<p><strong>CrossVol Research</strong> is the research arm of the <strong>CrossVol derivatives desk</strong>. The full research library lives at <a href="https://crossvolresearch.com" target="_blank" rel="noopener">crossvolresearch.com</a>, and the desk's options analytics terminal, CrossVol Option Trader, is at <a href="https://crossvol.com" target="_blank" rel="noopener">crossvol.com</a>.</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 long-form companion to this newsletter is <em>Beyond Gamma Exposure: A Four-Lens Framework for Options Traders Who See What GEX Misses</em> (May 2026, on Amazon), book 1 of the CrossVol Research series.</p> <hr> <h3>Books</h3> <p>Four books, all on Amazon. Three of them form the <a href="https://www.amazon.com/dp/B0H3LH6D1W" target="_blank" rel="noopener">CrossVol Research series</a>:</p> <ol> <li><a href="https://www.amazon.com/dp/B0H2QSF3X1" target="_blank" rel="noopener"><em>Beyond Gamma Exposure: A Four-Lens Framework for Options Traders Who See What GEX Misses</em></a> (May 2026)</li> <li><a href="https://www.amazon.com/dp/B0GX31WB5F" target="_blank" rel="noopener"><em>FX Traders vs Brokers: Vanilla and Exotic Options, Forwards, and Other OTC Structures: What Retail Traders Never See</em></a> (June 2026)</li> <li><a href="https://www.amazon.com/dp/B0H11WH3R9" target="_blank" rel="noopener"><em>The China AI Disruption Thesis: Why The Sell-Side Is Six Months Late On AI Infrastructure</em></a> (May 2026)</li> </ol> <p>The fourth is a standalone book: <a href="https://www.amazon.com/dp/B0H4HMVSMR" target="_blank" rel="noopener"><em>The Coming Shadow Banking Crash: Inside the $3 Trillion Ticking Bomb</em></a> (June 2026).</p> <hr> <h3>Working papers</h3> <p>Six working papers, three on SSRN and three on MPRA (RePEc):</p> <ul> <li><a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7122218" target="_blank" rel="noopener">Vega Exposure (VEX): Dealer Inventory and Volatility Suppression in the VIX Options Complex</a>. SSRN 7122218, July 2026</li> <li><a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6884658" target="_blank" rel="noopener">Convergent Faults: A Quantitative Forensic of Private Credit's Synchronized Systemic Risk (2026-2027)</a>. SSRN 6884658, June 2026</li> <li><a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6879018" target="_blank" rel="noopener">Tokens, Watts, and Geography: A Four-Tier Framework for Pricing the AI Inference Trade, 2026-2030</a>. SSRN 6879018, June 2026</li> <li><a href="https://mpra.ub.uni-muenchen.de/129365/" target="_blank" rel="noopener">Beyond Dealer Gamma: A Four-Lens Framework for Reading Options Market Dislocations</a>. MPRA 129365, June 2026, adapted from <em>Beyond Gamma Exposure</em></li> <li><a href="https://mpra.ub.uni-muenchen.de/129364/" target="_blank" rel="noopener">Structural Biases in Retail Foreign Exchange: B-Book Economics, Execution Frictions, and the Persistence of the 80% Loss Rate</a>. MPRA 129364, June 2026, adapted from <em>FX Traders vs Brokers</em></li> <li><a href="https://mpra.ub.uni-muenchen.de/129363/" target="_blank" rel="noopener">The AI Infrastructure Repricing: Five Vectors, Four Geopolitical Fronts, and the Structural Short</a>. MPRA 129363, June 2026, adapted from <em>The China AI Disruption Thesis</em></li> </ul> <p>Every identifier (DOI, RePEc, Zenodo, OSF) is listed on <a href="https://crossvolresearch.com" target="_blank" rel="noopener">crossvolresearch.com</a>.</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>Links</h3> <p>Research: <a href="https://crossvolresearch.com" target="_blank" rel="noopener">crossvolresearch.com</a><br> Options analytics: <a href="https://crossvol.com" target="_blank" rel="noopener">crossvol.com</a> (CrossVol Option Trader)<br> X: <a href="https://x.com/crossvol_x" target="_blank" rel="noopener">@crossvol_x</a><br> Bluesky: <a href="https://bsky.app/profile/crossvol.bsky.social" target="_blank" rel="noopener">@crossvol.bsky.social</a></p>