People

Lily Francus

Lily Francus

Formal First Name
Lily
Location

Lily Francus is an independent quantitative options trader, researcher and Head of Salience Capital, a quantitative research firm focused on derivative-based short term options strategies. Lily is the inventor of the Net Options Pricing Effect (NOPE) indicator, a quantitative indicator based on the flow of options contracts for a specific stock. Her NOPE indicator is a rough-and-ready gauge of the weight the options market is exerting on the stock market. She is also Director and Quantitative Research Strategist at Moody's Analytics, and an Advisor of Quantitative Research at Blockforce Capital. Prior to popularizing the concept of analyzing long shadows of options over socks, Lily started full stack development before transitioning to working on the financial side. She has a background in computer science and business and was previously a Software Engineer at Linkedin and Stripe.


Academic History

EXPERTISE AND EARLY CAREER

  • NOPE is a model tracking net delta exposure of hedged market participants due to intraday options dynamics.

  • It estimates the amount of the liquidity available in a certain stock or index that is being stopped up by options dealers’ hedging.

  • At Salience, she leads the development of intraday and interday trading systems focusing on momentum and mean reversion strategies.

  • She was Co-founder and Principal of Chronaly, a SaaS mobile health tech startup for developmental disabilities.

  • Lily also wrote a series of posts about the hedge fund vs. Wall Street Bets Gamma war between GameStop (NYSE:GME), AMC Entertainment (AMC), BlackBerry (BB), and others.

 

MEDIA

  • Lily has appeared as a guest on Real Vision.