Capital Allocators · Monday, September 28, 2026
Nancy Zimmerman entered the options markets through a summer job at an options arbitrage firm, finding it a captivating mix of news and math puzzles. This experience, occurring in 1983, coincided with the early days of personal computing, which revolutionized the way arbitrage was conducted.
“I found out about options markets. Was a combination of news and math puzzles.”
“So it's 1983, so it's just learning how to use a personal computer. This is the famous story, right? You put somebody on the floor of an exchange with a shark. It has the quotes, you can figure out how to manipulate them in a tiny little program so that you can arbitrage the difference between the Kansas City value line and the S&P 100.”