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Bài viết và hồ sơ nguồn

Xem bài viết và hồ sơ nguồn về tổ chức. Nội dung bài viết bằng tiếng Anh; hãy kiểm tra nguồn gốc trực tiếp.

Chuẩn mực Tổ chức 2026 →Bảng xếp hạng Định lượng →Hồ sơ tổ chức từ nguồnCơ quan Quản lý Tài chính →Chuyên đề Nghiên cứu →Lưu trữ Theo Thời gian →
Tất cả Danh mục (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)

Tất cả báo cáo nghiên cứu đã xuất bản

Chuẩn mực Tổ chức 2026 →Bảng xếp hạng Định lượng →
Vix Futures Variance Swap Convexity

VIX 1×2 Call Ratios & Collars vs Direct SPX OTM Put Tail Hedges

Design institutional equity tail-hedging overlays: compare Cboe VIX call-spread collars and 1×2 call backspreads against direct 5-delta SPX puts across sudden liquidity crashes versus slow 2022-style bear grinds.

Điểm chính: Direct 5-delta SPX puts have ZERO basis risk to S&P 500 drawdowns, but pay steep 25d/5d put skew + Variance Risk Premium, bleeding 180–280 bps/yr if rolled mechanically.

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Ultra-Short VIX1D vs VIX9D, VIX & VIX3M Event Term-Structure Kinks

Decode the full Cboe constant-maturity volatility curve from 1-day VIX1D through 9-day VIX9D, 30-day VIX, and 3-month VIX3M: extract exact binary event moves and separate scheduled macro jumps from structural regime breaks.

Điểm chính: Launched by Cboe in April 2023 to capture the 59%-share SPX 0DTE revolution, VIX1D measures expected S&P 500 volatility over the current and next trading day using 0DTE and 1DTE SPXW strips.

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Wednesday Morning VIX SOQ Settlement (VRO) & SPX Strip Auction Mechanics

Examine Wednesday morning Cboe VIX futures and options settlement (ticker VRO): exact 30-day SPX opening auction replication, clearing-price determination, and how dealers convert expiring VX positions into SPX option strips.

Điểm chính: Cboe VX futures and VIX options expire on the Wednesday that is exactly 30 calendar days prior to the third Friday of the FOLLOWING calendar month!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Eurex VSTOXX (FVS) vs Cboe VIX (VX) Cross-Atlantic Volatility Spreads

Structure institutional cross-Atlantic volatility spreads between Eurex VSTOXX Mini-Futures (FVS, €100/pt) and Cboe VIX Futures (VX, $1,000/pt): sector composition divergences, EUR/USD FX carry, and geopolitical mean reversion.

Điểm chính: Eurex VSTOXX measures 30-day model-free implied volatility of the 50-stock EURO STOXX 50 (SX5E) index, whereas Cboe VIX measures the 500-stock U.S. S&P 500 (SPX).

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Cross-Asset Spillover: CME SOFR Bachelier Swaption Vol & MOVE Into VIX

Track cross-asset volatility contagion from CME SOFR Bachelier interest-rate swaption grids and Treasury MOVE into Cboe VIX: why fixed-income repo/duration shocks lead equity implied volatility by 3 to 10 sessions.

Điểm chính: Interest-rate volatility (quoted in annualized normal Bachelier basis points on CME SOFR options/swaptions and Treasury MOVE) sits upstream of equity discount rates and dealer balance-sheet repo capacity!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Volatility Swaps vs Variance Swaps: Exact Vol-of-Vol Convexity Pricing

Compare linear OTC Volatility Swaps against quadratic Variance Swaps: derive the second-order Taylor vol-of-vol convexity discount, Bessel-function Laplace replication issues, and why banks charge wider spreads on pure vol swaps.

Điểm chính: A Volatility Swap pays linearly on realized volatility: N_vega × (σ_realized − K_vol_swap), whereas a Variance Swap pays quadratically on σ_realized2!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Leveraged & Inverse VIX ETPs (UVIX, SVIX): 16:00 ET TAS Rebalancing Flows

Quantify end-of-day mechanical VIX futures rebalancing from leveraged (2× UVIX) and inverse (−1× SVIX) volatility ETPs: why BOTH long-leveraged and inverse ETPs trade in the EXACT SAME direction at 16:00 ET!

Điểm chính: Every daily-resetting leveraged (L = +2× UVIX) and inverse (L = −1× SVIX, −0.5× SVXY) VIX ETP must rebalance its VX1/VX2 futures exposure at 16:00 ET every day to restore constant target leverage L!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Cboe SKEW Index Above 150: Risk-Neutral Third Moment vs Crash Reality

Demystify viral "Cboe SKEW > 155 crash warning" headlines: derive the Bakshi-Kapadia-Madan risk-neutral third-moment normalization S = E[(R − μ)3] / σ3, proving why falling ATM VIX mechanically inflates SKEW!

Điểm chính: Cboe SKEW equals 100 − 10 × S_RN, where S_RN is the standardized risk-neutral THIRD central moment E^Q[(ln(S_T/S_0) − μ)3] / σ3 replicated from OTM SPX options!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Forward-Starting Variance Swaps vs FVAs: Election & Macro Event Carry

Isolate future macro events without paying spot theta today: derive exact calendar-variance subtraction for Forward-Starting Variance Swaps versus Forward Volatility Agreements (FVAs) and exploit election/earnings humps.

Điểm chính: Because total variance W(T) = T · K_var2(0, T) is strictly additive across non-overlapping time intervals, Forward-Starting Variance over [T1, T2] equals [ T2·K_var2(0,T2) − T1·K_var2(0,T1) ] / (T2 − T1)!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

Spot-Weighted Gamma Swaps vs Variance Swaps: Taming Crash Truncation

Discover why institutional single-stock and dispersion desks trade OTC Gamma Swaps: weighting daily variance by S_t / S_0 replaces 1/K2 replication with gentle 1/K weights—automatically damping bankruptcy crash explosions!

Điểm chính: A Gamma Swap modifies the standard variance swap payoff by multiplying each day’s squared log-return by the normalized spot ratio S_i / S_0: RV_gamma = (252 / N) · Σ (S_i / S_0) · [ln(S_i / S_{i-1})]2!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

CFTC Traders in Financial Futures (TFF) VIX Positioning & Squeeze Signals

Stop misinterpreting viral "Hedge Funds Record Short VIX!" charts: dissect the four CFTC Traders in Financial Futures (TFF) buckets (Dealer, Asset Manager, Leveraged Funds, Other) and build clean ETP-adjusted VIX crowding signals.

Điểm chính: Every Friday at 15:30 ET, the CFTC publishes Tuesday-close Traders in Financial Futures (TFF) open interest for Cboe VX futures across four institutional cohorts: Dealer/Intermediary, Asset Manager/Institutional, Leveraged Funds, and Non-Reportables.

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
Vix Futures Variance Swap Convexity

CFE & OCC VIX Futures–Options Cross-Margining & Capital Optimization

Solve the SEC-vs-CFTC regulatory silo split on volatility books: learn how OCC clears BOTH CFE VIX futures and Cboe SPX/VIX options—enabling 65%–85% STANS cross-margin offsets on hedged volatility arbitrage!

Điểm chính: Under U.S. market structure, VIX Options and SPX Options are SEC-regulated "securities" held in a Customer Securities Account, whereas CFE VX Futures are CFTC-regulated "commodities/futures" held in a 4d Segregated Futures Account!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

FX ATM Delta-Neutral Straddles (DNS) & Premium-Adjusted Delta Conventions

Avoid the #1 coding bug in FX volatility surfaces: derive exact Garman-Kohlhagen Spot vs Forward and Unadjusted vs Premium-Adjusted delta equations—proving why K_DNS sits ABOVE forward in EUR/USD and BELOW forward in USD/JPY!

Điểm chính: In FX options on pair FOR/DOM (e.g., EUR/USD or USD/JPY), option premium can be paid either in Domestic currency (USD in EUR/USD) or in Foreign/Base currency (USD in USD/JPY)!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

FX 25-Delta Risk Reversals: USD/JPY & EUR/USD Carry Crash Skew

Decode why funding currencies like JPY and CHF command persistent call skew even while depreciating: link FX 25-delta Risk Reversals to Brunnermeier-Nagel-Pedersen "up-by-the-stairs, down-by-the-elevator" carry crash risk.

Điểm chính: An FX 25-Delta Risk Reversal quotes the implied volatility spread RR_25 = σ(25d Base Call) − σ(25d Base Put)—positive when base currency calls trade richer, negative when base puts (quote calls) trade richer!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

FX Market Strangle (1-Vol) vs Smiley Broker Butterfly (2-Vol) Iteration

Solve the subtlest pricing trap in interbank FX options: why an interbank "25d Butterfly" quote is actually a single-volatility Market Strangle (BF_MS), differing from naive 2-Vol Broker Flies by up to 0.35 vol points on steep skew pairs!

Điểm chính: In naive textbook equations ("2-Vol Smiley / Broker Butterfly"), BF_2vol simply equals 1⁄2 · [σ(K_25C) + σ(K_25P)] − σ_ATM evaluated at each wing’s true smile volatility.

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Malz Quadratic vs Vanna-Volga FX Volatility Smile Interpolation

Graduate from Malz (1997) delta-parabola approximations to institutional Castagna-Mercurio Vanna-Volga pricing: construct exact hedging weights x1, x2, x3 across 25d Put, ATM, and 25d Call to price any FX strike without arbitrage.

Điểm chính: Allan Malz (1997)—developed at the New York Fed—approximates the FX volatility smile as a quadratic function of Black-Scholes delta: σ_Malz(Δ) = σ_ATM − 2·RR_25·(Δ − 0.5) + 16·BF_25·(Δ − 0.5)2!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

FX 10-Delta Wing Butterflies vs 25-Delta Flies: Jump Kurtosis Pricing

Use the institutional BF_10 / BF_25 Wing Ratio to diagnose pure diffusive vol-of-vol (~3.1x–3.4x ratio) versus discontinuous central-bank / EM devaluation jump risk (> 4.2x ratio)—and avoid Durrleman butterfly arbitrage.

Điểm chính: In a pure continuous stochastic-volatility diffusion (Heston or SABR without jumps), log-moneyness expands quadratically near ATM—fixing the theoretical ratio BF_10d / BF_25d tightly around 3.10× to 3.45×!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Overnight FX Central-Bank Event Variance Weights (FOMC, ECB, BoJ)

Calculate exact market-implied ±pip break-evens for FOMC, ECB, and Bank of Japan rate decisions from Overnight (ON) FX straddles—and build piecewise-linear total-variance interpolators that eliminate calendar arbitrage.

Điểm chính: When an Overnight (ON, 1-day to 10:00 AM ET tomorrow) FX option spans an FOMC, ECB, BoJ, or U.S. CPI release, ATM implied volatility leaps from a calm 7.5% baseline to 18%–34%!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Sticky-Strike vs Sticky-Delta FX Smiles: Shadow-Delta Hedging Math

Stop bleeding rehedging P&L from naive Black-Scholes deltas: derive exact Total Smile Shadow Delta Δ_total = Δ_BS + Vega · (∂σ/∂S) across Sticky-Strike, Sticky-Moneyness (Sticky-Delta), and SABR backbone regimes.

Điểm chính: Black-Scholes delta Δ_BS = ∂V_BS/∂S assumes implied volatility σ(K) stays constant when spot S moves ("Sticky-Strike" assumption)—which fails whenever the smile translates with spot!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Vanna-Volga & First-Exit Attenuation on FX Double-No-Touch (DNT) Barriers

Learn why flat Black-Scholes misprices FX Double-No-Touch (DNT) range binaries by 8%–18% of notional—and how institutional desks apply survival-weighted Vanna-Volga attenuation calibrated against Stochastic Local Volatility.

Điểm chính: A Double-No-Touch (DNT) FX exotic pays 100% of notional ($1M) at maturity T if and only if spot NEVER touches lower barrier L or upper barrier U at any continuous tick in [0, T]!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

FX Reverse Knock-Out (RKO) Barriers: Discontinuous Gamma, Vanna & Overhedges

Dissect the sharpest Greek cliff in FX derivatives: why an in-the-money Reverse Knock-Out (RKO) costs 75% less than a vanilla call yet forces dealers to unwind 200%+ deltas across a 10-pip digital call-spread overhedge!

Điểm chính: A Regular Knock-Out places the barrier out-of-the-money (zero intrinsic value lost on touch—smooth Greeks!), whereas a Reverse Knock-Out (RKO) places the barrier deep IN-THE-MONEY!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

New York 10:00 AM Cut vs Tokyo 3:00 PM Expiry: Intraday FX Theta Clocks

Navigate the 24-hour FX expiry clock: why 75%+ of G10 options expire at 10:00:00 AM New York time while Asian USD/JPY corporates use 3:00 PM Tokyo—driving predictable hourly variance weights and strike pinning.

Điểm chính: In global OTC and CME FX options, "expiration date T" is meaningless without specifying the exact Expiry Cut—led by New York 10:00 AM ET (NYO) and Tokyo 3:00 PM JST (TKO)!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

CME Listed FX Options (6E, 6J) vs Interbank OTC Smile Basis Arbitrage

Bridge the divide between centrally cleared CME listed FX options (6E Euro, 6J Yen, 6B Sterling) and bilateral interbank OTC FX surfaces: invert reciprocal quotes, align futures forwards, and capture SPAN-vs-SIMM capital savings.

Điểm chính: CME Group FX options are European/Weekly/Monthly options on quarterly IMM FX FUTURES (6E, 6J, 6B, 6A, 6C, 6M), centrally cleared at CME Clearing under CFTC regulation.

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

FX Cross-Currency Volatility Triangles & Implied Correlation Arbitrage

Unlock pure implied-correlation arbitrage in G10 FX without equityaskets: use the exact No-Arbitrage FX Triangle Law σ2(EUR/JPY) = σ2(EUR/USD) + σ2(USD/JPY) + 2·ρ·σ(EUR/USD)·σ(USD/JPY) to trade macro regime shifts!

Điểm chính: Because cross exchange rate EUR/JPY identically equals EUR/USD × USD/JPY at every continuous instant (zero triangular spot arbitrage!), log-returns obey r_{EURJPY} ≡ r_{EURUSD} + r_{USDJPY}!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Cross-Currency CIP Basis Swaps & FX Forward-Point Volatility in Options

Why constant Garman-Kohlhagen interest rates fail beyond 1 year: incorporate Cross-Currency Covered Interest Parity (CIP) basis swaps (SOFR vs ESTR/TONAR + α_basis) and stochastic rate-FX correlation into long-dated FX volatility!

Điểm chính: Post-2008 bank balance-sheet limits broke textbook Covered Interest Parity (CIP): synthetic FX-implied USD funding exceeds CME SOFR by a persistent Cross-Currency Basis Spread α_CIP (−15 to −65 bps in JPY & EUR)!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Power Reverse Dual-Currency (PRDC) Notes & Long-Dated USD/JPY Skew

Inside the exotic trade that moves 10Y–30Y FX and swaption markets simultaneously: how Japanese retail/institutional Power Reverse Dual-Currency (PRDC) notes embed leveraged long-dated USD/JPY call strips and trigger panic JPY-call buying in crashes!

Điểm chính: A Power Reverse Dual-Currency (PRDC) note is a 20-to-30 year JPY-denominated bond paying high coupons proportional to max( L_USD · (S_t / S_0) − L_JPY, 0 )—effectively a 30-year strip of leveraged USD/JPY calls!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Garman-Kohlhagen Dual-OIS Curve Hedging: Domestic Rho & Foreign Phi

Stop ignoring interest-rate Greeks on FX options: derive exact Garman-Kohlhagen Domestic Rho (∂V/∂r_dom) and Foreign Phi (∂V/∂r_for), spot why spot-delta hedging leaves hidden forward-point exposure, and hedge cleanly with FX swaps and CME SOFR futures.

Điểm chính: Unlike single-rate equity Black-Scholes, every FX option depends on TWO independent interest rates: Domestic Rate r_d (Rho = ∂V/∂r_d) and Foreign Rate r_f (Phi = ∂V/∂r_f)!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

FX Variance Swaps vs Forward Volatility Agreements (FVAs) Desk Guide

Structure pure strike-independent FX volatility trades: compare daily WMR-fixing FX Variance Swaps against cash-settled FX Forward Volatility Agreements (FVAs), pricing the butterfly skew wedge and fixing-source basis.

Điểm chính: Because FX pairs trend hundreds of pips across central-bank cycles, vanilla ATM straddles suffer acute strike drift—making strike-independent FX Variance Swaps and FVAs the preferred macro hedge-fund wrappers!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Corporate FX Target Redemption Forwards (TARFs) & KIKO Gamma Traps

Inside the corporate "zero-cost hedging" product that repeatedly triggers emerging-market and G10 currency flash crashes: dissect FX Target Redemption Forwards (TARFs) and KIKOs, asymmetric 1×2 gearing, and path-dependent dealer vanna unwinds.

Điểm chính: A Target Redemption Forward (TARF) lets a corporate exporter sell USD (or buy EUR) across 12–24 monthly fixings at an off-market "improved" strike K* (e.g., 400 pips better than forward!) with zero upfront premium.

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →
FX Risk Reversal Strangle Surfaces

Calibrating Stochastic Local Volatility (Heston-SLV) to FX Surfaces & Barriers

Unite exact vanilla surface recovery with realistic forward-smile dynamics: apply Gyöngy’s mimicking theorem and 2D Fokker-Planck PDEs to calibrate Heston Stochastic Local Volatility (SLV) to 5-pillar FX surfaces and One-Touch barriers!

Điểm chính: Pure Dupire Local Volatility (LV) matches 100% of vanilla FX smiles today, yet predicts unrealistically flat forward smiles—severely mispricing TARFs, FVAs, and Double-No-Touch barriers!

Dr. Alistair Finch, CQF, FRM
ENĐọc bản gốc tiếng Anh →

Hồ sơ tổ chức từ nguồn

Hồ sơ tổ chức từ nguồn

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Hồ sơ tổ chức từ nguồn

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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Cơ quan Quản lý

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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