Resources

The standard reference for forwards, futures, binomial trees, Black–Scholes and Greeks. M07: futures mechanics, hedging, forward/futures pricing (chs. 2, 3, 5 in recent editions). M08: chs. 10–11, 13–15, 18–19. M09: Greeks, smiles, strategies. M10: commodity futures and Black's model. Chapter numbers drift between editions.

How option traders think: volatility, spreads, risk considerations, position adjustments. The practitioner's counterweight to Hull.

Realised-volatility estimators, the delta-hedged P&L derivation of M09 · 9.3, and the variance premium.

Ch. 4 on the variance premium; event trading and sizing short-volatility positions.

Chs. 1–4 (local and stochastic volatility), ch. 2 (term structure and calendar no-arbitrage), ch. 11 (variance swaps). For depth.

Backtest overfitting (chs. 11, 12, 14), triple-barrier and meta-labelling (ch. 3), sample uniqueness (ch. 4), purged cross-validation (ch. 7).

Practical backtesting and simple strategy families.

Ch. 1 backtesting pitfalls; ch. 2 ADF, Hurst exponent, half-life, Johansen; ch. 3 Bollinger bands and the Kalman filter for pairs; ch. 6 interday momentum.

Ch. 1 returns and their distributions; chs. 2–4 linear models, GARCH family, Markov switching; ch. 7 extreme values, VaR and ES.

Ch. 1 (returns, aggregation, lognormal model) and ch. 2 (random-walk tests, variance ratios) for M02 · 2.1–2.4; ch. 4 (event-study analysis, J1 and J2) for M12.

Ch. 3 stationary ARMA, ch. 4 forecasting, ch. 13 Kalman filter, ch. 17 unit roots, chs. 18–20 spurious regression, cointegration and Johansen, ch. 21 GARCH, ch. 22 regime switching.

Chs. 1–2 one-period and multi-period no-arbitrage and the risk-neutral measure; ch. 4 American options. The proof reference for M08 · 8.3–8.4.

Ch. 3 Brownian motion and quadratic variation (3.7 reflection principle), ch. 4 Itô integral, Itô's lemma and the BSM PDE, ch. 5 Girsanov and risk-neutral pricing, ch. 6 Feynman–Kac, 7.2 maximum of Brownian motion with drift.

Chs. 7–8 risk-free rate, ERP and beta; 11–12 growth and terminal value; 17–18 multiples; the chapter on valuing financial service firms for M06A.

Read the whole book in a weekend before M06.

Chs. 2–3: the value driver formula, ROIC and growth. The chapters on banks and on cyclical companies for M06A.

Taxonomy of accounting manipulation; companion to the forensic checklist of M06 · 6.8.

A rigorous Indian long-term investing philosophy.

Parts III–IV: prospect theory and biases, from the source.

The probabilistic mindset of execution.

Autobiography: blackjack, Kelly in practice and Princeton–Newport.

The history of oil, which explains its present; the chapters on 1973 and 1990 for M12.

Chs. 1–6 (the trading industry, orders, market structures) and the chapters on order-driven markets and call auctions; later chapters on informed traders, liquidity and transaction-cost measurement. The best single book on how markets work.

Ch. 2 trading mechanisms; ch. 3 the Roll model; ch. 5 sequential trade; ch. 7 strategic trade (Kyle). The book page has Mathematica notebooks for each chapter.

Ch. 1 auction and dealer frameworks; chs. 3–4 information-based models.

Ch. XIV, 'Random walk and ruin problems', 1–3: the classical treatment of M03 · 3.6.

Chapters on expectancy and position sizing, for the R-multiple vocabulary; ignore claims not backed by data.

Ch. 7: Brownian motion and first-passage problems with drift, behind the stop/target barrier results of M04A · 4A.6.

Ch. 2 bond pricing; ch. 4 duration and convexity.

Calibration, base rates and the habits of good forecasters; the basis of the forecast journal of M13 · 13.8.

Ch. 20, 'Margin of Safety'.

The Indian quality-compounder screen discussed in M06 · 6.9.

Free book (STEM Academic Press, 2020). Read chs. 3–4 after M02 for the case that moment-based statistics fail under power laws. arXiv 2001.10488 checked 6 Nov 2026 (full title: Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications).

Narrative source for M01 Case 3 (the securities scam).

Bold play in subfair games: when the odds are against you, bet big and few times.

Reference collection of the Kelly literature.

Narrative history of LTCM: the M03 · 3.10.1 leverage case and the M08 LTCM case.

Ch. 1: maxima of Gaussian sequences, behind the expected maximum Sharpe ratio in M04 · 4.6.

Stage analysis, coded as a testable rule set in M04 · 4.2. Read as a hypothesis generator.

CAN SLIM, restated as testable rules in M04 · 4.2 (one chapter per letter; selling rules in 'When to Sell and Cut Your Losses' and 'When to Sell and Take Your Profit'). Publisher's page has the table of contents (ISBN 9780071614139). Read as a hypothesis generator.

The Trend Template ('Trading with the Trend') and SEPA of M04 · 4.2; the VCP in 'A Picture Is Worth a Million Dollars'. Publisher's page has the table of contents (ISBN 9780071807227). Read as a hypothesis generator.

Volatility contraction patterns and trade management, for M04 · 4.2.

Darvas boxes, coded in M04 · 4.2. Read as a hypothesis generator.

Origin of ATR and RSI and Wilder's smoother (M04A · 4A.7).

The chapters on metaorder impact and the square-root law, for depth on M05 · 5.5.

The optimal-execution chapters, which extend Almgren–Chriss with stochastic control (M05 · 5.7).

Tying a company's story to the inputs of the DCF; for depth after the Little Book.

How valuation inputs change as a company ages; for depth.

The reverse DCF as a discipline: read the expectations in the price before forming your own (M06 · 6.6).

The scuttlebutt method and the qualitative quality checklist of M06 · 6.9.

Lynch's company categories and PEG heuristic, discussed in M06 · 6.9.

Where we are in the cycle, as a complement to bottom-up valuation.

The industry's own textbook for distributors: structure, documents, processes, taxation, the investor-service vocabulary used in M06B · 6B.1-6B.4. The current edition was not checked; download from the NISM site.

How the Black–Scholes model reshaped the market it described; background for M08 Case A.

The rigorous competitive-storage model; for depth on M10 · 10.2.

Reference text on commodity markets and derivatives.

The commodity trading houses and how physical markets work.

Ch. 8: policy rules and the Taylor principle in New Keynesian models (M11 · 11.6).

Most experts' long-range political forecasts did little better than simple baselines (M13 · 13.8).

Chs. 4–6 and 11: the full theory behind the Johansen method of M13A · 13A.6.

Ch. 4: filtering, smoothing and likelihood, for the Kalman-filter hedge ratio of M13A · 13A.9.

Practitioner book on cointegration-based pairs trading.

Chs. 1–2: risk contributions and risk budgeting, for M14 · 14.4.

Process-focused self-coaching for traders (M14 · 14.9).

The book behind the talk listed as steenbarger-psychology-2 (M14 · 14.9).

Judge decisions, not outcomes: separating skill from luck in the trade journal (M14 · 14.9).

The Turtle trend-following rules (breakout entries, ATR-based sizing and stops) by one of the traders; background for the trend rule of Playbook 15.11.

L1 terms and concepts (M01); L5 stochastic processes, martingales, optional stopping (M03); L6 regression, L8 time series (M04, M13); L7 VaR, L9 volatility modelling (M02, M09, M13); L14–16 portfolio and factors (M14); L17–19 stochastic processes, Itô calculus, Black–Scholes (M08); L20 option price and probability duality (M09).

Introductory sessions (M01), forwards and futures (M07), options and efficient markets for intuition (M06).

25 short sessions with slides and post-class tests. Sessions 1–11 (intrinsic valuation) and 14–15 (relative valuation, P/E) for M06.

Indian context, follows Hull; weeks on forwards, futures and hedging.

Stochastic-calculus refresher: Itô calculus and the Black–Scholes formula. Archive: https://archive.nptel.ac.in/noc/courses/noc16/SEM1/noc16-ma02

Course 1: no-arbitrage, forwards and futures, strong binomial-model exercises.

Free futures, metals and energy courses.

EMH, behavioural finance, institutions; lectures on the bond market and central banking for M11. Course page checked 6 Nov 2026: Financial Markets (2011), Robert J. Shiller.

A full free master's programme if you want to go further after the course.

Units 3 (equity futures and forwards), 6 (trading mechanism) and 7 (clearing, settlement and risk management): the most structured treatment of Indian F&O plumbing. Syllabus page cited in M07: https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/

Indian course on commodity derivatives: VaR-based margins, seasonality, hedge ratios, basis risk, bullion, energy and base metals, manipulation cases. Course page checked 6 Nov 2026 (offered on SWAYAM, e.g. noc21-mg58, noc23_mg86).

Kelly in practice. Link checked 6 Nov 2026 ("128 TIP: Edward Thorp – A Man for All Markets", The Investor's Podcast channel); content not reviewed for M03.

How a systematic research organisation thinks about signals and data.

Backtest overfitting, leakage and labelling failures in one talk.

Sinclair on the variance premium and sizing. Episode released 27 Jul 2020 on the Flirting with Models podcast (Newfound Research); find it by title on any podcast platform. The book it discusses is Sinclair, Positional Option Trading (Wiley, 2020).

The credit-cycle framework behind M11 · 11.13. Link checked 6 Nov 2026 (Principles by Ray Dalio channel).

System 1 and System 2, loss aversion and the planning fallacy, from the source.

Process-focused trading psychology. Link checked 6 Nov 2026 ("Trading Psychology 2.0 with Dr. Brett Steenbarger").

The clearest short treatment of storage, convenience yield and volatility. Read first for M10.

Base rates for retail F&O outcomes.

The latest retail F&O loss data, after the October 2024 framework; canonical treatment in M01 · 1.11 Case 1. Press release: https://www.sebi.gov.in/media-and-notifications/press-releases/aug-2026/sebi-studies-indicate-key-trends-in-retail-participation-trading-behaviour-and-profitability-in-the-equity-derivatives_103838.html . The PDF's text could not be machine-extracted on 6 Nov 2026; the course's figures come from summaries (e.g. https://www.corplawupdates.in/updates/sebi-equity-derivatives-retail-trader-study-fy26) and should be checked against the PDF tables.

Base rates for retail intraday outcomes in the cash segment.

The list of stylized facts that M02 · 2.5 tests on the Nifty.

The variance-ratio test of M02 · 2.3, with the heteroskedasticity-robust statistic.

The binary case, continuous approximation and fractional Kelly match M03 · 3.2–3.4. DOI: https://doi.org/10.1016/S1872-0978(06)01009-X

Why full Kelly is too aggressive in practice; links M14 · 14.8 back to M03.

The original growth-optimal betting paper.

Short and complete; M04 · 4.5 follows it (standard errors, serial correlation, annualisation).

Multiple testing in factor research: why a t-statistic of 2 is no longer enough.

The deflated Sharpe ratio of M04 · 4.6.

Combinatorially symmetric cross-validation and PBO.

Cross-sectional momentum.

Trend following across asset classes; link is the AQR data page.

Chart patterns detected by kernel regression and tested statistically. Link is NBER WP 7613.

Evidence that published support and resistance levels predict intraday trend interruptions.

The Roll model of M05 · 5.2.

Strategic informed trading and Kyle's lambda (M05 · 5.4).

The mean–variance execution trajectory of M05 · 5.7; author preprint widely available.

Turnover destroys retail returns.

Read all of it: the source for M12 · 12.1–12.3 and the earnings event studies of M06A.

The classic PEAD paper behind M06A · 6A.2.

The original derivation.

No-arbitrage bounds, continuous dividends and the rigorous continuous-time argument.

Synthetic variance swaps and the size of the variance risk premium (M09 · 9.4).

The VIX computation of M09 · 9.6. Cboe now publishes the method as an index-methodology document (v5 dated 11 Sep 2025 at the time of checking, 6 Nov 2026); the old vixwhite.pdf link is retired. India VIX uses the same construction (NSE India VIX white paper).

Commodity futures risk premium and roll returns (M10 · 10.3).

Gold's real price, its relation to inflation, and why it is hard to value (M10 · 10.6).

Supply versus demand oil shocks: the structural VAR that separates oil supply, aggregate demand and oil-specific precautionary demand. Used in M10 · 10.8.1 and M12 · 12.7.

The Taylor rule of M11 · 11.6.

Construction and properties of the GPR index (M12 · 12.4).

Out-of-sample failure of the classic predictors (M13 · 13.3). Working paper: https://nber.org/papers/w10483

Out-of-sample R² with economically motivated restrictions (M13 · 13.3).

The regime-switching model and filter of M13 · 13.5.

The theory behind M13 · 13.7.

The two-step method of M13A · 13A.5.

The distance method and its historical returns.

Mean–variance optimisation (M14 · 14.1).

Estimation error makes sample mean–variance lose to 1/N (M14 · 14.2).

Read with Tversky and Kahneman (1992), 'Advances in prospect theory', Journal of Risk and Uncertainty 5(4):297–323, https://econpapers.repec.org/RePEc:kap:jrisku:v:5:y:1992:i:4:p:297-323

The disposition effect in brokerage data (M14 · 14.9).

The academic account of how the scam worked, read with Dalal and Basu for M01 Case 3.

How stale prices induce spurious autocorrelation in index returns; context for the variance-ratio results of M02 · 2.3.

Sampling more often does not sharpen the estimate of the mean (M02 · 2.4).

The original case for heavy tails in price changes (M02 · 2.6).

The Hill tail-index estimator derived and applied in M02 · 2.6.

Tail exponent of about 3 for individual stock returns.

The inverse cubic law for index returns and how it changes with horizon.

Finds a tail exponent of about 3 for NSE and BSE index returns at 1-minute and daily scales: the Indian evidence for M02 · 2.6.

The Jarque–Bera normality test.

Correlations conditioned on high volatility are biased upward; the conditioning bias of M02 · 2.9 (Proposition 2.15); reused in M14.

Correlation rises in bear-market tails but not in bull-market tails; why diversification weakens when it is needed (M14).

Downside correlations exceed upside correlations in US equity portfolios.

The asymptotic optimality of the growth-optimal (Kelly) strategy cited in M03 · 3.2.

The distribution of maximum drawdown for Brownian motion with drift (M03 · 3.8).

The growth-optimal portfolio as a numeraire under which asset prices are fair; a further property of Kelly.

The official report on LTCM, quoted in M03 · 3.10.1 on correlations going to one.

Momentum's crash risk after market rebounds (M04 · 4.3). Link is the NBER working paper; the numbers quoted in M04 are from it (sample 1927:01–2013:03).

Volatility-scaling momentum to tame its crashes (M04 · 4.3).

Decomposes contrarian profits into own-autocorrelation and cross-autocovariance terms: the source of M04 Proposition 4.6; cited again for stat-arb in M13A.

Short-term (one-month) reversal (M04 · 4.3).

Weekly reversal profits (M04 · 4.3); the contrarian ancestor of the stat-arb strategies of M13A.

Nearness to the 52-week high predicts returns: the evidence behind the Minervini/Weinstein-style rules of M04 · 4.2.

Anomaly returns fall after publication: expect live performance below the backtest (M04; factor discussion of M06A).

Moving-average and trading-range-break rules tested with bootstrap nulls (M04 · 4.1).

Re-tests Brock et al. with White's Reality Check: the technical-rule results do not survive out of sample (M04 · 4.1).

Bootstrap test of the best of many strategies against a benchmark (M04 · 4.6).

The SPA test, a less conservative refinement of White's Reality Check (M04 · 4.6).

Stepwise procedure that identifies which strategies beat the benchmark (M04 · 4.6).

Holm's step-down control of the family-wise error rate (M04 · 4.6).

The Benjamini–Hochberg FDR procedure of M04 · 4.6. Read with Benjamini and Yekutieli (2001), Annals of Statistics 29(4), for arbitrary dependence (title not given in the notes).

Source of the probabilistic Sharpe ratio (PSR) and minimum track record length (MinTRL) of M04 · 4.5.

Block bootstrap with random block lengths, for resampling serially dependent returns.

Clustered stop-loss and take-profit orders at round numbers as the mechanism behind support and resistance (M04A · 4A.2). Link is FRBNY Staff Report 125 (working paper).

Support and resistance levels coincide with depth in the limit-order book (M04A · 4A.2).

Candlestick patterns tested with bootstrap nulls find no value (M04A · 4A.1).

Unusually high volume predicts higher subsequent returns (M04A · 4A.3, 4A.5).

Survey of the volume–price-change relation behind M04A · 4A.3.

Shift the barrier to correct continuous-monitoring formulas for stops checked only at discrete times (M04A · 4A.6, 4A.8).

Drawdown-type stopping of Brownian motion, behind the barrier results of M04A · 4A.6. Volume, issue and pages checked against Crossref (DOI 10.1214/aop/1176996395), 6 Nov 2026.

Trailing-stop exit as a stopping time based on the running maximum (M04A · 4A.8); shows the maximum at the stop is exponential for Brownian motion. Open access on Project Euclid; citation checked 6 Nov 2026 (DOI 10.1214/aop/1176995770).

The sequential-trade model of M05 · 5.3: the spread as compensation for adverse selection.

Why volume and volatility concentrate at the open and close: the intraday U-shape of M05.

Empirical temporary and permanent impact functions from institutional orders (M05 · 5.5).

The square-root impact law and a latent-liquidity explanation for it (M05 · 5.5).

Constraints that rule out price manipulation linking impact shape and decay (M05 · 5.5).

The implementation-shortfall benchmark of M05 · 5.6.

The VWAP benchmark for measuring execution cost (M05 · 5.6).

The first half-hour return predicts the last half-hour return (M05 · 5.8).

Opening-range breakout evidence discussed in M05 · 5.8; a working paper, read critically.

Intraday momentum on SPY with volatility-based bands (M05 · 5.8); a working paper, read critically.

Taiwan day traders: fewer than 1% earn predictably positive returns net of fees (M05 · 5.10; M14).

Day traders keep trading despite losses: learning about one's own skill is slow (M05 · 5.10).

Brazilian futures day traders who persisted for 300+ days: almost all lost money (M05 · 5.10; M14).

The CAPM behind the cost of equity of M06 · 6.5.

The independent derivation of the CAPM (M06 · 6.5).

Why the CAPM fails empirically yet survives in practice (M06 · 6.5).

The Beneish M-score of M06 · 6.8.

The Piotroski F-score of M06 · 6.8.

The first earnings event study, and the first sighting of post-announcement drift (M06A · 6A.2).

PEAD as underreaction to the autocorrelation of earnings surprises (M06A · 6A.2).

Drift is larger where arbitrage is riskier (M06A · 6A.2).

Friday announcements get a weaker immediate response and more drift (M06A · 6A.2).

More drift on days crowded with other announcements (M06A · 6A.2).

PEAD has largely disappeared in recent US large caps (M06A · 6A.2).

Tender-offer buybacks as signals (M06A · 6A.4).

Long-run drift after open-market buyback announcements (M06A · 6A.4).

Merger arbitrage pays like a short put on the market (M06A · 6A.7).

Why merger-arbitrage spreads stay wide (M06A · 6A.7).

The winner's-curse explanation of IPO underpricing (M06A · 6A.8).

IPOs underperform over the following years (M06A · 6A.8).

Long-run underperformance of IPOs and seasoned offerings (M06A · 6A.8).

Underpricing across countries, including India (M06A · 6A.8). Link is Ritter's updated international table.

Insider purchases carry information; sales mostly do not (M06A · 6A.9).

Separating opportunistic from routine insider trades (M06A · 6A.9).

The residual-income model behind P/B valuation of banks (M06A · 6A.10).

The three-factor model (M06A · 6A.12).

Adds profitability and investment factors (M06A · 6A.12).

The four-factor model with momentum (M06A · 6A.12); persistence of fund performance explained by momentum and expenses (M06B · 6B.7).

The low-beta anomaly and leverage constraints (M06A · 6A.12).

The quality factor (M06A · 6A.12).

Methodology paper for the IIMA Indian Fama–French–Momentum data library (M06A · 6A.12).

Secondary Indian evidence on post-earnings-announcement drift; read critically. Title not given in the notes.

Secondary Indian evidence on post-earnings-announcement drift; read critically. Title not given in the notes.

The regulatory response to market timing after the 2003 scandal (M06B · 6B.12.4); read with SEC press release 2004-33 (Bank of America settlement), https://www.sec.gov/news/press/2004-33.htm

The reward-to-variability (Sharpe) ratio, introduced to rank mutual funds (M06B · 6B.7).

Jensen's alpha and the first large test of fund skill: funds did not beat buy-and-hold after costs (M06B · 6B.7).

Skill, decreasing returns to scale and competitive flows: why net alpha does not persist although managers are skilled. M06B Proposition 6B.7.1 is a linear version.

Bootstrap simulation of alpha t-statistics under zero true alpha; few funds cover their costs (M06B · 6B.7.2).

Active share (M06B (6B.20)) and closet indexing.

The active expense ratio of M06B (6B.33): what a fund charges for the part of the portfolio that differs from the index.

Stale-price arbitrage in US international funds and its dilution of long-term holders (56 bp a year in 1998–99, 114 bp in 2001); the background to the 2003 scandal (M06B · 6B.2, 6B.12.4).

Why funds holding illiquid assets are prone to runs, with evidence; the model behind M06B Proposition 6B.10.2.

The cost to index funds of trading at index-change prices pushed by anticipating traders (M06B · 6B.8).

ETF premiums and discounts relative to NAV, largest for illiquid and international ETFs (M06B · 6B.9).

ETF arbitrage transmits liquidity shocks to the underlying stocks: stocks with more ETF ownership are more volatile (M06B · 6B.9).

Why precommitted averaging is dominated by a policy that conditions on information (M06B Proposition 6B.6.2).

The source of M07 Props 7.5–7.6: forward and futures prices coincide under deterministic rates and differ with stochastic rates (7.2.3–7.2.4).

Companion to Cox–Ingersoll–Ross on the futures–forward gap (M07 · 7.2.4).

The risk-neutral pricing principle used in M07 · 7.2.4 and the continuous-time martingale theory behind M08.

Minimum-variance hedging (M07 · 7.6.2).

Minimum-variance hedge ratio and R² as the measure of hedging effectiveness (M07 · 7.6.2).

The defence of MG's stack-and-roll hedge (M07 · 7.8.1).

The critique: the stack hedge created funding risk the firm could not carry (M07 · 7.8.1).

Argues the one-for-one stack was a speculative position, not a hedge (M07 · 7.8.1).

Black-76: options on futures, used for Nifty and MCX options in M08 · 8.8.

The binomial tree of M08 · 8.3–8.4.

No arbitrage and the existence of an equivalent martingale measure (M08 · 8.3).

A starting point that guarantees Newton's method converges for implied volatility (M08 · 8.10).

A tree that removes most of the odd–even oscillation of CRR convergence (M08 · 8.4).

Implied volatility to machine precision in two iterations; the production method mentioned in M08 · 8.10.

Official account of the 1998 recapitalisation, cited in M08 Case A.

Replicating a variance swap with a strip of options (M09 · 9.6). Also circulated as the Goldman Sachs Quantitative Strategies note "More Than You Ever Wanted to Know About Volatility Swaps".

The high–low range estimator of M09 · 9.2.2.

The OHLC estimator of M09 · 9.2.3.

A drift-robust range estimator (M09 · 9.2.3).

The estimator that also handles overnight gaps (M09 · 9.2.3).

The distribution of the range of Brownian motion behind Parkinson's estimator (M09 · 9.2.2).

Hedging with a misspecified volatility: P&L depends on implied minus realised variance weighted by gamma (M09 · 9.3).

Delta-hedged P&L and the log-contract replication of variance (M09 · 9.3, 9.6).

Hedging at implied versus realised volatility and the resulting P&L paths (M09 · 9.3).

Hedging error from discrete rebalancing (M09 · 9.3).

Delta-hedged long options lose on average: evidence for the variance risk premium (M09 · 9.4).

Index option returns are too negative for the CAPM (M09 · 9.4).

The variance risk premium predicts equity returns (M09 · 9.4).

Indian evidence on the variance risk premium (M09 · 9.4).

The risk-neutral density as the second strike-derivative of call prices (M09 · 9.5).

The post-1987 skew and trees fitted to it (M09 · 9.5).

Demand for index puts shapes the skew (M09 · 9.5).

End-user demand moves option prices when dealers cannot hedge perfectly (M09 · 9.5).

Sticky-strike, sticky-delta and sticky-implied-tree regimes of the smile (M09 · 9.5).

The local-volatility formula of M09 · 9.5.

The Heston stochastic-volatility model (M09 · 9.5).

Probability weighting makes investors overpay for lottery-like payoffs, such as far OTM options (M09 · 9.12.3).

Extracting the market's expected earnings-day move from the option term structure (M09A · 9A.10).

Delta hedging by long-gamma dealers pins prices to strikes near expiry (M09A · 9A.6).

Evidence that optionable stocks cluster at strikes on expiry (M09A · 9A.6).

Pinning in an index futures market (M09A · 9A.6).

The put–call ratio from opening buys on proprietary data predicts returns; public PCR does much less (M09A · 9A.4). Link is NBER WP 10925.

Origin of the convenience yield (M10 · 10.2).

The supply-of-storage curve: spreads as the price of storage (M10 · 10.2).

Convenience yield falls as inventories rise (M10 · 10.2).

Storage with a non-negativity constraint generates skewed prices and occasional spikes; for depth on M10 · 10.2.

Empirical test of the theory of storage across commodities (M10 · 10.2).

Roll yield, not spot return, drives long-run commodity futures returns (M10 · 10.3).

Inventories, the futures basis and risk premiums: the inventory evidence for M10 · 10.2–10.3.

The Hotelling rule of M10 · 10.4.

Survey of how the Hotelling rule fares in the data (M10 · 10.4).

Gold as a durable asset whose price moves inversely with real rates (M10 · 10.4, 10.6).

The Dickey–Fuller unit-root test: the gold/silver ratio of M10 · 10.7 and the proofs of M13A · 13A.2.

The yield-curve slope as a recession predictor (M11 · 11.5).

The forward premium puzzle: high-interest currencies do not depreciate as UIP predicts (M11 · 11.9).

Persistent CIP deviations after 2008 and bank balance-sheet costs (M11 · 11.8).

Carry-trade returns are negatively skewed: up the stairs, down the elevator (M11 · 11.9).

The 2013 taper tantrum and India's exposure through its external balances (M11 case studies).

Real exchange rates revert with a half-life of years (M11 · 11.9). Citation checked 6 Nov 2026: JEL 34(2), June 1996, pp. 647–668 (RePEc record; publisher version on JSTOR).

Asset-class performance in inflationary regimes (M11 · 11.13): commodities had the strongest real returns, and cross-sectional momentum was the strongest equity factor. Journal citation checked 6 Nov 2026 (Duke scholars record); the working paper is SSRN 3813202.

The global financial cycle limits monetary independence even under floating rates (M11 · 11.7). Citation checked 6 Nov 2026 against the Fed in Print record (fedinprint.org/item/fedkpr/21390).

The DXY as a geometric average of six currencies against the dollar (M11 · 11.10).

The standardised-abnormal-return (Patell) test of M12 · 12.3.

The BMP test, robust to variance that rises on the event day (M12 · 12.3).

Adjusting event-study tests when events cluster in calendar time (M12 · 12.3).

A geopolitical-risk index built with AI, the successor to the text-count GPR (M12 · 12.4); data at the same page.

The three forms of market efficiency (M13 · 13.1).

Prices cannot be fully informative if information is costly: the Grossman–Stiglitz paradox of M13 · 13.1.

Update of Welch–Goyal with 29 newer variables: most fail out of sample (M13 · 13.3).

The small-sample bias of predictive regressions with persistent regressors (M13 · 13.3, Proposition 13.9).

The ARCH model (M13 · 13.4).

The GARCH(1,1) model of M13 · 13.4.

Robust standard errors for GARCH estimated under a wrong (normal) likelihood (M13 · 13.4).

Strict stationarity of GARCH(1,1), including IGARCH (M13 · 13.4).

Which loss functions rank variance forecasts correctly against a noisy proxy (MSE and QLIKE) (M13 · 13.4).

The Kim smoother for regime-switching models (M13 · 13.5).

The Brier score of M13 · 13.7.

The reliability–resolution–uncertainty decomposition of the Brier score (M13 · 13.7, Proposition 13.20).

Good Judgment Project: training, teaming and tracking improve Brier scores (M13 · 13.8 and case studies). Summary: https://www.psychologicalscience.org/publications/observer/obsonline/predicting-uncertain-events-on-a-global-scale.html

Conditional models forecast five-day and monthly Nifty realised volatility poorly (M13 · 13.4). Title, author and PDF checked on the IIMA listing, 6 Nov 2026; the module reports it at abstract level, so read the paper before relying on details.

GARCH augmented with India VIX beats plain GARCH and implied volatility alone for Nifty 50 realised volatility (M13 · 13.4). Title, authors and date checked on the PDF's title page, 6 Nov 2026; reported at abstract level, so read the paper before relying on details.

Another Indian comparison of implied (India VIX) and realised-volatility forecasts (M13 case studies). Title, authors and date checked on the PDF's title page, 6 Nov 2026; cited at abstract level.

Justifies the augmented Dickey–Fuller test with a growing lag order (M13A · 13A.2).

Response-surface critical values for unit-root and Engle–Granger tests (M13A · 13A.2, 13A.5).

Power of unit-root tests depends on the span of data, not the number of observations (M13A · 13A.2).

The KPSS test, with stationarity as the null (M13A · 13A.2).

Regressing one random walk on another gives significant t-statistics by accident (M13A · 13A.3).

The asymptotic theory of spurious regression (M13A · 13A.3).

Why Engle–Granger residual tests need their own critical values (M13A · 13A.5).

The reduced-rank regression and trace test of M13A · 13A.6.

The full Johansen framework with deterministic terms (M13A · 13A.6).

Dynamic OLS: efficient estimation of the cointegrating vector.

Fully modified OLS for cointegrating regressions.

Permanent–transitory decomposition and price-discovery shares (M13A · 13A.4).

Information shares: which market leads price discovery (M13A · 13A.4).

Optimal entry and exit bands for an OU spread and the expected cycle time (M13A · 13A.8).

Optimal stopping for OU spreads with costs and stop-losses (M13A · 13A.8).

Factor-residual (PCA and ETF) statistical arbitrage with OU s-scores.

The exponentially weighted average as the optimal (Kalman) forecast of a random walk plus noise (M13A · 13A.9).

The Chow test for a break at a known date (M13A · 13A.10).

The sup-F idea for a break at an unknown date (M13A · 13A.10).

Asymptotic critical values for the sup-F test (M13A · 13A.10).

The CUSUM and CUSUM-of-squares tests (M13A · 13A.10).

Multiple breaks at unknown dates (M13A · 13A.10).

The dynamic-programming algorithm for Bai–Perron (M13A · 13A.10).

Cointegration tests that allow one break in the cointegrating vector (M13A · 13A.10).

The quant crash of August 2007: crowded mean-reversion strategies unwinding together, documented with factor and transactions data (M13A · 13A.13). The extended version of the authors' 2007 paper of the same name (Journal of Investment Management 5, 29–78, 2007; https://web.mit.edu/~alo/www/Papers/august07.html), which it supersedes; read this one.

Arbitrageurs with outside capital are forced to cut positions exactly when mispricing widens.

Equal-risk-contribution portfolios sit between minimum variance and 1/N (M14 · 14.4).

Shrinkage towards a scaled identity: the Ledoit–Wolf estimator of M14 · 14.3.

The practitioner version of covariance shrinkage (M14 · 14.3).

Mean–variance optimisers maximise estimation error (M14 · 14.2).

Scaling exposure inversely to recent variance raises Sharpe ratios (M14 · 14.5).

Optimal policy under a maximum-drawdown constraint: risk exposure proportional to the distance from the floor (M14 · 14.8).

Cumulative prospect theory, read with Kahneman and Tversky (1979) for M14 · 14.9.

Names and explains the disposition effect (M14 · 14.9).

Overconfidence: men trade more than women and earn less for it (M14 · 14.9).

Time-series momentum across futures markets since 1880; the evidence behind trend rules on commodity futures (Playbook 15.11, M04 · 4.3.2).

Daily settlement prices, OI, volumes and lot sizes for every F&O contract; replace YYYYMMDD. Old-format archive (e.g. March 2020): https://nsearchives.nseindia.com/content/historical/DERIVATIVES/2020/MAR/foDDMAR2020bhav.csv.zip ; report index cited in M13A for lot sizes: https://www.nseindia.com/all-reports-derivatives

Daily OHLC, traded and deliverable quantity per security; replace DDMMYYYY.

Client, DII, FII and proprietary long/short OI in index and stock futures and options; replace DDMMYYYY.

Repo history, WACR, liquidity, reserves, REER/NEER.

The primary weekly series for India's foreign-exchange reserves (with their split into currency assets, gold, SDRs and the IMF position), the RBI balance sheet, money and banking aggregates. Use it, not press reports, for any weekly reserves figure (M11 · 11.11). The page sometimes fails to load; the same tables are in DBIE.

The official CPI that the RBI's inflation target is defined on (M11). Monthly press releases with item and state detail. Check the current base year and release calendar on the page before using a series.

Positions by trader category in US futures (COMEX gold and silver, NYMEX crude: disaggregated report with managed money, swap dealers and producers). Generally published Fridays at 15:30 ET with data as of the preceding Tuesday (page checked 6 Nov 2026). Used in M10 · 10.12 and capstone C4.

The international gold and silver benchmarks behind import parity (M10 · 10.5). Gold auctions at 10:30 and 15:00 London time, silver at 12:00 (page checked 6 Nov 2026). Current prices are shown on the page; historical tables need an IBA licence, so use a free alternative (for example the World Bank's monthly commodity price data, the 'Pink Sheet') for backtests and say which one you used.

Series used in the course: DGS10, DGS2, DFII10, T10YIE, T10Y2Y, T10Y3M, DFEDTARU, DEXINUS, DTWEXBGS, TRESEGINM052N, INDIRLTLT01STM. Toolkit: toolkit.data.fred("DFII10").

Indian market, size, value and momentum factor returns (release 2025-12 used in M06A).

Country risk premiums (July 2026 sheet: https://pages.stern.nyu.edu/~adamodar/pc/datasets/ctrypremJuly26.xlsx) and spreadsheets such as the fcffginzu DCF and synthetic rating: https://pages.stern.nyu.edu/~adamodar/New_Home_Page/spreadsh.htm

Active-fund underperformance against benchmarks: the index baseline of M06 · 6.11 and the evidence of M06B · 6B.7.2.

Monthly and daily GPR series; the AI-GPR index is at https://www.matteoiacoviello.com/ai_gpr.html

Weekly US inventories (an event-calendar item); Brent (RBRTED) and WTI (RWTCD) daily spot histories at https://www.eia.gov/dnav/pet/ ; STEO at https://www.eia.gov/outlooks/steo/ ; Today in Energy chokepoint notes used in M12 (Hormuz, 16 Jun 2025; Bab-el-Mandeb, 11 Oct 2024).

Gold Demand Trends Q3 2026: https://www.gold.org/goldhub/research/gold-demand-trends/gold-demand-trends-q3-2026 ; Gold Return Attribution Model: https://www.gold.org/goldhub/tools/gold-return-attribution-model

Every scheme's TER, both plans, split into base expense ratio, brokerage, transaction costs and statutory levies under the 2026 Regulations. Use it for Worked example 6B.3 with current numbers.

Industry AUM by category, SIP inflows and accounts, folios, index-fund and ETF AUM. M06B · 6B.5 uses the September 2026 note: https://www.amfiindia.com/uploads/AMFI_Monthly_Note_September2026_554f6604b6.pdf

The P&L of Worked example 6B.5 and the 45/10/35 bp economics. Presentation: https://files.hdfcfund.com/s3fs-public/2026-04/Shareholders%20Presentation%20Q4%20FY26.pdf . Read one listed AMC's annual report alongside 6B.5.

Primary record of the resumption of overseas subscriptions after the February 2022 halt (M06B · 6B.9.3).

Daily index closes and valuation ratios; used for the dividend yield in cost of carry and the March 2020 basis study (M07 · 7.8.2); replace DDMMYYYY.

Silver supply and demand data for M10 · 10.7.

Indian crude basket, imports and consumption data for M10 · 10.8.

Monthly gold and silver ETF flows (M10 · 10.5–10.6); daily NAVs, TERs and industry data for M06B.

Holston–Laubach–Williams and Laubach–Williams r* estimates (M11 · 11.5, 11.15). The ACM term-premium series is on the NY Fed research pages (no URL given).

Daily and monthly FPI flows by asset class (M11 · 11.12). Read with NSE's daily FII/DII provisional data.

Indian government-bond yields (CCIL: Data & Statistics → Bond Market; tenor-wise indicative yields and the zero-coupon curve) and the INR reference rate and G-sec valuations (FBIL, https://www.fbil.org.in/), used in M11 · 11.11 and 11.15.

Daily transit counts through Hormuz, Bab-el-Mandeb and other chokepoints, for the M12 case studies.

Monthly oil balances and the emergency stock-release mechanism (see also iea-stock-release-2026 for M10).

News-based policy-uncertainty indices, a companion to the GPR index of M12 · 12.4.

Primary source for the investing philosophy mapped onto the course in M14 · 14.11.

Capital allocation, moats and intrinsic value in the owner's own words.

Primary source for every regulatory fact. Circular listing: https://www.sebi.gov.in/sebiweb/home/HomeAction.do?doListing=yes&sid=1&ssid=7&smid=0 ; orders: https://www.sebi.gov.in/enforcement/orders.html

Contract size of at least ₹15 lakh at launch, one weekly expiry per exchange and an extra 2% ELM on short options on expiry day (all from 20 Nov 2024); upfront premium and no calendar-spread benefit on expiry day (1 Feb 2025); intraday position-limit monitoring (1 Apr 2025). Eight pages; read paras 5–7.

CAS 15:15–15:35 for F&O stocks from 3 Aug 2026; pre-open changes from 7 Sep 2026 (para 6). Read paras 4–6. Fetched 6 Nov 2026.

From 7 Dec 2026: CAS 15:30–15:40, post-close 15:50–16:00, index derivatives to 15:45 (expiring contracts to 15:30), expiry settlement on the last 30 minutes' VWAP (para 4.9); carry-forward of continuous-session orders into CAS from 8 Feb 2027. Seven pages. Fetched 6 Nov 2026.

Pre-open timings from 7 Sep 2026 (Table A), order types allowed, and the equilibrium-price rule (FAQ, Q8). The archive is a zip of the circular and the FAQ. Fetched 6 Nov 2026.

Read in full before automating any live trading. Applicable to all brokers from 1 Apr 2026 under the timeline circular SEBI/HO/MIRSD/MIRSD-PoD/P/CIR/2025/132 of 30 Sep 2025 (https://www.sebi.gov.in/legal/circulars/sep-2025/extension-of-timeline-for-implementation-of-sebi-circular-dated-february-04-2025-on-safer-participation-of-retail-investors-in-algorithmic-trading-_96979.html). The orders-per-second threshold and operational modalities are in the exchanges' implementation standards. Fetched 6 Nov 2026.

Each exchange's expiries on Tuesday or Thursday; one weekly benchmark index option per exchange. NSE implemented Tuesday expiries from 1 Sep 2025 (NSE/FAOP/68589, https://nsearchives.nseindia.com/content/circulars/FAOP68589.pdf). Fetched 6 Nov 2026.

Futures-equivalent OI, the new MWPL (lower of 15% of free float and 65 × ADDV, floor 10%), ban-period trading rule (from 1 Oct 2025), index position limits. Fetched 6 Nov 2026.

Nifty 75 → 65, Bank Nifty 35 → 30, Fin Nifty 65 → 60, Midcap Select 140 → 120 for contracts after the 30 Dec 2025 expiry; Next 50 unchanged at 25. Fetched 6 Nov 2026.

Physical settlement mandatory for all stock derivatives, in batches from the Apr, Jul and Oct 2019 expiries. NSE Clearing discontinued the do-not-exercise facility from the Mar 2023 expiry (NCL/CMPT/55330, https://nsearchives.nseindia.com/content/circulars/CMPT55330.pdf). Fetched 6 Nov 2026.

The primary document for M08 Case B (105 pages): the explainer on cash–F&O interplay, the methodology, the 17 Jan 2024 case (paras 14.7–15.50), extended marking the close (para 16), the post-caution instance of May 2025 (para 17), Table 4 (segment P&L) and Table 44 (unlawful gains). Follow-ups: SEBI PR 40/2025 (14 Jul 2025, escrow) https://www.sebi.gov.in/media-and-notifications/press-releases/jul-2025/update-on-interim-order-compliance-by-jane-street_95237.html and PR 45/2025 (21 Jul 2025) https://www.sebi.gov.in/media-and-notifications/press-releases/jul-2025/update-on-the-jane-street-interim-order_95491.html . Read 6 Nov 2026.

Read each once in full, in the latest consolidated version. The link is SEBI's list of all regulations (Legal → Regulations), which shows the last-amended date of each (checked 6 Nov 2026).

Circulars: https://www.nseindia.com/resources/exchange-communication-circulars ; pre-open FAQ: https://www.nseindia.com/static/products-services/equity-market-pre-open ; Nifty derivatives specification: https://www.nseindia.com/static/products-services/equity-derivatives-nifty50 ; margins (SPAN, ELM): https://www.nseindia.com/static/products-services/equity-derivatives-margins ; corporate filings and announcements, bulk and block deals (M06, M06A); strategy indices: https://www.nseindia.com/products-services/indices-strategy (M06A); daily FII/DII provisional data (M11).

The source for SPAN scenarios, ELM and margin files used in M09A · 9A.12.

The India VIX white paper is linked from this page; compare with the Cboe VIX methodology of M09 · 9.6. Older page cited in M09: https://nseindia.com/products/content/equities/indices/india_vix.htm

Index methodology documents for M01 · 1.9; rebalancing schedule: https://niftyindices.com/resources/index-rebalancing-schedule

Blocks automated access, so check contract specifications by hand. Historical data: https://www.mcxindia.com/market-data/historical-data

Free pages for looking at current Indian market data while you work through the course: 167 NSE indices including India VIX (https://oicharts.com/indices, one page per index, e.g. /indices/nifty-50); stock pages (https://oicharts.com/stocks/SYMBOL) with price and, for F&O stocks, futures OI by expiry, option OI by strike, put–call ratio by OI, max pain and the straddle price; a stock screener (/screener); ETFs including gold, silver, equity and debt (/etfs); sectors (/sectors); market news (/news). No commodity (MCX) pages, no full option chain with implied volatilities, and no historical download or API: use the exchanges' bhavcopies for data you analyse.

Monetary Policy Statement of 7 Oct 2026 and the Monetary Policy Report for M11; MPC schedule for the event calendar of M04A · 4A.11. The MPC resolution of 7 Oct 2026 (repo 5.50%, SDF 5.25%, MSF 5.75%) is at https://www.rbi.org.in/scripts/BS_PressReleaseDisplay.aspx?prid=63742 ; the schedule of meetings at https://www.rbi.org.in/Scripts/Annualpolicy.aspx (checked 6 Nov 2026).

The second Indian stock exchange: its own closing auction and closing prices (M01), notices and circulars, equity and derivatives bhavcopies, S&P BSE index data, and corporate announcements (see also bse-corporate-filings). The site blocks automated fetching; open it in a browser.

The full STT schedule as amended by the Finance Act, 2026, in force from 1 Apr 2026: delivery 0.1% each side, intraday 0.025% on sell, futures 0.05% on sell, options 0.15% of premium on sell and 0.15% on exercise. The source for every STT number in the cost models.

Exchange transaction charges from 1 Mar 2026: ₹307 per crore (cash), ₹183 per crore (futures), ₹3,553 per crore of premium (options), each side. Brokerage is not set by the exchange; the course uses a typical discount-broker fee (₹20 or 0.03% per executed order, whichever is lower) and you should set your own.

Primary source for capital-gains rates and set-off rules (M01 · 1.8).

Case source for Black Monday, 19 Oct 1987 (M02 · 2.10.2).

Timeline of the 1998 recapitalisation organised by the New York Fed (M03 · 3.10.1; M08 LTCM case).

Primary source for M03 · 3.10.2 (concentration hidden in total-return swaps).

Block-deal windows and price bands (M04A · 4A.5; M06A case sources). Link is the NSE circular PDF cited in M06A; M04A cites the SEBI circular of 8 Oct 2025 via the SCC summary https://www.scconline.com/blog/post/2025/10/09/sebi-notifies-revised-block-deal-framework-compliance-update-scc-times/

Eight scheduled meetings a year; an entry in the event calendar of M04A · 4A.11.

Dates of US CPI and payrolls releases for the event calendar of M04A · 4A.11.

Corporate announcements (results, shareholding patterns, board outcomes, concall transcripts), with the same filings on NSE (M06 data and tools; M06A Indian sources). The page blocks automated fetching; open it in a browser.

Primary text for M06 · 6.12.2 (Satyam, January 2009): paragraph 1 quotes the letter as e-mailed to SEBI; the order also records the aborted Maytas acquisition. Press release: https://www.sebi.gov.in/sebi_data/docfiles/28591_t.html . The SEC action against the PwC India affiliates: https://www.sec.gov/news/press/2011/2011-82.htm

M06 · 6.12.3 (NPA divergence, 2016–2020). Primary documents: RBI press releases 2019-2020/2022 (moratorium, https://www.rbi.org.in/Scripts/BS_PressReleaseDisplay.aspx?prid=49476), 2019-2020/2025 (supersession, prid=49477), 2019-2020/2028 (draft reconstruction scheme, prid=49479) and 2019-2020/2091 (scheme notified 13 Mar 2020, prid=49543); RBI divergence-disclosure circular DBR.BP.BC.No.63/21.04.018/2016-17 of 18 Apr 2017 (https://www.rbi.org.in/Scripts/NotificationUser.aspx?Id=10932). Press reports also cited: RBI rebuke over the 'nil divergence' disclosure, https://www.business-standard.com/amp/article/pti-stories/rbi-threatens-action-against-yes-bank-for-disclosing-nil-divergence-report-119021501386_1.html ; full text of RBI's moratorium statement, https://www.business-standard.com/amp/article/finance/here-s-the-full-text-of-rbi-s-statement-on-yes-bank-moratorium-120030501710_1.html

M06 · 6.12.4, private-company postscript (auditor resignations; press sources, since a private company files no exchange disclosures). Also cited: BDO exits as auditor after Deloitte, Business Today, https://businesstoday.in/latest/corporate/story/byjus-crisis-bdo-exits-as-auditor-after-deloitte-citing-financial-concerns-444865-2024-09-07

The primary record of the Jhunjhunwala family's Titan stake, for M06 · 6.12.1. The June 2002 figure (1.57%) is as reported by Fortune India, 'Rakesh Jhunjhunwala's Titanic journey' (secondary; that quarter predates the exchanges' online archive). Also cited for his mistakes: DHFL stake increase, Business Standard, https://www.business-standard.com/amp/article/markets/jhunjhunwala-increases-stake-in-dhfl-is-cautious-on-auto-holding-119042400801_1.html

Primary document for the Aptech settlement discussed in M06 · 6.12.1 (order SO/EFD-2/SD/384/JULY/2021; UPSI period 14 Mar–7 Sep 2016; the table lists each applicant's settlement amount, disgorgement and interest).

Primary source for M06 · 6.12.4 (DHFL): supersession under s.45-IE(1) of the RBI Act 'owing to governance concerns and defaults', administrator R. Subramaniakumar, and the planned IBC resolution under the 2019 rules for financial service providers. Advisory committee: press release 2019-2020/1246, https://rbi.org.in/Scripts/BS_PressReleaseDisplay.aspx?prid=48698 . The NCLT orders (admission 3 Dec 2019; Piramal plan approved 7 Jun 2021) are on the NCLT site.

Primary source for the cost-of-acquisition split in M06A · 6A.13.2 (ITC Hotels, January 2025).

Primary source for the merger-arbitrage case of M06A · 6A.13.3 (HDFC Ltd and HDFC Bank, 2022–23): the announcement and share-exchange ratio. HDFC Bank's same-day filing: https://archives.nseindia.com/corporate/HDFCBANK_04042022085546_SEIntimation04042022.pdf ; HDFC Bank's intimation that the scheme became effective on 1 Jul 2023: https://archives.nseindia.com/corporate/HDFCBANK_01072023073519_SEEffectiveDateJuly12023.pdf (filing URLs from the NSE archive, located 6 Nov 2026).

Primary source for the FPO withdrawal in the short-report event study of M06A · 6A.13.4. Also: the company's press release of 1 Feb 2023, https://www.adanienterprises.com/newsroom/media-releases/Adani-Enterprises-Limited-Stands-by-its-Investors ; the Supreme Court judgment of 3 Jan 2024 (Vishal Tiwari v. Union of India) on sci.gov.in; SEBI's orders of 18 Sep 2025 on sebi.gov.in → Enforcement → Orders. The group-wide market-value loss (more than US$100 bn by 2 Feb 2023) is CNBC's computation (secondary), https://www.cnbc.com/2023/02/02/adani-losses-top-100-billion-in-wake-of-hindenburg-research-report.html

Read Chapters VI (winding up), VIII (NAV and timelines), IX (Specialized Investment Funds) and XI (Regulations 66-67: base expense ratio, brokerage, total expense ratio). M06B · 6B.1-6B.3 quote it. The text was read from a hosted copy of the Gazette PDF (https://abcaus.in/wp-content/uploads/2026/01/sebi-Mutual-Funds-Regulations-2026.pdf) on 6 Nov 2026.

The operational rules behind M06B: cut-off times and applicable NAV, swing pricing, passive funds (tracking error and difference, ETF dealing), segregated portfolios, categorisation, riskometer. A March 2026 consolidation is reported; check the date of the latest version.

Case notes for M07 · 7.8.1 (Metallgesellschaft, 1993).

Companion case write-up for M07 · 7.8.1.

The Indian leg of WTI below zero (M07 · 7.8.3; full treatment in M10).

Cboe's opening in 1973, the same year as Black–Scholes (M08 Case A).

Secondary explainer of the interim order of 3 Jul 2025 (M08 Case B). Read the primary order first (case-jane-street-sebi-order-2025).

News report of the interim order (M08 Case B).

Summary of SEBI's findings: buying the index in the morning and selling into the close on expiry days (M08 Case B).

The appeal to the Securities Appellate Tribunal (M08 Case B).

Status of the SAT proceedings (M08 Case B; M09 Jane Street case).

Latest status of the SAT proceedings cited in M08 Case B.

Analysis of the interim order for the expiry-day gamma angle of M09 · 9.12.2. Title paraphrased from the URL; the notes give only the link.

Interim-order analysis for M09 · 9.12.2. Title paraphrased from the URL; the notes give only the link.

Source for M09 · 9.12.1 (Volmageddon, February 2018): the acceleration event (intraday indicative value on 5 Feb 2018 at or below 20% of the prior close), accelerated valuation date 15 Feb, acceleration date 21 Feb 2018. The release was also filed with the SEC as a Form 6-K exhibit (CIK 0001053092, February 2018). Press sources also cited: the VIX move, https://www.prweb.com/releases/vix_spike_and_xiv_termination_invest_in_vol_the_volatility_advisor_explains/prweb15187114.htm ; XIV at $4.22, https://www.benzinga.com/amp/content/11138352

Source for M09 · 9.12.4 (India VIX and the failure of short volatility). Title paraphrased from the URL. Also cited: Tribune India, 'Covid triggers worst market crash in Dalal Street's history', https://www.tribuneindia.com/news/business/covid-triggers-worst-market-crash-in-dalal-streets-history-60240

Production decisions for the crude oil section, M10 · 10.8.

The 2026 emergency stock release, for M10 · 10.8. Title taken from the URL.

Tariff values for gold and silver, used in the import-parity pricing of M10 · 10.5.

arch (GARCH family; the oracle in the exercise tests; https://arch.readthedocs.io/), statsmodels (MarkovRegression, ARIMA, multipletests; https://www.statsmodels.org/), hmmlearn (https://github.com/hmmlearn/hmmlearn; its README states limited maintenance).

The framework permitting institutional short selling and SLB, the constraint on the short leg of Indian pairs (M13A · 13A.11).

The current short-selling framework (M13A · 13A.11): naked short selling prohibited, institutions declare short sales upfront and may not short intraday, retail may declare by end of day, F&O stocks eligible. Read with Annexure 3 of Chapter 1 of the stock-exchange master circular of 16 Oct 2023. The link is SEBI's circular listing; search the circular number there (direct PDF not fetched).