I made a free options reference where every entry lists the gotcha that breaks backtests
I got tired of re-deriving the same things whether Black–Scholes is safe on an American option with dividends, why feeding realized vol into a pricer gives garbage, how much a stale mid-quote quietly wrecks a backtest. So I wrote it all down in one place, and figured this sub would get use out of it too.
It's here, free, no signup to read: https://learner.tradoing.com/read
Every entry has four fixed lines:
- Def — one plain sentence.
- Formula — how it's actually computed, so you can code it.
- Signal — what a high / low / rising value means.
- Algo — the part most cheatsheets skip: the coding gotcha. First-order Greek limits, IV vs realized vol, American vs European exercise, mid-price/OI/spread liquidity traps.
The options section covers calls/puts, moneyness, intrinsic vs time value, put–call parity, the full Greeks (delta through the second-order vanna/charm/vomma), IV, skew, and Black–Scholes. There's full-text search over the whole thing, and it goes beyond options too (futures, fundamentals, macro, crypto/perps, a quant section) if that's useful.
There's a flashcard mode on the home page https://learner.tradoing.com if you learn by doing, but the reference is the real substance and it's completely open.
I'm one person and I've surely gotten something wrong in here somewhere. If you spot an error or a missing gotcha, tell me. I'd much rather have it corrected than leave someone with a subtle bug in their P&L. Hope it saves someone an afternoon of debugging.