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Asym 500 Reports

Asym 500 publishes 3-4 reports/month, distributing them to subscribers via email, this site, and the Bloomberg terminal.

Asymmetry Monthly
SPX Tail Risk Pricing Falls Despite Selloff
Rocky Fishman, CFA
Fri 28-Mar-2025
Derivative-Driven Funds
Four Observations About the VIX ETP Market
Rocky Fishman, CFA
Fri 21-Mar-2025
Systematic Strategies
Rising Intraday Volatility Has Boosted 0DTE Returns, Pricing
Rocky Fishman, CFA
Mon 10-Mar-2025
Asymmetry Monthly
Rising SPX Vol Stands Out vs. Other Asset Classes
Rocky Fishman, CFA
Fri 28-Feb-2025
Derivative-Driven Funds
Building Blocks of Derivative-Driven Funds
Rocky Fishman, CFA
Fri 21-Feb-2025
Portfolio Perspective
Short Tails as Yield Enhancement
Rocky Fishman, CFA
Thu 13-Feb-2025
Volatility
VIX Boosted by Heightened Demand For Tail Risk Protection
Rocky Fishman, CFA
Wed 05-Feb-2025
Asymmetry Monthly
Realized Vol Remains High - Especially on Economic Release Days
Rocky Fishman, CFA
Wed 22-Jan-2025
Option-Driven Funds
Strong Start for Recent Option-Driven ETF Launches
Rocky Fishman, CFA
Thu 16-Jan-2025
Portfolio Perspective
Strong 2024 Overwriting Index Performance Despite SPX Rally
Rocky Fishman, CFA
Fri 10-Jan-2025

2024

Asymmetry Monthly
A High-Vol Finish to an Unlikely Rally
Rocky Fishman, CFA
Tue 31-Dec-2024
Option Positioning
Stretched Funding Markets Leave Elevated SPX Forward
Rocky Fishman, CFA
Wed 18-Dec-2024
Option Positioning
IBIT Quickly Becoming One of the Most Active ETF Option Underlyings
Rocky Fishman, CFA
Fri 06-Dec-2024
Asymmetry Monthly
Index-Level Vol Dragged Down By Ongoing Low Correlation
Rocky Fishman, CFA
Fri 22-Nov-2024
Derivative-Driven Funds
10 Things to Know About Leveraged & Inverse ETFs
Rocky Fishman, CFA
Fri 15-Nov-2024
Top Charts
Vol Has Fallen Too Far Following a Market-Moving Election Day
Rocky Fishman, CFA
Thu 07-Nov-2024
Asymmetry Monthly
Vol Is Expensive But Not High As Busy Catalyst Period Begins
Rocky Fishman, CFA
Wed 23-Oct-2024
Option-Driven Funds
Option-Driven ETF Market Growing Quickly, Diversifying Slowly
Rocky Fishman, CFA
Tue 15-Oct-2024
Tactical Positioning
Election Day Boosting the VIX - But Vol is High Regardless
Rocky Fishman, CFA
Tue 08-Oct-2024
Asymmetry Monthly
Vol Is Not Low Despite SPX All-Time High
Rocky Fishman, CFA
Wed 25-Sep-2024
Tactical Hedging
0DTE Hedge Prices Have Picked Up Moderately Following August's Volatility
Rocky Fishman, CFA
Tue 17-Sep-2024
Top Charts
Vol Rising - Especially Tail Risk Metrics
Rocky Fishman, CFA
Fri 06-Sep-2024
Asymmetry Monthly
Markets Moved Too Fast To Forget Lessons of 5-Aug Vol Spike
Rocky Fishman, CFA
Tue 27-Aug-2024
Option-Driven Funds
Overwriting Funds in the Vol Spike: Larger Vega Impact Than Delta
Rocky Fishman, CFA
Fri 16-Aug-2024
Tactical Positioning
Ten Questions Following This Week's 50+ VIX Moments
Rocky Fishman, CFA
Fri 09-Aug-2024
Tactical Hedging
Flat IWM Skew Sets Up Increased Probability of Large Up-Moves - At a Cost
Rocky Fishman, CFA
Wed 31-Jul-2024
Asymmetry Monthly
Largest SPX Selloff Since Early 2020 - Yet Correlation Stays Low
Rocky Fishman, CFA
Thu 25-Jul-2024
Correlation
Correlation Metrics Approach Zero With Falling Index Vol
Rocky Fishman, CFA
Fri 12-Jul-2024
Asymmetry Monthly
Falling SPX RV Not Matched Across Markets
Rocky Fishman, CFA
Tue 25-Jun-2024
Option-Driven Funds
Option-Driven ETF Trading Volumes Tend To Be Light
Rocky Fishman, CFA
Fri 21-Jun-2024
Tactical Hedging
An Early Look at Election Trading With Equity Derivatives
Rocky Fishman, CFA
Fri 14-Jun-2024
Option Positioning
Beyond Peak Vol-of-Vol
Rocky Fishman, CFA
Fri 31-May-2024
Asymmetry Monthly
Falling Vol Sets Up Entry Point for Late-Year Optionality
Rocky Fishman, CFA
Fri 24-May-2024
Option-Driven Funds
Option-Driven ETFs Largely Retain Equity Exposure Despite Rally
Rocky Fishman, CFA
Fri 17-May-2024
Top Charts
Complacency Returns As SPX Approaches High
Rocky Fishman, CFA
Fri 10-May-2024
Portfolio Perspective
Long Volatility Supports Larger Equity Positions
Rocky Fishman, CFA
Fri 03-May-2024
Asymmetry Monthly
Rates, Geopolitics Shake Derivative Markets Out of Complacency
Rocky Fishman, CFA
Fri 19-Apr-2024
Option-Driven Funds
Continuing Option ETF Inflows Adding to Relative Pressure on Index Upside
Rocky Fishman, CFA
Fri 12-Apr-2024
Top Charts
Fading Realized Vol Leaves Options Harder to Carry
Rocky Fishman, CFA
Thu 04-Apr-2024
Option Positioning
Single Stock Option Volume Up 35% in Q1 Amidst Falling Correlation
Rocky Fishman, CFA
Thu 28-Mar-2024
Asymmetry Monthly
Range-Bound Vol, Low Skew Leave Calls Expensive
Rocky Fishman, CFA
Fri 22-Mar-2024
Option-Driven Funds
$400bln of Option-Driven Funds: Five Thoughts
Rocky Fishman, CFA
Tue 12-Mar-2024
Tactical Hedging
Correlation Hitting New Lows With Single Stock Vol Rising
Rocky Fishman, CFA
Thu 07-Mar-2024
Asymmetry Monthly
NVDA Earnings Drive First 2% SPX Day in Over a Year
Rocky Fishman, CFA
Fri 23-Feb-2024
Tactical Hedging
Economic Release Vol Again Outpacing Non-Event Vol
Rocky Fishman, CFA
Thu 15-Feb-2024
Top Charts
Options Pricing Wider Tails With SPX at Another High
Rocky Fishman, CFA
Wed 07-Feb-2024
Portfolio Perspective
Hedge Underperformance Contributing to Vol Decline
Rocky Fishman, CFA
Fri 02-Feb-2024
Asymmetry Monthly
Low Vol, All-Time High Spot - At Least in the US
Rocky Fishman, CFA
Wed 24-Jan-2024
Sectors
Low Correlation Continuing in 2024 After Reducing 2023 Volatility
Rocky Fishman, CFA
Fri 12-Jan-2024
Longer-Term Perspective
+24% Again? Option Market Says It's Unlikely
Rocky Fishman, CFA
Fri 05-Jan-2024

2023

Asymmetry Monthly
Low Skew Points Toward Further Upside Following Strong End to 2023
Rocky Fishman, CFA
Wed 20-Dec-2023
Top Charts
Lowest VIX Since Pre-COVID As Expiry Approaches
Rocky Fishman, CFA
Wed 13-Dec-2023
Option Positioning
Can Next Week's $5tln Expiry Help Vol Return?
Rocky Fishman, CFA
Fri 08-Dec-2023
Tactical Hedging
10-Day Realized Vol Sinks Below 5%, Helping Vol Risk Premium Normalize
Rocky Fishman, CFA
Thu 30-Nov-2023
Asymmetry Monthly
Options Underpriced Following 10% Rally
Rocky Fishman, CFA
Tue 21-Nov-2023
Top Charts
Low Vol Risk Premium - Both in Equities and Rates
Rocky Fishman, CFA
Mon 13-Nov-2023
Tactical Hedging
Rally Leaves Stronger Entry Point for Hedges
Rocky Fishman, CFA
Fri 03-Nov-2023
Asymmetry Monthly
Gradual Selloff Leads to Large Vol Risk Premium
Rocky Fishman, CFA
Thu 26-Oct-2023
Top Charts
Rates and Geopolitics Push VIX Close to 6M High
Rocky Fishman, CFA
Thu 19-Oct-2023
Option Positioning
Futures Volumes Flat, Option Volumes Surging
Rocky Fishman, CFA
Fri 13-Oct-2023
VIX Markets
Partial Normalization Positioning With VXX Options
Rocky Fishman, CFA
Thu 05-Oct-2023
Asymmetry Monthly
Slow-Moving VIX Raises Questions About Vol-of-Vol
Rocky Fishman, CFA
Thu 21-Sep-2023
Portfolio Perspective
Short VIX Futures: Combining +1% and -9% to Get +13%
Rocky Fishman, CFA
Thu 14-Sep-2023
Option Positioning
Strong SPX Open Interest in 1H2024 Expirations
Rocky Fishman, CFA
Thu 07-Sep-2023
Asymmetry Monthly
Rates-Led Selloff Left Limited Damage to Short Vol Performance
Rocky Fishman, CFA
Thu 24-Aug-2023
Top Charts
Realized Vol Remains Low Despite SPX Selloff
Rocky Fishman, CFA
Thu 17-Aug-2023
Option Positioning
$2bln/Minute: 0DTE Time-of-Day Patterns
Rocky Fishman, CFA
Fri 11-Aug-2023
Asymmetry Monthly
Vol Continues to Fall Following Parallel Shift
Rocky Fishman, CFA
Fri 28-Jul-2023
Top Charts
Correlation Helps Equity Vol Fall Faster than Rates Vol
Rocky Fishman, CFA
Wed 19-Jul-2023
Option Positioning
High VIX Option Open Interest Despite Near-Zero Vol-Spot Correlation
Rocky Fishman, CFA
Thu 06-Jul-2023
Asymmetry Monthly
Equity Vol Lags Rates Vol as VIX Fades
Rocky Fishman, CFA
Thu 22-Jun-2023
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