Asset Class

Derivatives Research Hub

Recent research across major institutions highlights a period of intense factor-driven volatility, primarily centered on a record 10% drawdown in momentum strategies on February 4, 2026. This technical selloff, characterized by an unwind of crowded long positions in the 99th to 100th percentile, has triggered alerts regarding dealer gamma shifts and breaking CTA triggers that could exacerbate further moves. To navigate this environment, analysts suggest utilizing downside put spreads in Financials (XLF) where volatility remains relatively cheap, providing a hedge against private credit stress emerging from the declining software sector. In European mining, historical lows in option skew—reaching the 1st percentile since 2007—indicate extreme bullish sentiment, prompting recommendations to sell short-term calls or transition to call-spread ratio structures. Meanwhile, derivative activity in FX markets is shifting toward leveraged option structures like EURUSD ratio spreads to manage waning client conviction and speculative positioning in USDJPY. Overall, the research direction emphasizes volatility monetization and tactical hedging as extreme factor crowding and technical breaks necessitate a move away from pure long exposure.

246 reports available

Asia-Pacific Weekly Kickstart thumbnail

Asia-Pacific Weekly Kickstart

Goldman Sachs·Jun 14, 2026

The Asia-Pacific region saw flat equity market performance this week as significant FII outflows from Taiwan and Korea weighed on returns. Leveraged ETF growth in these markets is currently amplifying local volatility through dealer gamma rebalancing.

US Equity Futures Watch thumbnail

US Equity Futures Watch

Bank of America·Jun 11, 2026

This report provides an update on equity index futures roll costs and volumes for the US market, focusing on S&P 500 e-mini contracts as of June 10, 2026.

US Equity Futures Watch thumbnail

US Equity Futures Watch

Bank of America·Jun 9, 2026

This report monitors the intraday roll costs for US equity index futures, specifically tracking S&P 500 E-mini contract activity as of June 8, 2026. It highlights that the S&P 500 roll traded at 75bps rich to SOFR with significant quarterly volume.

Interest Rates Daily thumbnail

Interest Rates Daily

Crédit Agricole CIB·Jun 11, 2026

Crédit Agricole maintains a steepener preference ahead of the ECB meeting, anticipating a 25bp hike. The report reviews YTD EGB issuance and offers initial supply projections for 2027.

Derivatives Strategy thumbnail

Derivatives Strategy

UBS·Jun 9, 2026

This report evaluates the efficacy of traditional hedging assets versus derivative-based strategies in light of recent structural market shifts. It advocates for active management of option overlays and a reassessment of classic diversification models like the 60/40 portfolio.

FTS E Taiwan Index Series Review and Flow Implications thumbnail

FTS E Taiwan Index Series Review and Flow Implications

Goldman Sachs·Jun 6, 2026

FTSE Russell's June 2026 index review will cause major rebalancing across Taiwan 50 and Dividend+ indices. The resulting US$13-14bn in passive flows is expected to trigger rotation from technology stocks into banks and other defensive sectors.

Americas Morning Research Summary

Barclays·Jun 3, 2026

US Market Intelligence Morning Briefing

J.P. Morgan·May 27, 2026

EM Weekly Fund Flows Monitor

Goldman Sachs·May 24, 2026

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