Recent Reports
Tactical Positioning
Election Day Boosting the VIX - But Vol is High Regardless
Tue 08-Oct-2024 11:18 AM (NYC time)
Tactical Hedging
0DTE Hedge Prices Have Picked Up Moderately Following August's Volatility
Tue 17-Sep-2024 12:14 PM (NYC time)
Asymmetry Monthly
Markets Moved Too Fast To Forget Lessons of 5-Aug Vol Spike
Tue 27-Aug-2024 09:01 AM (NYC time)
Option-Driven Funds
Overwriting Funds in the Vol Spike: Larger Vega Impact Than Delta
Fri 16-Aug-2024 12:14 PM (NYC time)
Tactical Positioning
Ten Questions Following This Week's 50+ VIX Moments
Fri 09-Aug-2024 08:59 AM (NYC time)
Tactical Hedging
Flat IWM Skew Sets Up Increased Probability of Large Up-Moves - At a Cost
Wed 31-Jul-2024 10:56 AM (NYC time)
Asymmetry Monthly
Largest SPX Selloff Since Early 2020 - Yet Correlation Stays Low
Thu 25-Jul-2024 08:22 AM (NYC time)
Correlation
Correlation Metrics Approach Zero With Falling Index Vol
Fri 12-Jul-2024 09:04 AM (NYC time)
Option-Driven Funds
Option-Driven ETF Trading Volumes Tend To Be Light
Fri 21-Jun-2024 08:07 AM (NYC time)
Tactical Hedging
An Early Look at Election Trading With Equity Derivatives
Fri 14-Jun-2024 07:27 AM (NYC time)
Asymmetry Monthly
Falling Vol Sets Up Entry Point for Late-Year Optionality
Fri 24-May-2024 08:39 AM (NYC time)
Option-Driven Funds
Option-Driven ETFs Largely Retain Equity Exposure Despite Rally
Fri 17-May-2024 10:30 AM (NYC time)
Portfolio Perspective
Long Volatility Supports Larger Equity Positions
Fri 03-May-2024 09:05 AM (NYC time)
Asymmetry Monthly
Rates, Geopolitics Shake Derivative Markets Out of Complacency
Fri 19-Apr-2024 08:00 AM (NYC time)
Option-Driven Funds
Continuing Option ETF Inflows Adding to Relative Pressure on Index Upside
Fri 12-Apr-2024 10:45 AM (NYC time)
Option Positioning
Single Stock Option Volume Up 35% in Q1 Amidst Falling Correlation
Thu 28-Mar-2024 11:02 AM (NYC time)
Asymmetry Monthly
Range-Bound Vol, Low Skew Leave Calls Expensive
Fri 22-Mar-2024 07:29 AM (NYC time)
Option-Driven Funds
$400bln of Option-Driven Funds: Five Thoughts
Tue 12-Mar-2024 02:15 PM (NYC time)
Tactical Hedging
Correlation Hitting New Lows With Single Stock Vol Rising
Thu 07-Mar-2024 08:12 AM (NYC time)
Asymmetry Monthly
NVDA Earnings Drive First 2% SPX Day in Over a Year
Fri 23-Feb-2024 08:22 AM (NYC time)
Tactical Hedging
Economic Release Vol Again Outpacing Non-Event Vol
Thu 15-Feb-2024 10:01 AM (NYC time)
Portfolio Perspective
Hedge Underperformance Contributing to Vol Decline
Fri 02-Feb-2024 10:00 AM (NYC time)
Asymmetry Monthly
Low Vol, All-Time High Spot - At Least in the US
Wed 24-Jan-2024 07:54 AM (NYC time)
Sectors
Low Correlation Continuing in 2024 After Reducing 2023 Volatility
Fri 12-Jan-2024 07:48 AM (NYC time)
Longer-Term Perspective
+24% Again? Option Market Says It's Unlikely
Fri 05-Jan-2024 07:50 AM (NYC time)
Asymmetry Monthly
Low Skew Points Toward Further Upside Following Strong End to 2023
Wed 20-Dec-2023 12:27 PM (NYC time)
Option Positioning
Can Next Week's $5tln Expiry Help Vol Return?
Fri 08-Dec-2023 07:51 AM (NYC time)
Tactical Hedging
10-Day Realized Vol Sinks Below 5%, Helping Vol Risk Premium Normalize
Thu 30-Nov-2023 08:24 AM (NYC time)
Asymmetry Monthly
Gradual Selloff Leads to Large Vol Risk Premium
Thu 26-Oct-2023 09:05 AM (NYC time)
Asymmetry Monthly
Slow-Moving VIX Raises Questions About Vol-of-Vol
Thu 21-Sep-2023 08:41 AM (NYC time)
Portfolio Perspective
Short VIX Futures: Combining +1% and -9% to Get +13%
Thu 14-Sep-2023 01:21 PM (NYC time)
Option Positioning
Strong SPX Open Interest in 1H2024 Expirations
Thu 07-Sep-2023 09:18 AM (NYC time)
Asymmetry Monthly
Rates-Led Selloff Left Limited Damage to Short Vol Performance
Thu 24-Aug-2023 08:40 AM (NYC time)
Asymmetry Monthly
Vol Continues to Fall Following Parallel Shift
Fri 28-Jul-2023 08:05 AM (NYC time)
Top Charts
Correlation Helps Equity Vol Fall Faster than Rates Vol
Wed 19-Jul-2023 01:24 PM (NYC time)
Option Positioning
High VIX Option Open Interest Despite Near-Zero Vol-Spot Correlation
Thu 06-Jul-2023 08:30 AM (NYC time)