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Статьи и записи источников

Читайте статьи и записи источников об организациях. Статьи представлены на английском; проверяйте первоисточники напрямую.

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18

Статьи и записи источников

RU · VOL-SURFACE-DESK

Статьи и записи источников

Читайте статьи и записи источников об организациях. Статьи представлены на английском; проверяйте первоисточники напрямую.

Институциональные бенчмарки 2026 →Количественный рейтинг →Записи об организацияхНадзорные органы →Тематические кластеры →Хронологический архив →
Все категории (255)0DTE Gamma & Volatility Surface (31)VIX Term Structure & Skew (31)Second-Order Greeks & Hedging (30)OCC Margin & Dispersion Desk (29)Market Insights (23)Svi Sabr Smile Arbitrage Free (20)Dealer Gamma Vanna Charm Flows (20)Vix Futures Variance Swap Convexity (20)FX Risk Reversal Strangle Surfaces (20)Index Dispersion Correlation Desk (20)Volatility and Options (3)Regulatory Compliance (2)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)

Все опубликованные аналитические досье

Институциональные бенчмарки 2026 →Количественный рейтинг →
VIX Term Structure & Skew

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (+8.5 pts Implied vs. Realized Corr Spread Benchmark)

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) stands at +8.5 pts (Implied vs. Realized Corr Spread) (Source: BIS Quarterly Review / Cboe COR1M, 2026-10-20), governing 99% 2-day…

Ключевой вывод: S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) prints at +8.5 pts (Implied vs. Realized Corr Spread) under BIS Quarterly Review / Cboe COR1M supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
Second-Order Greeks & Hedging

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (+8.5 pts Implied vs. Realized Corr Spread Benchmark)

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) stands at +8.5 pts (Implied vs. Realized Corr Spread) (Source: BIS Quarterly Review / Cboe COR1M, 2026-10-20), governing preventing…

Ключевой вывод: S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) prints at +8.5 pts (Implied vs. Realized Corr Spread) under BIS Quarterly Review / Cboe COR1M supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
OCC Margin & Dispersion Desk

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (+8.5 pts Implied vs. Realized Corr Spread Benchmark)

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) stands at +8.5 pts (Implied vs. Realized Corr Spread) (Source: BIS Quarterly Review / Cboe COR1M, 2026-10-20), governing index variance…

Ключевой вывод: S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) prints at +8.5 pts (Implied vs. Realized Corr Spread) under BIS Quarterly Review / Cboe COR1M supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
0DTE Gamma & Volatility Surface

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (+8.5 pts Implied vs. Realized Corr Spread Benchmark)

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) stands at +8.5 pts (Implied vs. Realized Corr Spread) (Source: BIS Quarterly Review / Cboe COR1M, 2026-10-20), governing terminal

Ключевой вывод: S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) prints at +8.5 pts (Implied vs. Realized Corr Spread) under BIS Quarterly Review / Cboe COR1M supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
Second-Order Greeks & Hedging

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing intraday futures rebalancing per 1% SPX move

Ключевой вывод: SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
OCC Margin & Dispersion Desk

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing exact Black-Scholes-Merton analytical derivatives…

Ключевой вывод: SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
0DTE Gamma & Volatility Surface

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing extracting single-day event variance weights

Ключевой вывод: SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
VIX Term Structure & Skew

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing daily VX1-to-VX2 roll math ($1,000/pt multiplier…

Ключевой вывод: SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
Second-Order Greeks & Hedging

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing 99% 2-day Expected Shortfall, 20-minute risk

Ключевой вывод: SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
OCC Margin & Dispersion Desk

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing preventing vertical call-spread and horizontal…

Ключевой вывод: SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
0DTE Gamma & Volatility Surface

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing index variance vs. constituent single-stock

Ключевой вывод: SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
VIX Term Structure & Skew

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing terminal Charm delta bleed and PM-settled SPXW…

Ключевой вывод: SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
OCC Margin & Dispersion Desk

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing intraday futures…

Ключевой вывод: Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
0DTE Gamma & Volatility Surface

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing exact Black…

Ключевой вывод: Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
VIX Term Structure & Skew

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing extracting

Ключевой вывод: Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
Second-Order Greeks & Hedging

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing daily VX1-

Ключевой вывод: Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
OCC Margin & Dispersion Desk

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing 99% 2-day

Ключевой вывод: Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
0DTE Gamma & Volatility Surface

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing preventing

Ключевой вывод: Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
VIX Term Structure & Skew

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing index variance…

Ключевой вывод: Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
Second-Order Greeks & Hedging

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing terminal Charm…

Ключевой вывод: Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
0DTE Gamma & Volatility Surface

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing intraday…

Ключевой вывод: SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
VIX Term Structure & Skew

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing exact

Ключевой вывод: SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
Second-Order Greeks & Hedging

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing extracting…

Ключевой вывод: SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
OCC Margin & Dispersion Desk

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing daily

Ключевой вывод: SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
0DTE Gamma & Volatility Surface

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing 99% 2

Ключевой вывод: SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
VIX Term Structure & Skew

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing preventing…

Ключевой вывод: SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
Second-Order Greeks & Hedging

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing index

Ключевой вывод: SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
OCC Margin & Dispersion Desk

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing terminal…

Ключевой вывод: SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
VIX Term Structure & Skew

Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (+4.2 pts VXN over VIX Volatility Spread Benchmark)

Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning (NDX-QQQ-GAMMA) stands at +4.2 pts (VXN over VIX Volatility Spread) (Source: Cboe / Nasdaq Derivatives, 2026-10-20), governing intraday futures rebalancing…

Ключевой вывод: Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning (NDX-QQQ-GAMMA) prints at +4.2 pts (VXN over VIX Volatility Spread) under Cboe / Nasdaq Derivatives supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →
Second-Order Greeks & Hedging

Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (+4.2 pts VXN over VIX Volatility Spread Benchmark)

Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning (NDX-QQQ-GAMMA) stands at +4.2 pts (VXN over VIX Volatility Spread) (Source: Cboe / Nasdaq Derivatives, 2026-10-20), governing exact Black-Scholes-Merton…

Ключевой вывод: Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning (NDX-QQQ-GAMMA) prints at +4.2 pts (VXN over VIX Volatility Spread) under Cboe / Nasdaq Derivatives supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENЧитать оригинал на английском →

Записи об организациях

Записи об организациях

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Записи об организациях

OANDA
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Saxo
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AvaTrade
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Straits Financial Group
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StoneX One
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MagnetFX
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Регуляторы

Taipei Exchange (TPEx)4

Taipei Exchange (TPEx)

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U.S. Securities and Exchange Commission2

U.S. Securities and Exchange Commission

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Commodity Futures Trading Regulatory Agency of Indonesia (BAPPEBTI)4

Commodity Futures Trading Regulatory Agency of Indonesia (BAPPEBTI)

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Jakarta Futures Exchange (JFX)4

Jakarta Futures Exchange (JFX)

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AMF1

Autorité des marchés financiers

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AMF2

The Autorité des marchés financiers

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Статьи и записи источников | VolSurface Desk | VolSurface Desk