Design a site like this with
Get started

What I’m currently reading in January 2020

As of January 2020, here are the books at the top of my reading list. I’m currently flipping back and forth from these books on various topics.

Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris

I first heard of this book from squeezemetrics on Twitter. This individual said that this was one of the best books they found to gain a deeper understanding of the markets, and helped inspire the gamma exposure research that they have completed.

I got this a month ago and have to agree that this book is fantastic at helping you understand the inner workings of the stock market. If you are up for advanced knowledge on the markets, this book is for you.

From Amazon:

This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it.

Readers will learn about investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs (electronic communications networks), crossing markets, and pink sheets.

Also covered in this text are single price auctions, open outcry auctions, and brokered markets limit orders, market orders, and stop orders.

Finally, the author covers the areas of program trades, block trades, and short trades, price priority, time precedence, public order precedence, and display precedence, insider trading, scalping, and bluffing, and investing, speculating, and gambling.

The Big Book of Dashboards: Visualizing Your Data Using Real-World Business Scenarios by Steve Wexler, Jeffrey Shaffer, and Andy Cotgreave

I got this book because I want to improve my data visualization abilities for this blog and for those charts I post on Twitter as well. I also want to improve my own record keeping process for my trades and create a more professional dashboard that will allow me to review past trades.

From Amazon:

Comprising dozens of examples that address different industries and departments (healthcare, transportation, finance, human resources, marketing, customer service, sports, etc.) and different platforms (print, desktop, tablet, smartphone, and conference room display) The Big Book of Dashboards is the only book that matches great dashboards with real-world business scenarios. 

Option Volatility & Pricing: Advanced Trading Strategies and Techniques by Sheldon Natenberg

I’ve had this book for a few months, and I’m constantly coming back to it for a deeper understanding on options and the options market.

This book is great for anyone looking to dive deeper into understanding options and options theory. If you trade options or just want to understand the options market better, this one is a must read.

From Amazon:

One of the most widely read books among active option traders around the world, Option Volatility & Pricing has been completely updated to reflect the most current developments and trends in option products and trading strategies.


  • Pricing models
  • Volatility considerations
  • Basic and advanced trading strategies
  • Risk management techniques
  • And more!

Written in a clear, easy-to-understand fashion, Option Volatility & Pricing points out the key concepts essential to successful trading. Drawing on his experience as a professional trader, author Sheldon Natenberg examines both the theory and reality of option trading. He presents the foundations of option theory explaining how this theory can be used to identify and exploit trading opportunities. Option Volatility & Pricing teaches you to use a wide variety of trading strategies and shows you how to select the strategy that best fits your view of market conditions and individual risk tolerance.

Links above are affiliate links. If you purchase any of those books through the link I posted, I’ll get a tiny cut of the sales proceeds. Your support is appreciated.


Great Resources for Economics, Investing, and Programming

This post is a work-in-progress and will be updated frequently, so please bookmark this page so that you can refer to it often.


Youtube – How the Economic Machine Works by Ray Dalio

One of the best resources, along with Dalio’s book Principals for Navigating Big Debt Crisis, to help you understand how the economy functions on a larger scale. This video and book are better than any economics course I took in High School and College because they focus on what actually happens in the markets from a transactional perspective, and not from a theoretical, supply/demand curve perspective.

Economics 101 — “How the Economic Machine Works.”

Created by Ray Dalio this simple but not simplistic and easy to follow 30 minute, animated video answers the question, “How does the economy really work?” Based on Dalio’s practical template for understanding the economy, which he developed over the course of his career, the video breaks down economic concepts like credit, deficits and interest rates, allowing viewers to learn the basic driving forces behind the economy, how economic policies work and why economic cycles occur.

Book – Principals for Navigating Big Debt Crisis by Ray Dalio

big debt

Crucial for anyone looking to understand macroeconomics and to understand how the market works as one piece.

The template comes in three parts provided in three books: 1) The Archetypal Big Debt Cycle (which explains the template), 2) 3 Detailed Cases (which examines in depth the 2008 financial crisis, the 1930’s Great Depression, and the 1920’s inflationary depression of Germany’s Weimar Republic), and 3) Compendium of 48 Cases (which is a compendium of charts and brief descriptions of the worst debt crises of the last 100 years). Whether you’re an investor, a policy maker, or are simply interested, the unconventional perspective of one of the few people who navigated the crises successfully, Principles for Navigating Big Debt Crises will help you understand the economy and markets in revealing new ways.


The Black Swan by Nassim Nicholas Taleb


This book showed me how important it is to manage risk when investing and trading options. Nassim Taleb provides a unique insight into investing based off his years as an option trader in the pit.

The Black Swan is a standalone book in Nassim Nicholas Taleb’s landmark Incerto series, an investigation of opacity, luck, uncertainty, probability, human error, risk, and decision-making in a world we don’t understand. The other books in the series are Fooled by Randomness, Antifragile, Skin in the Game, and The Bed of Procrustes.

A black swan is a highly improbable event with three principal characteristics: It is unpredictable; it carries a massive impact; and, after the fact, we concoct an explanation that makes it appear less random, and more predictable, than it was. The astonishing success of Google was a black swan; so was 9/11. For Nassim Nicholas Taleb, black swans underlie almost everything about our world, from the rise of religions to events in our own personal lives.


Hands-On Machine Learning with Scikit-Learn, Keras, and TensorFlow: Concepts, Tools, and Techniques to Build Intelligent Systems by Aurélien Géron


This book was one of the most useful books to me when I was learning more advanced programming concepts such as machine learning and deep learning. I used the first version of this book, and I know the second version is just as good with minor updates.

It is an absolute must that you use the resources made available by Géron on GitHub to learn this material. One of the most effective ways to learn programming for me was to input the code, tear it apart, understand why it was there, then try to recreate it myself.

Through a series of recent breakthroughs, deep learning has boosted the entire field of machine learning. Now, even programmers who know close to nothing about this technology can use simple, efficient tools to implement programs capable of learning from data. This practical book shows you how.

By using concrete examples, minimal theory, and two production-ready Python frameworks—Scikit-Learn and TensorFlow—author Aurélien Géron helps you gain an intuitive understanding of the concepts and tools for building intelligent systems. You’ll learn a range of techniques, starting with simple linear regression and progressing to deep neural networks. With exercises in each chapter to help you apply what you’ve learned, all you need is programming experience to get started.

Great Resources on Gamma Exposure

This article is part of a more broad series of research questions I address regarding Gamma Exposure. Check out this post for more.

We believe that the greater granularity of the GEX distributions suggests that there is some element of market volatility that is simply not able to be captured by the VIX model, or indeed any other variance metric based on quoted option prices. Rather than prices, GEX concerns itself with the quantity and characteristics of all existing option contracts at all strikes, and at all expirations―and the market participants who trade them.


If investors continue to look toward the option market for alpha signals and risk assessments, they would do well to consider Gamma Exposure as a smarter alternative to price-derived volatility and variance estimates.

The key deficiency in using option prices to gauge future volatility is that no two market-makers’ books are the same, and a tight spread from any one market-maker completely obscures the risk appetite of every other.

This problem is readily ameliorated by computing the GEX of options known to be in circulation and deriving projected return distributions from the historical market impact of those contracts.

And so, when―in light of the evidence―investors eventually acknowledge that the option market does have a truly pervasive, day-to-day impact on the paths and volatilities of stock prices, we think that it is a natural next step to consider GEX an essential addition to the equity investment process.

SqueezeMetrics – Documentation

Gamma exposure (GEX); refers to the sensitivity of existing option contracts to changes in the underlying price. Like with DPI, substantial imbalances can occur between market-makers’ call- and put-option exposures, and when those imbalances occur, the effect of their hedges can either accelerate price swings (like a squeeze) or stifle movement entirely.

We have developed a novel way to quantify this exposure and the direction of hedging that occurs in the event of n% price moves. The effect of this insight on our forecasting has been profound.

SqueezeMetrics – Monitor

This monitor by SqueezeMetrics will provide you with Dark Pool buying as well as Gamma Exposure for all of the components of the S&P 500. (Please note, this is NOT Gamma Exposure on the S&P 500 index (SPX) itself. Rather it is a calculation of all of the component stocks on the S&P 500. For SPX GEX, you can subscribe to SqueezeMetrics or find that information at TradingVolatility below.)


Trading Volatility – GEX Charts

Gamma Exposure Charts

A view of the cumulative Gamma Exposure (in $) across each strike for a given stock, calculated using all options with less than 94 days to expiration.

gex chart

Spot Gamma – Updated Tables on Gamma by Strike and by Expiration Date

These options data tables based on open interest produce gamma readings which can be used to define important levels in the S&P500 (SPX) market. This data is recalculated each night based on a proprietary model. Some traders and investors believe that large open interest at a specific options strike produces actionable trading intelligence. These tables are all grouped by strike, not expiration date.

Bookmark this post if you wish. I will be updating it frequently. Consider all my posts to be a work in progress.

If you have other resources with regards to Gamma Exposure, please share them in the comments below!