have this as a resource to point people to when they seem not to understand exactly why what FTX did was so bad.

I don't understand why you think this is the case. If you think of the "distribution of grants given" as a sum of multiple different distributions (e.g. upskilling, events, and funding programmes) of significantly varying importance across cause areas, then more or less dropping the first two would give your overall distribution a very different shape.

I think getting enough people interested in working on animal welfare has not usually been the bottleneck, relative to money to directly deploy on projects, which tend to be larger.

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