A volatility-burst backtest can hide the drawdown between month-ends.
Our daily-data reconstruction exposes drawdown and execution-timing risks.
Study: A Profitable Strategy for Short-Term Traders
Volatility
Research on volatility dynamics, volatility-linked strategies, hedging, and drawdown measurement.
Curated by Signal & Evidence. Read our research approach for how we distinguish author findings from house tests.
House adaptation: execution timing unresolved
A better volatility-smile model is not automatically a better hedge.
Higher-order surface dynamics help explain curvature. The improvement is much smaller for the whole smile.
Study: Beyond the Skew-Stickiness Ratio: Transport Geometry of Spot-Driven Variance Surface Dynamics
The market’s correlation map can change without giving us a trade.
A reconfiguration index describes a volatility environment. Its premium measure is not a variance-swap payoff.
Study: The Reconfiguration Premium: Co-movement Structure as an Unspanned Dimension of the Variance Risk Premium
Leveraged ETF risk can arrive from the neighboring trade.
A feedback model finds a Korean transmission channel and U.S. nulls. Venue depth is part of the hypothesis.
Study: The Loop-Gain Matrix: Coupled Rebalancing Feedback and the Blind Spots of Scalar Stability Monitoring
Can the VIX curve tell us when protection is worth carrying?
An industry white paper uses curve disorder to switch between equity and volatility futures.
Study: The Squid Programs: Trading the VIX Curve. Dynamic volatility using the VIX term structure.