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The Crash Fuse Is Lit
Oracle invoked force majeure, Bessent wants a strong yen and a Japanese bid for Treasuries at the same time, and quarter end is Wednesday. The party is…
17 hrs ago
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CrossVol
2
3
The VIX Is Too Calm for a 3.4 Sigma Rates Shock
Treasuries sold off 3.39 sigma, stocks and bonds fell together, and the VIX rose just 0.75. Low implied correlation is holding index vol down, and that…
Sep 23
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CrossVol
9
3
The Basis Trade Did Not Shrink Its Risk. It Moved It to the Long End.
Wall Street calls the smaller basis book benign. The leverage that left the front end reappeared where convexity and liquidity punish it most.
Sep 22
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CrossVol
5
2
The Volatility Risk Premium Explained: Why Implied Beats Realized
Why implied vol tends to exceed realized vol, how the VRP is measured across the term structure, and when harvesting it fails.
Sep 19
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CrossVol
8
2
The OAT-Bund Spread Explained: France, Germany, and Sovereign Risk
How to read the 10Y France minus Germany yield gap, what drives it, and why it moves French equity vol.
Sep 19
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CrossVol
4
2
Risk Reversal Skew Explained: Reading Put vs Call Implied Vol
The 25-delta risk reversal as a skew gauge, not a strategy: how to read sign, size, and term structure.
Sep 19
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CrossVol
5
2
Implied Correlation (COR3M) Explained: The Dispersion Trader's Gauge
What the CBOE implied correlation indices measure, how correlation is derived from index and single-stock vol, and how to read the level.
Sep 19
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CrossVol
4
1
Dispersion Trading Explained: Implied Correlation and Single-Stock Vol
Short index vol, long single-stock vol, and the implied correlation trade that pays in calm markets and blows up in a crash.
Sep 19
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CrossVol
7
1
2
The Treasury Basis Trade Is Losing on Three Fronts
Negative carry, a 10Y at the old cycle high, and top of book near $1mm. The point-value math of who survives a 50bp day, and the tail the basis book…
Sep 19
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CrossVol
3
2
Energy Vol: TotalEnergies Skew and the Normalization Trade
TTE sits at the crossroads of an oil supply shock, French sovereign stress at 104.6bp, and a market pricing rapid normalization. The front-end skew…
Sep 19
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CrossVol
6
1
Dispersion and the OAT-Bund Channel
US dispersion pays well at entry (COR3M 10.98, single-stock vol 2.32x SPX) but is poorly hedged as correlation rises. In Europe, an OAT-Bund beta…
Sep 19
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CrossVol
10
1
The Coiled Spring: A Hawkish Super-Week Meets an Energy Shock, and the Long End Cracks
Fed +25 to 3.75-4.00%, a BoJ hike to 1.25%, a Saudi pipeline outage, a $7tn opex, and a 10Y at 5.00%. The regime is higher-for-longer plus energy shock…
Sep 19
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CrossVol
9
2
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