Agricultural Futures: Not As Predicted
May 2, 2023

In the early days of the war in Ukraine, commodities in the energy and agriculture sectors displayed the most significant shocks. This was not surprising: Ukraine is a major global supplier of wheat, corn, soybeans, and barley, with an estimated ...

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SVB Failure and Market Stability: Examining the Response of Bond Spreads to Treasury Volatility
April 3, 2023

The uncertain outlook for inflation and Fed policy has caused Treasury yields to fluctuate significantly in 2023. The Fed’s tightening has exposed weaknesses in the banking sector, as evidenced by the failure of Silicon Valley Bank (SVB), which has resulted ...

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SVB: Commodity Side Effects
March 29, 2023

The recent spikes in implied volatility due to the fallout from SVB were not just confined to equity and fixed income. Less reported on and less appreciated, commodities were affected as well. Although their movements in price and implied volatility ...

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0DTE Options: Institutions Get Short
February 22, 2023

0DTE options are the latest novelty in derivative markets. These options are listed daily and expire at market close on the same day. Since their inception last year, the popularity of this product among investors has skyrocketed, peaking at over ...

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The War in Ukraine: Commodities Adapted
February 22, 2023

Last week marked the one year anniversary of the start of the war in Ukraine, and the ultimate outcome is as unclear as it was a year ago. War is never predictable (as Mike Tyson put it, “Everybody has a ...

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A Year in Volatility Across US and Europe
January 18, 2023

From the War in Ukraine, to supply chain issues, rising energy prices and inflation, and Fed rate hikes, 2022 was an eventful year, to say the least. It was also characterized by heightened volatility in the US and Europe, as ...

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Mega Tech Crash Risk Outpaces Index
January 13, 2023

One investing theme in 2022 was the failure of tail-risk hedges amid a grinding bear market. The performance of protective put strategies, an oft touted hedge to down markets, was suboptimal. As a baseline example, the CBOE 5% Put Protection ...

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Examining Anomalies: Part 2 – High Year-End Expectations: Should You Count on a Santa Claus Rally?
December 22, 2022

Industry research has empirically proven different types of calendar anomalies. Most scholars have a difficult time rationalizing these phenomena, and many even dismiss them. In this series, we look to elaborate on these anomalies in the equity market and extend ...

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Pound Crash Risk and Upside in UK Equities
October 31, 2022

The British Pound Sterling (GBP) has experienced historical levels of turmoil over the past month and traded at record lows compared to the dollar. The freefall in the GBP can be attributed to multiple macroeconomic shocks, including higher energy prices ...

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