Editorial Research Index

Institutional briefings & primary regulatory analysis

Source-checked financial analysis and briefings published by VolSurface Desk.

Published briefings: 144
Thematic pillar hubs: 13
Marked fact-checked: 144

All Categories (144)0DTE Gamma & Volatility Surface (31)VIX Term Structure & Skew (31)Second-Order Greeks & Hedging (30)OCC Margin & Dispersion Desk (30)Market Insights (12)Volatility and Options (3)Regulatory Compliance (1)Regulatory Benchmarks (1)Compliance Forensics (1)Solvency and Protection (1)Options Greeks, Volatility Surfaces & Quantitative Dispersion (1)Volatility Surface & Derivatives Desk (1)Volatility Surface & Dealer Flow Mechanics (1)

1 matching briefings

Chronological archive →Topic hubs →

Volatility Surface & Derivatives Desk2026-10-22

Arbitrage-Free SVI Volatility Surface Calibration, 0DTE Intraday Gamma-Vanna-Charm Flows, and Index Dispersion Mechanics in 2026

An institutional derivatives desk note detailing Gatheral SVI and SSVI static arbitrage constraints (butterfly and calendar conditions), SPX 0DTE dealer gamma/vanna/charm hedging flows, VIX vs VIX1D variance swap replication, and OCC STANS / Eurex Prisma portfolio margining.

Dr. Alistair Finch, CQF, FRMRead dossier →