Tiếng Việt · 145 Báo cáo Nghiên cứu · 182 Tổ chức Tài chính · 48 Cơ quan Quản lý
Kho Lưu trữ Nghiên cứu & Danh mục Thực thể Toàn diện
Chỉ mục HTML đầy đủ của toàn bộ báo cáo nghiên cứu định chế, hồ sơ công ty môi giới, cơ quan giám sát tài chính và đội ngũ chuyên gia phân tích.
01 · Toàn văn Theo Chuyên đề
Tất cả Báo cáo theo Trụ cột Nghiên cứu (145)
Mỗi báo cáo nghiên cứu được phân nhóm theo ban chuyên môn phụ trách.
0DTE Gamma & Volatility Surface
31Cập nhật gần nhất: 2026-10-22
- SPX 0DTE Gamma Exposure (GEX), Vanna & Charm Hedging Ratios, and OCC STANS Intraday Margin Framework
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.
·6 phút đọc - Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (59.0% Share of SPX Options Volume Benchmark)
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%
·5 phút đọc - Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (59.0% Share of SPX Options Volume Benchmark)
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…
·4 phút đọc - Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (6.5 hrs Intraday Cash Decay Window Benchmark)
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
·4 phút đọc - Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (6.5 hrs Intraday Cash Decay Window Benchmark)
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 terminal Charm delta bleed
·4 phút đọc - OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (20 min Intraday Monte Carlo Interval Benchmark)
OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing extracting single-day
·4 phút đọc - OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (20 min Intraday Monte Carlo Interval Benchmark)
OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing index variance vs. constituent…
·4 phút đọc - Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): Partial Derivative Formulas, Scaling Units & Tenor Surface Grid ($1,000 Standard VX Point Multiplier Benchmark)
Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing exact Black-Scholes-Merton…
·4 phút đọc - Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds ($1,000 Standard VX Point Multiplier Benchmark)
Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing preventing vertical call…
·4 phút đọc - Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (1 Day Event Jump Volatility Horizon Benchmark)
Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing intraday futures rebalancing per…
·5 phút đọc - Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (1 Day Event Jump Volatility Horizon Benchmark)
Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing 99% 2-day Expected Shortfall,
·4 phút đọc - S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: Constant-Maturity Contango Roll Drag & Backwardation Flip 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 daily VX
·5 phút đọc - 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
·5 phút đọc - 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
·4 phút đọc - 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
·4 phút đọc - 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…
·5 phút đọc - 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
·4 phút đọc - 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…
·5 phút đọc - 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
·5 phút đọc - Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (+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 daily VX1-to-VX2 roll
·5 phút đọc - Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (+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 terminal Charm delta
·5 phút đọc - Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing extracting single-day event variance weights…
·4 phút đọc - Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing index variance vs. constituent single-stock…
·4 phút đọc - Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (σ2 - K2 Variance Payoff Scaling Benchmark)
Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing exact Black-Scholes…
·5 phút đọc - Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (σ2 - K2 Variance Payoff Scaling Benchmark)
Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing preventing vertical…
·5 phút đọc - Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact ($16.0B+ Quarterly SPX Collar Notional Benchmark)
Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing intraday futures…
·5 phút đọc - Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers ($16.0B+ Quarterly SPX Collar Notional Benchmark)
Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing 99% 2-day Expected…
·5 phút đọc - CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)
CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing daily
·5 phút đọc - CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)
CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing terminal…
·5 phút đọc - FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (15.0% Broad-Based Index Stress Range Benchmark)
FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) stands at 15.0% (Broad-Based Index Stress Range) (Source: FINRA / OCC Portfolio Margin, 2026-10-20), governing extracting
·5 phút đọc - FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (15.0% Broad-Based Index Stress Range Benchmark)
FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) stands at 15.0% (Broad-Based Index Stress Range) (Source: FINRA / OCC Portfolio Margin, 2026-10-20), governing index variance…
·5 phút đọc
VIX Term Structure & Skew
31Cập nhật gần nhất: 2026-11-05
- Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (59.0% Share of SPX Options Volume Benchmark)
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…
·4 phút đọc - Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (59.0% Share of SPX Options Volume Benchmark)
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
·4 phút đọc - VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation), VIX1D Benchmarks & Index Dispersion Mechanics
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.
·5 phút đọc - Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (6.5 hrs Intraday Cash Decay Window Benchmark)
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…
·4 phút đọc - Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (6.5 hrs Intraday Cash Decay Window Benchmark)
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…
·4 phút đọc - OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (20 min Intraday Monte Carlo Interval Benchmark)
OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing daily VX1-to-VX2 roll
·4 phút đọc - OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (20 min Intraday Monte Carlo Interval Benchmark)
OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing terminal Charm delta
·4 phút đọc - Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): FOMC & CPI Event Volatility Crush & Forward Variance Decomposition ($1,000 Standard VX Point Multiplier Benchmark)
Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing extracting single-day event…
·5 phút đọc - Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): Correlation Spike Stress Audit & Institutional Dispersion Unwinds ($1,000 Standard VX Point Multiplier Benchmark)
Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing index variance vs. constituent…
·4 phút đọc - Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (1 Day Event Jump Volatility Horizon Benchmark)
Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing exact Black-Scholes-Merton analytical…
·4 phút đọc - Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (1 Day Event Jump Volatility Horizon Benchmark)
Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing preventing vertical call-spread…
·4 phút đọc - S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (+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 intraday
·5 phút đọc - 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…
·5 phút đọc - 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…
·4 phút đọc - 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…
·4 phút đọc - 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
·5 phút đọc - 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…
·5 phút đọc - 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
·5 phút đọc - 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…
·5 phút đọc - 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…
·5 phút đọc - Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (+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 99% 2-day Expected Shortfall…
·5 phút đọc - Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing daily VX1-to-VX2 roll math ($1,000/pt multiplier…
·4 phút đọc - Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing terminal Charm delta bleed and PM-settled
·4 phút đọc - Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (σ2 - K2 Variance Payoff Scaling Benchmark)
Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing extracting single…
·5 phút đọc - Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (σ2 - K2 Variance Payoff Scaling Benchmark)
Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing index variance vs…
·5 phút đọc - Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid ($16.0B+ Quarterly SPX Collar Notional Benchmark)
Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing exact Black
·5 phút đọc - Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds ($16.0B+ Quarterly SPX Collar Notional Benchmark)
Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing preventing
·5 phút đọc - CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)
CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing intraday…
·5 phút đọc - CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)
CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing 99% 2
·5 phút đọc - FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (15.0% Broad-Based Index Stress Range Benchmark)
FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) stands at 15.0% (Broad-Based Index Stress Range) (Source: FINRA / OCC Portfolio Margin, 2026-10-20), governing daily VX1-
·5 phút đọc - FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (15.0% Broad-Based Index Stress Range Benchmark)
FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) stands at 15.0% (Broad-Based Index Stress Range) (Source: FINRA / OCC Portfolio Margin, 2026-10-20), governing terminal Charm…
·5 phút đọc
Second-Order Greeks & Hedging
30Cập nhật gần nhất: 2026-11-05
- Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (59.0% Share of SPX Options Volume Benchmark)
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…
·4 phút đọc - Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): Correlation Spike Stress Audit & Institutional Dispersion Unwinds (59.0% Share of SPX Options Volume Benchmark)
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…
·4 phút đọc - Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (6.5 hrs Intraday Cash Decay Window Benchmark)
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
·4 phút đọc - Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (6.5 hrs Intraday Cash Decay Window Benchmark)
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…
·4 phút đọc - OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (20 min Intraday Monte Carlo Interval Benchmark)
OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing intraday futures rebalancing…
·5 phút đọc - OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (20 min Intraday Monte Carlo Interval Benchmark)
OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing 99% 2-day Expected Shortfall…
·4 phút đọc - Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers ($1,000 Standard VX Point Multiplier Benchmark)
Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing daily VX1-to-VX2 roll math…
·4 phút đọc - Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement ($1,000 Standard VX Point Multiplier Benchmark)
Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing terminal Charm delta bleed…
·4 phút đọc - Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (1 Day Event Jump Volatility Horizon Benchmark)
Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing extracting single-day event variance…
·4 phút đọc - Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (1 Day Event Jump Volatility Horizon Benchmark)
Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing index variance vs. constituent
·4 phút đọc - S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (+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 exact Black…
·5 phút đọc - 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…
·5 phút đọc - 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
·5 phút đọc - 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
·4 phút đọc - 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-
·5 phút đọc - 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…
·5 phút đọc - 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…
·5 phút đọc - 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
·5 phút đọc - 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…
·5 phút đọc - Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (+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 preventing vertical call…
·4 phút đọc - Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing intraday futures rebalancing per 1% SPX move…
·4 phút đọc - Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing 99% 2-day Expected Shortfall, 20-minute risk…
·4 phút đọc - Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (σ2 - K2 Variance Payoff Scaling Benchmark)
Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing daily VX1-to-VX2
·5 phút đọc - Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (σ2 - K2 Variance Payoff Scaling Benchmark)
Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing terminal Charm delta…
·5 phút đọc - Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition ($16.0B+ Quarterly SPX Collar Notional Benchmark)
Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing extracting
·5 phút đọc - Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: Correlation Spike Stress Audit & Institutional Dispersion Unwinds ($16.0B+ Quarterly SPX Collar Notional Benchmark)
Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing index variance…
·5 phút đọc - CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)
CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing exact
·5 phút đọc - CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)
CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing preventing…
·5 phút đọc - FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (15.0% Broad-Based Index Stress Range Benchmark)
FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) stands at 15.0% (Broad-Based Index Stress Range) (Source: FINRA / OCC Portfolio Margin, 2026-10-20), governing intraday futures…
·5 phút đọc - FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (15.0% Broad-Based Index Stress Range Benchmark)
FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) stands at 15.0% (Broad-Based Index Stress Range) (Source: FINRA / OCC Portfolio Margin, 2026-10-20), governing 99% 2-day
·5 phút đọc
OCC Margin & Dispersion Desk
29Cập nhật gần nhất: 2026-11-05
- Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (59.0% Share of SPX Options Volume Benchmark)
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/
·4 phút đọc - Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (59.0% Share of SPX Options Volume Benchmark)
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…
·4 phút đọc - Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (6.5 hrs Intraday Cash Decay Window Benchmark)
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…
·4 phút đọc - Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (6.5 hrs Intraday Cash Decay Window Benchmark)
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 index variance vs. constituent…
·4 phút đọc - OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (20 min Intraday Monte Carlo Interval Benchmark)
OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing exact Black-Scholes-Merton…
·4 phút đọc - OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (20 min Intraday Monte Carlo Interval Benchmark)
OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing preventing vertical call…
·4 phút đọc - Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact ($1,000 Standard VX Point Multiplier Benchmark)
Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing intraday futures rebalancing…
·5 phút đọc - Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers ($1,000 Standard VX Point Multiplier Benchmark)
Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing 99% 2-day Expected Shortfall…
·5 phút đọc - Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (1 Day Event Jump Volatility Horizon Benchmark)
Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing daily VX1-to-VX2 roll math ($1
·4 phút đọc - Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (1 Day Event Jump Volatility Horizon Benchmark)
Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing terminal Charm delta bleed and
·4 phút đọc - S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (+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 extracting…
·5 phút đọc - 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…
·5 phút đọc - 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…
·4 phút đọc - 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…
·4 phút đọc - 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…
·5 phút đọc - 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
·5 phút đọc - 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
·5 phút đọc - 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…
·5 phút đọc - Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (+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 extracting single-day
·5 phút đọc - Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (+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 index variance vs. constituent…
·5 phút đọc - Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing exact Black-Scholes-Merton analytical derivatives…
·4 phút đọc - Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (96.4 30-Day VVIX Benchmark Benchmark)
Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing preventing vertical call-spread and horizontal…
·4 phút đọc - Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (σ2 - K2 Variance Payoff Scaling Benchmark)
Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing intraday futures
·5 phút đọc - Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (σ2 - K2 Variance Payoff Scaling Benchmark)
Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing 99% 2-day Expected…
·5 phút đọc - Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers ($16.0B+ Quarterly SPX Collar Notional Benchmark)
Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing daily VX1-to…
·5 phút đọc - Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement ($16.0B+ Quarterly SPX Collar Notional Benchmark)
Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing terminal Charm…
·5 phút đọc - CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)
CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing extracting…
·5 phút đọc - CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)
CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing index
·5 phút đọc - FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (15.0% Broad-Based Index Stress Range Benchmark)
FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) stands at 15.0% (Broad-Based Index Stress Range) (Source: FINRA / OCC Portfolio Margin, 2026-10-20), governing exact Black…
·5 phút đọc
Market Insights
14Cập nhật gần nhất: 2026-11-12
- Hedge fund Balyasny is amassing new people to keep a handle on its international business - eFinancialCareers
Hedge fund Balyasny is amassing new people to keep a handle on its international business - eFinancialCareers: Hedge fund Balyasny is amassing new people to keep a handle on its international business eFinancialCareers
·3 phút đọc - Fuel prices drive Japan, Europe electricity futures to 4-year high - Nikkei Asia
Fuel prices drive Japan, Europe electricity futures to 4-year high - Nikkei Asia: Fuel prices drive Japan, Europe electricity futures to 4-year high Nikkei Asia
·3 phút đọc - Nikkei 225 (Derivatives) Price (NI225/USD) Today | Live Price, Market Cap & Chart - Binance
Nikkei 225 (Derivatives) Price (NI225/USD) Today | Live Price, Market Cap & Chart - Binance: Nikkei 225 (Derivatives) Price (NI225/USD) Today | Live Price, Market Cap & Chart Binance
·3 phút đọc - BC-Nikkei 225 Futures - Yahoo Finance
BC-Nikkei 225 Futures - Yahoo Finance: BC-Nikkei 225 Futures Yahoo Finance
·3 phút đọc - Market positioning risks mount as macro hedge funds face worst stretch in years
Market positioning risks mount as macro hedge funds face worst stretch in years: Institutional summary of the supplied primary disclosure. Cross-reference official supervisory registers for live updates.
·3 phút đọc - Top Wall Street analysts are bullish on these 3 stocks for strong long-term growth potential
Top Wall Street analysts are bullish on these stocks for strong long-term growth potential: Amid volatility in global markets, top analysts can help investors look past near-term noise and pick attractive stocks with long-term potential.
·3 phút đọc - Top Wall Street analysts are confident about these 3 stocks for the long haul
Top Wall Street analysts are confident about these stocks for the long haul: Those looking for attractive stock picks amid the ongoing volatility can gain key insights by tracking the recommendations of top Wall Street analysts.
·3 phút đọc - Top Wall Street analysts are bullish on the growth potential of these 3 stocks
Top Wall Street analysts are bullish on the growth potential of these stocks: Amid fear of rate hikes and oil prices, investors can look past volatility and track Street analysts' stock picks with strong long-term growth potential.
·3 phút đọc - Equity Dispersion Trade Risks a Blowup, Hedge Fund CEO Warns - Bloomberg.com
Equity Dispersion Trade Risks a Blowup, Hedge Fund CEO Warns - Bloomberg.com: Equity Dispersion Trade Risks a Blowup, Hedge Fund CEO Warns Bloomberg.com
·3 phút đọc - Traders bet on a pop for Anthropic's historic IPO
Traders bet on a pop for Anthropic's historic IPO: Perpetual futures traders see Anthropic popping on its IPO
·3 phút đọc - A massive trade in Nvidia just went off – here are the details
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
·3 phút đọc - Crypto Liquidations Top $1 Billion as Bitcoin Tests 11-Week Low
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.
·3 phút đọc - Bitcoin holds $75K as AI regulation fears see KOSPI halted after 8% crash
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.
·3 phút đọc - US tech stock rout: is the AI bubble bursting?
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
·3 phút đọc
Volatility and Options
3Cập nhật gần nhất: 2026-10-30
- BTC & ETH Options Volatility Surface Spike and 25-Delta Put Skew Inversion During the $6.3B Exchange Exploit
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.
·6 phút đọc - Gatheral SVI & SSVI Volatility Surface Parameterization: Eliminating Butterfly and Calendar Spread Arbitrage (25 Oct 2026)
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.
·3 phút đọc - Extracting FOMC Event Variance From Term-Structure Kinks & Dealer Vanna/Charm Pinning Flows (25 Oct 2026)
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.
·3 phút đọc
Regulatory Compliance
1Cập nhật gần nhất: 2026-11-11
- CFTC warns Kalshi of imminent charges over notification of contracts: Politico
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
·3 phút đọc
Regulatory Benchmarks
1Cập nhật gần nhất: 2026-11-07
- Listed Options, Futures & Volatility Derivatives Venues 2026 Licensing Benchmark: 6D Prudential Scorecard Across 72 Audited Entities
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.
·4 phút đọc
Compliance Forensics
1Cập nhật gần nhất: 2026-11-07
- How to Verify Listed Options, Futures & Volatility Derivatives Venues Licences & Detect Clone Firms: 2026 Supervisory Lookup Playbook
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.
·3 phút đọc
Solvency and Protection
1Cập nhật gần nhất: 2026-11-07
- Investor Compensation Ceilings, Client-Money Segregation & Counterparty Risk Matrix in Listed Options, Futures & Volatility Derivatives Venues (2026)
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.
·4 phút đọc
Options Greeks, Volatility Surfaces & Quantitative Dispersion
1Cập nhật gần nhất: 2026-10-27
- The October 2026 Volatility Surface Dislocation: VIX/SPX 20x Convexity Squeeze, VIX1D Surges Above 23, Dealer Negative Gamma, and Single-Stock Dispersion Unwinds
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.
·14 phút đọc
Volatility Surface & Derivatives Desk
1Cập nhật gần nhất: 2026-10-27
- 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.
·22 phút đọc
Volatility Surface & Dealer Flow Mechanics
1Cập nhật gần nhất: 2026-10-27
- Vanna-Charm Second-Order Greeks Hedging Flows, S&P 500 25-Delta Skew Term Structure & Dealer OpEx Pin Risk Mechanics (2026 Quantitative Desk Manual)
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].
·16 phút đọc
02 · Sổ cái Xuất bản Theo Thời gian
Lưu trữ theo Năm–Tháng Xuất bản
Danh sách toàn bộ báo cáo sắp xếp theo thứ tự thời gian mới nhất.
tháng 11 năm 2026 (2026-11)
18 Báo cáo- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Regulatory Compliance3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Market Insights3 phút đọc
- Regulatory Benchmarks4 phút đọc
- Compliance Forensics3 phút đọc
- Solvency and Protection4 phút đọc
tháng 10 năm 2026 (2026-10)
127 Báo cáo- Volatility and Options6 phút đọc
- Volatility & Options3 phút đọc
- Volatility & Options3 phút đọc
- Options Greeks, Volatility Surfaces & Quantitative Dispersion14 phút đọc
- Volatility Surface & Derivatives Desk22 phút đọc
- Volatility Surface & Dealer Flow Mechanics16 phút đọc
- SPX 0DTE Gamma Exposure (GEX), Vanna & Charm Hedging Ratios, and OCC STANS Intraday Margin Framework0DTE Gamma & Volatility Surface6 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- VIX Term Structure & Skew5 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- Second-Order Greeks & Hedging4 phút đọc
- OCC Margin & Dispersion Desk4 phút đọc
- 0DTE Gamma & Volatility Surface4 phút đọc
- VIX Term Structure & Skew4 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- OCC Margin & Dispersion Desk5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
- Second-Order Greeks & Hedging5 phút đọc
- 0DTE Gamma & Volatility Surface5 phút đọc
- VIX Term Structure & Skew5 phút đọc
03 · Hồ sơ Định chế & Giấy phép
Hồ sơ Tổ chức Tài chính & Nhà môi giới (182)
Tra cứu giấy phép pháp lý và điểm đánh giá định lượng 5 chiều.
Corporate Profile OANDA Is A Leading Global Financial Services Provider. It Was Established In 1996 By Dr. Michael Stumm, A Computer Scientist, And Dr. Richard Olsen, An Economist. The Company Is Headquartered In Denver, USA And Has Offices...
Company OverviewFounded in 1992, Saxo Bank is a global financial services organization headquartered in Hellerup, Denmark. As of 2023, Saxo Bank has served clients in more than 120 countries around the world, with $16 billion in assets unde...
General Information AvaTrade (Ava Trade Markets Ltd.) Was Established In 2006 By Negev Shekel Nosatzki, A Well-known Foreign Exchange Brokerage In Ireland. It Has 9 Financial Regulations On 6 Continents. As A Global Multinational Company, A...
Straits Financial Group (hereinafter Referred To As "SFG") Is A Financial Services Company Specializing In Commodities Trading. It Was Established In 2018 And Is Headquartered In Hong Kong . As A Unregulated Trading Company , SFG Offers A D...
General Information & Regulations Founded In 1995 By Andy Daniels, Daniels Trading Is Now A Division StoneX Financial Inc. Daniels Trading (formerly Known As Intl Fcstone) Is A Financial Services Network That Connects Companies, Organizatio...
General Information MagnetFX Is A Regulated Retail Forex Trading Agency Located In Indonesia. It Operates Under The Supervision Of Two Regulatory Agencies, Ensuring Compliance With Legal Requirements. The Company Offers Global Market Access...
PLOTIO Focuses On Providing Global Investors With A Wide Range Of Investment Products, Robust And Reliable Trading Platforms, And Safe And Efficient Financial Services. The Company Has Now Fully Expanded Into The Global Market, Setting Up O...
Inter Pan Information Inter Pan Pasifik Futures Is Part Of The Inter Pan Group And Specializes In Various Business Activities Such As Financial Services, Manufacturing And International Trade. Inter Pan Offers Multilateral And Bilateral Pro...
SCDEX (https://scdex.com/), operated by SCDEX GLOBAL DIGITAL EXCHANGE (1312 17th Street Suite 692, Denver, COLORADO 80202), is a U.S. FinCEN-registered Money Services Business (MSB Registration No. 31000343978539 under 31 CFR 1022.380 across All States/Territories & Foreign for all 9 MSB activity classes including Dealer in foreign exchange, Money transmitter, and Seller of prepaid access) and NFA-recorded firm (NFA ID 0582319; CFTC Reg 4.13(a)(3) pools P210045, P210046, P210047), offering 1,740+ spot pairs, 1,084+ futures pairs across crypto, FX, equities, commodities and tokenized RWA, plus transparent copy trading.
General Information Sun Long Bullion Is A Hong Kong-based Company With 5-10 Years Of Professional Gold Trading Experience. They Are Regulated By The China Gold And Silver Trading Farm And Provide A Secure Platform For Clients To Trade Preci...
Corporate Profile Lime Trading (CY) Ltd Is An International Online Brokerage Company Authorized And Regulated By The Cyprus Securities And Exchange Commission (CySEC), Registered Under The Trademark Just2Trade. Lime Trading (CY) Provides It...
Corporate Profile ATC Brokers Is A Foreign Exchange Trading Broker Registered In The United Kingdom. It Was Established In 2005 And Is Headquartered In London. It Is A Regulated Financial Institution Group That Provides Trading Services For...
Corporate Profile APME FX Is An Online Trading Platform Located In Cyprus , Regulated And Licensed By The Cyprus Securities And Exchange Commission (CySEC). The Full Name Of The Company Is APME FX , Established In 2017 , With A Registered C...
Royal Precious Metals, Information Royal Precious Metals, Is A Security Broker Registered In Hong Kong And Regulated By The CGSE. It Mainly Provides Traders With Trading Opportunities In Metals Such As Gold, Silver, Platinum And Palladium.....
BASIC INFORMATION: KYTE BROKING LIMITED Is A Privately Held Limited Company Headquartered At 55 Baker Street, London, UK, With 41 Employees. Market Securities Group Is An Independent Broker With A Global Reach, Providing A Wide Range Of Cro...
Basic Information & Regulators Purple Trading Was Established In 2016 And Is An Online Forex And CFD Broker. Purple Trading Is A True ECN/STP Broker That Provides Investors With Superior Trade Execution. Purple Trading Currently Holds A Pas...
Corporate Profile ARGUS Is A Financial Brokerage Company Located In Cyprus . It Was Established In 2003 And Is Dedicated To Providing Convenient Financial Trading Services To Traders Around The World. The Company Is Headquartered In Nicosia...
GENERAL INFORMATION AND REGULATIONS Questrade, Inc., Purportedly A Registered Investment Dealer, Is A Member Of The Investment Industry Regulatory Organization Of Canada (IIROC) And A Member Of The Canadian Investor Protection Fund (CIPF).....
Corporate Profile XBMarkets Is An Online Foreign Exchange Broker That Mainly Provides Trading Services For A Variety Of Financial Instruments Such As Foreign Exchange, Precious Metals, Energy, Indices, Stocks And Futures. However, There Are...
Basic Information & Regulators Rockglobal Is A Financial Services Provider Registered In New Zealand. The Company Is Headquartered In Auckland And Currently Holds A Full License From The New Zealand Financial Marekt Authority (FMA) (license...
Axion Trade Information Axion Trade Is A Broker. Available Instruments Include Forex, Commodities, Indices And Stocks. The Broker Also Offers Nine Accounts With A Maximum Leverage Of 1:1000. Minimum Spreads As Low As 0 Pips And A Minimum De...
Corporate Profile GIB (full Name Global Intra Berjangka) Is A Regulated Financial Institution Group, Established In 2004 And Headquartered In Indonesia . As A Professional Financial Services Provider, GIB Offers A Diverse Range Of Trading P...
Corporate Profile Phillip Futures Is Headquartered In Indonesia. It Was Established In 1975 With Registered Capital Of XXXXX IDX/Indonesian Rupiah And Is Part Of Phillip Capital Group. The Company Holds A Regulatory License From The Indones...
Company Profile Full Name Of Company : Cannon Trading Established : 1988 Headquarters Location : Beverly Hills, California, USA Registered Capital : Undisclosed Regulatory License : General Financial Services License Issued By NFA (National...
04 · Danh bạ Cơ quan Quản lý
Cơ quan Giám sát & Quản lý Tài chính (48)
Các ngân hàng trung ương và ủy ban chứng khoán thuộc phạm vi theo dõi.
Taipei Exchange (TPEx)
U.S. Securities and Exchange Commission
Commodity Futures Trading Regulatory Agency of Indonesia (BAPPEBTI)
Jakarta Futures Exchange (JFX)
Autorité des marchés financiers
The Autorité des marchés financiers
Australian Securities and Investments Commission
Bundesanstalt für Finanzdienstleistungsaufsicht
Badan Pengawas Perdagangan Berjangka Komoditi
Bangladesh Securities and Exchange Commission
Baku Stock Exchange
China Financial Futures Exchange
U.S. Commodity Futures Trading Commission
The Chinese Gold and Silver Exchange Society
Securities and Exchange Commission of Brazil
Securities and Exchange Commission of Brazil (Comissão de Valores Mobiliários)
Cyprus Securities and Exchange Commission
European Securities and Markets Authority
Financial Futures Association of Japan
Swiss Financial Market Supervisory Authority
Financial Markets Authority
Financial Market Authority
Austrian Financial Market Authority
Financial Services Agency