Cluster F: Risk Management
Position sizing, portfolio Greeks, scenario analysis, tail risk, and execution. The discipline that separates survival from blowup.
Position Sizing for Options
Kelly criterion overview, fractional Kelly, max portfolio allocation rules, premium-at-risk frameworks
Understanding and Managing Margin
Margin expansion events, margin calls, stress scenarios, portfolio margin benefits and dangers
Portfolio-Level Greek Management
Net delta, gamma, vega, theta targets, balancing income (theta) vs risk (gamma, vega)
Scenario Analysis and Stress Testing
What-if analysis across price/vol/time, tail risk scenarios, correlation stress, liquidity risk
Hedging Techniques
Delta hedging mechanics, gamma hedging, vega hedging with term structure, cross-hedging with index options
Tail Risk and Fat Tails
Why normal distribution is the starting point that real markets violate, kurtosis in returns, jump risk, gap risk
Execution and Slippage
Limit orders vs market orders, wide spreads in illiquid options, fill quality, crossing the spread, timing execution
Trade Journaling and Performance Attribution
Tracking P&L by strategy, Greek-attributed returns, process vs outcome thinking
Risk Metrics: VaR, CVaR, and Beyond
Value-at-Risk limitations, Conditional VaR, Expected Shortfall, coherent risk measures
Correlation and Multi-Asset Risk
Implied correlation, dispersion, correlation breakdown in stress, index vs single-stock vol dynamics