<p><strong>CrossVol Research</strong> is the research arm of the <strong>CrossVol derivatives desk</strong>.</p> <p>We publish non-consensus thesis notes on macro volatility, derivatives positioning, and the cross-asset transmission mechanisms that the sell-side reads late.</p> <p>The desk has been active on derivatives desks since 2007, across FXCM LLC, Knight Capital, JP Funds, Allianz, BCFX Covered Fund, Trafigura and other sell-side and buy-side boutiques. Five timestamped public calls since 2024, including the August 5, 2024 VIX 65.73 print called three days prior.</p> <hr> <h3>What you get when you subscribe</h3> <p><strong>Free tier</strong></p> <ul> <li>Thesis notes (~4-6 per year, 5-10k words each)</li> <li>Tactical weekly briefs on macro vol, term structure, positioning</li> </ul> <p><strong>Paid tier</strong> (coming soon)</p> <ul> <li>Trade construction notes (dispersion, calendar, vol-of-vol) tied to thesis catalysts</li> <li>Real-time desk commentary during regime shifts</li> </ul> <hr> <h3>The framework</h3> <p>Four lenses, used on the desk every day:</p> <ol> <li><strong>Gamma Exposure</strong>. Market maker positioning, intraday delta hedging</li> <li><strong>Vega Exposure</strong>. Vol-of-vol risk concentration, 2-4 weeks pre-spike</li> <li><strong>Risk Reversal</strong>. Directional barometer the options market pays for</li> <li><strong>Term Structure & Physical Signals</strong>. Backwardation, lease rates, calendar spreads</li> </ol> <p>The book <em>Beyond Gamma Exposure</em> (May 2026, available on Amazon, Apple Books, Google Play, Kobo) is the long-form companion to this Substack.</p> <hr> <h3>Disclaimer</h3> <p>All published material is for informational and educational purposes only. It does not constitute investment advice, an offer, or a solicitation. CrossVol Research does not make trade recommendations. The views expressed are the analytical opinion of the authors and do not represent any fiduciary position. Readers should consult their own advisors. CrossVol Research may hold positions in entities mentioned. Past performance does not guarantee future returns.</p> <hr> <h3>Contact</h3> <p>Web: <a href="https://crossvol.com" target="_blank" rel="noopener">crossvol.com</a><br> X: <a href="https://x.com/crossvol_x" target="_blank" rel="noopener">@crossvol_x</a></p>
