Blogs
Reading the Yield Tea Leaves: Why Negative Option Skew Matters in Trump’s Tariff Era
April 3, 2025Garrett DeSimone, PhD The “Trump Tariff Wars 2.0” have given rise to increased market volatility and broad fears regarding stagflation. This has placed the Fed in a precarious position, as it must balance the risks between declining future growth and ...
Read moreVIX Futures Term Structure: A Warning Sign?
March 20, 2025Although the VIX is often cited as the market’s fear or anxiety gauge, the shape of its futures curve is often overlooked. The futures term structure, or the curve displaying the relationship of different contracts and maturities to one another, ...
Read moreVol Crush: Dependable and Consistent
February 20, 2025Future uncertainty and anxiety are two of the main drivers of implied volatility. This was apparent last month when Nvidia precipitously fell 17% upon the sudden appearance of DeepSeek. Less well reported was the effect the AI newcomer had on ...
Read moreWho Will Benefit from the Tariff War?
February 13, 2025The global energy market is once again experiencing a shift. China recently imposed a 15% tariff on U.S. coal and natural gas imports, effective February 10, 2025. These tariffs were announced as a retaliatory measure against recent U.S. trade actions. ...
Read moreAdding Flavor to Vanilla Dispersion via the Correlation Risk Premium
January 21, 2025Garrett DeSimone, PhD, OptionMetrics Jeff Corrado, Volos Tom Corcoran, Volos Dan Corcoran, Volos Dispersion trading has experienced a significant surge in popularity in 2024. Once reserved for only the most sophisticated trading desks due to its complexity, this strategy has ...
Read moreHistorical SPY Returns: A Clear Pattern Emerges
January 15, 2025It’s the beginning of a new year, and that usually leads to questions about which time periods during the year provide the best historical returns. To find out whether certain months have historically higher returns than others, we reviewed monthly ...
Read moreIs A Bitcoin Bubble Forming?
December 12, 2024Bitcoin just might be the biggest financial story since the election. For a variety of reasons (most of which center around prospects of a much more friendly regulatory environment), BTC futures have rallied more or less nonstop since November 5th, ...
Read moreWhy Volatility Risk Isn’t Fully Priced Into German Equities…Yet
November 21, 2024Germany's economic landscape stands at a critical juncture in late 2024, facing a perfect storm of challenges that could spark significant market volatility. The largest economy in Europe is grappling with a stark combination of domestic political instability—following the collapse ...
Read morePost Election Markets: Not That Obvious
November 20, 2024President-elect Trump has not yet been inaugurated, but investors are busy trying to determine which sectors will be most affected by his administration. So far, four sectors have emerged as the most likely candidates: defense, pharmaceuticals, energy, and crypto. Although ...
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