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Volatility Timing: Does It Really Add Value?

Posted on July 13, 2026 By 
Volatility timing is the practice of adjusting portfolio exposure in response to changes in market volatility. Some practitioners regard volatility timing as one of the most effective tools in portfolio management. However, not everyone shares this view. We have previously discussed how the effectiveness of volatility timing varies across industries …
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Explaining the Decline of Trend-Following CTAs

Posted on July 9, 2026 By 
Regime change has become a recurring theme across financial markets. One of the most recognizable examples is the deterioration in the performance of trend-following Commodity Trading Advisors (CTAs) after the Global Financial Crisis. Reference investigates the reasons behind this shift using data from approximately 100 liquid futures contracts spanning …
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Closed-Form Option Pricing Under the Physical Measure

Posted on July 5, 2026 By 
The Black–Scholes–Merton (BSM) model is one of the most celebrated option pricing models and remains widely used by academics and practitioners alike. At its core, it states that the value of an option equals the cost of replicating its payoff through continuous dynamic hedging. In practice, however, continuous rebalancing is …
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How 0DTE Options Are Reshaping Market Dynamics

Posted on June 27, 2026 By 
Market dynamics have changed since the COVID-19 pandemic, driven by several structural developments. One of the most notable has been the rapid growth of retail trading, particularly in short-dated options. Reference examines the impact of zero-days-to-expiration (0DTE) options on market dynamics using trade-level Cboe data for SPY, QQQ, and …
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Extending the Dealer Gamma Exposure Framework

Posted on June 23, 2026 By 
Dealer Gamma Exposure (GEX) is an interesting concept that has gained attention in recent years and is now used by both retail and institutional traders. Reference , however, estimates that GEX calculations can have an error margin of 30% to 50%. The paper identifies several sources of GEX estimation error, …
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Multi-Agent LLM Systems for Trading

Posted on June 19, 2026 By 
Large language models (LLMs) are evolving rapidly, from early text-generation systems to the latest models capable of sophisticated reasoning and multi-step decision-making. Reference applies LLMs to the development of a gold trading system. Unlike traditional quantitative models, which are typically built around forecasting future prices or returns, the authors …
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Does Gamma P&L Really Measure Convexity?

Posted on June 15, 2026 By 
Decomposing option P&L into individual Greek contributions is a useful practice. The decomposition is typically derived from a Taylor expansion and serves both risk-management and research purposes. For example, some studies use gamma P&L as a measure of convexity and as a tool for analyzing the variance risk premium. Reference …
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Walk-Forward Analysis for Cryptocurrency Forecasting

Posted on June 11, 2026 By 
In today’s age of AI and machine learning, developing trading strategies from historical data is becoming increasingly accessible. As a result, a growing portion of the research process is shifting from model development to model validation. However, unlike the sell-side, where model validation guidelines are well established, the buy-side literature …
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Is the VRP Still the Same Risk Premium?

Posted on June 7, 2026 By 
The volatility risk premium (VRP) is the difference between implied volatility and subsequently realized volatility, reflecting the compensation investors pay for volatility insurance. It has long been held that the VRP is generally negative for option buyers and positive for option sellers. However, market dynamics and regimes evolve over time, …
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