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Статьи и записи источников
RU · VOL-SURFACE-DESKЧитайте статьи и записи источников об организациях. Статьи представлены на английском; проверяйте первоисточники напрямую.
A massive trade in Nvidia just went off – here are the details: Despite Monday's sell-off, options traders are targeting new highs on Nvidia
Ключевой вывод: Core summary: A massive trade in Nvidia just went off – here are the details
warns Kalshi of imminent charges over notification of contracts: Politico: The prediction markets operator says the issue involves procedural errors affecting a handful of contracts, many of which weren’t live, according to P
Ключевой вывод: Core summary: warns Kalshi of imminent charges over notification of contracts: Politico
Crypto Liquidations Top as Bitcoin Tests -Week Low: Institutional summary of the primary material ($75,500, $1). Cross-reference official supervisory registers for live updates.
Ключевой вывод: Core summary: Crypto Liquidations Top as Bitcoin Tests -Week Low
Bitcoin holds as AI regulation fears see KOSPI halted after crash: Bitcoin consolidated as fears over US AI regulation spread to Asia, causing South Korea to announce measures to calm stock-market volatility.
Ключевой вывод: Core summary: Bitcoin holds as AI regulation fears see KOSPI halted after crash
US tech stock rout: is the AI bubble bursting?: After Thursday’s share price plunge on Wall Street, could the volatility be the start of a huge market meltdown? Global financial markets have been th
Ключевой вывод: Core summary: US tech stock rout: is the AI bubble bursting?
Comprehensive 2026 empirical benchmark covering 72 institutions and 48 competent authorities tracked by VolSurface Desk, detailing 6D compliance scores, contracting legal entities, and direct register verification.
Ключевой вывод: VolSurface Desk tracks 72 institutions and 48 supervisory authorities across Listed Options, Futures & Volatility Derivatives Venues, with sampled constituents averaging 4.52/10 on the 6D Compliance Index.
Practical 2026 due-diligence playbook from VolSurface Desk explaining how to authenticate licence numbers across 48 official registers and detect clone-firm domain spoofing before funding an account.
Ключевой вывод: Clone firms hijack genuine licence numbers from authorised institutions in U.S. CFTC, National Futures Association (NFA BASIC), Options Clearing Corporation (OCC), and Eurex while operating on lookalike or unapproved web domains.
Institutional comparison of statutory investor compensation schemes, daily client-asset segregation rules, and multi-dimensional counterparty risk scores across VolSurface Desk's 2026 coverage universe.
Ключевой вывод: Statutory investor compensation varies dramatically by contracting jurisdiction — from $500,000 (US SIPC), CAD 1M (Canada CIPF), and £85,000 (UK FSCS) to $0 at offshore-only entities.
Derivatives desk note examining the sharp inversion of the BTC and ETH term structure and 25-delta risk reversals as traders hedged tail risk during the $6.3 billion Binance exploit.
Ключевой вывод: Binance suffered an estimated $6.3 billion multi-chain hot-wallet breach across 10–11 blockchains in 20 minutes via a compromised DevOps laptop and internal signing container, utilizing an EIP-7702 delegation sweeper on Ethereum.
Options desk note filed Sunday 25 October 2026 detailing raw and surface SVI (SSVI) calibration across SPX and NDX weekly expirations, Durrleman g(k) local density positivity, and wing slope constraints.
Ключевой вывод: Filed Sunday 25 October 2026 by Vol Surface Desk: comprehensive institutional analysis of ssvi implied variance surface calibration & durrleman no-arbitrage condition under the butterfly density positivity $g(k) \ge 0$ & roger lee wing moment bounds framework.
Volatility trading desk note filed 25 October 2026 ahead of the 28 October FOMC decision. Derives implied single-day event move from neighboring SPX option expiries and models post-event vanna/charm dealer re-hedging.
Ключевой вывод: Filed Sunday 25 October 2026 by Vol Surface Desk: comprehensive institutional analysis of fomc single-day event variance extraction & post-event dealer vanna/charm flows under the forward variance decomposition & implied breakeven straddle pricing framework.
An institutional quantitative post-mortem of the late October 2026 volatility surface dislocation: how a -1.2% SPX / -2.6% NDX drawdown triggered an extraordinary 20x VIX-to-SPX convexity squeeze, propelled VIX1D above 23.4, breached 0DTE put walls into dealer negative gamma, and forced systematic single-stock dispersion unwinds.
Ключевой вывод: During the October 23-24, 2026 selloff (SPX -1.21%, NDX -2.62%), the 30-day VIX surged +24.21% toward 20 while VIX1D spiked +64.79% to 23.45, generating an extraordinary 19.98x (~20x) VIX-to-SPX percentage move ratio versus the 4.65x historical median.
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.
Ключевой вывод: SPX 0DTE options account for 51.4% of total S&P 500 options volume ($890B daily notional) in 2026, requiring volatility desks to replace calendar-day time-to-expiry with an activity-weighted intraday variance clock (tau_eff) to prevent wing oscillation.
Vanna and Charm hedging flows refer to the systematic delta-rebalancing trades executed by institutional options market makers in response to shifts in implied volatility (∂Δ/∂σ) and the passage of time (∂Δ/∂t). Across the S&P 500 (SPX) options complex—where average daily volume reached 3.34 million contracts [3.34 million contracts/day, Cboe Global Markets Market Statistics, Q3 2026]—dealer net short downside put positioning and 0DTE gamma concentration drive up to $42.8 billion in deterministic end-of-day futures rebalancing per 1% underlying move [$42.8 billion notional delta flow, Options Clearing Corporation (OCC) Cleared Contract Report, September 2026].
Ключевой вывод: Vanna (∂Δ/∂σ) and Charm (∂Δ/∂t) govern deterministic dealer futures rebalancing: because market makers are structurally short customer OTM SPX puts, any post-event implied volatility compression or multi-day time decay forces dealers to buy back short E-mini S&P 500 (ES) futures hedges (+$6.4 billion average daily Charm flow during OpEx week).
SPX 0DTE options account for 59% of S&P 500 options volume (Source: Cboe Global Markets, 2025-10-10), driving dealer GEX, Vanna, Charm, and OCC 20-minute STANS margining.
Ключевой вывод: Zero-days-to-expiration (0DTE) contracts represent 59% of total SPX options volume at 2.3 million contracts per day (Source: Cboe Global Markets, 2025-10-10).
Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing intraday futures rebalancing per 1%
Ключевой вывод: Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.
Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing exact Black-Scholes-Merton analytical…
Ключевой вывод: Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.
Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing extracting single-day event variance…
Ключевой вывод: Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.
Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing daily VX1-to-VX2 roll math ($1,000/
Ключевой вывод: Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.
Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing 99% 2-day Expected Shortfall, 20-minute…
Ключевой вывод: Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.
Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing preventing vertical call-spread and
Ключевой вывод: Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.
Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing index variance vs. constituent single…
Ключевой вывод: Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.
Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing terminal Charm delta bleed and PM-settled…
Ключевой вывод: Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.
Cboe VIX futures trade at a $1,000 multiplier per index point (Source: Cboe Global Markets, 2025-10-10), pricing 30-day SPX variance across contango and backwardation regimes.
Ключевой вывод: Standard Cboe Volatility Index (VX) futures carry a $1,000 contract multiplier per VIX index point, while Mini VIX (VXM) futures carry a $100 multiplier (Source: Cboe Global Markets, 2025-10-10).
Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) stands at 6.5 hrs (Intraday Cash Decay Window) (Source: Cboe Options Institute, 2026-10-20), governing intraday futures rebalancing…
Ключевой вывод: Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) prints at 6.5 hrs (Intraday Cash Decay Window) under Cboe Options Institute supervision as of 2026-10-20.
Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) stands at 6.5 hrs (Intraday Cash Decay Window) (Source: Cboe Options Institute, 2026-10-20), governing exact Black-Scholes-Merton
Ключевой вывод: Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) prints at 6.5 hrs (Intraday Cash Decay Window) under Cboe Options Institute supervision as of 2026-10-20.
Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) stands at 6.5 hrs (Intraday Cash Decay Window) (Source: Cboe Options Institute, 2026-10-20), governing extracting single-day event…
Ключевой вывод: Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) prints at 6.5 hrs (Intraday Cash Decay Window) under Cboe Options Institute supervision as of 2026-10-20.
Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) stands at 6.5 hrs (Intraday Cash Decay Window) (Source: Cboe Options Institute, 2026-10-20), governing daily VX1-to-VX2 roll math
Ключевой вывод: Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) prints at 6.5 hrs (Intraday Cash Decay Window) under Cboe Options Institute supervision as of 2026-10-20.
Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) stands at 6.5 hrs (Intraday Cash Decay Window) (Source: Cboe Options Institute, 2026-10-20), governing 99% 2-day Expected Shortfall…
Ключевой вывод: Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) prints at 6.5 hrs (Intraday Cash Decay Window) under Cboe Options Institute supervision as of 2026-10-20.
Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) stands at 6.5 hrs (Intraday Cash Decay Window) (Source: Cboe Options Institute, 2026-10-20), governing preventing vertical call-spread…
Ключевой вывод: Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) prints at 6.5 hrs (Intraday Cash Decay Window) under Cboe Options Institute supervision as of 2026-10-20.
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