Asset Class

Volatility Research & Market Analysis

The current market environment is defined by a significant 'Quant-Quaking' event, marked by a massive 10-11% drop in momentum pairs and a sharp factor unwind across crowded thematic exposures. While broad index volatility remains suppressed through reverse dispersion—where market-neutral funds cover shorts while slashing longs—the technology sector is experiencing a distinct spike in the VXN that significantly outpaces the VIX. This internal stress is characterized by a violent rotation out of 'Liquid Froth' and AI-centric MegaCap technology into non-tech cyclicals, Industrials, and Energy, as evidenced by the Nasdaq’s break below its 100-day moving average. Extreme dispersion is surfacing as software exposure reaches a record low of 4.2% and investors grapple with the 'haves and have-nots' dynamic dictated by AI-related margin expansion. Specific volatility is concentrated in heavy positioning around Alphabet’s $175-$185 billion capex guidance and persistent core inflation risks highlighted by an ISM Services prices paid jump to 66.6. Despite the -4.5 z-score Momentum drawdown and vanishing liquidity, some tactical indicators like a hammer candle in the IGV software ETF suggest a potential floor amidst the rapid shift from greed to fear.

131 reports available

Managing Allocations in Volatile Markets

Standard Chartered Global Private Bank·May 11, 2026

This report outlines eight key lessons for managing investment portfolios during volatile markets, emphasizing the importance of timeframe, diversification, and disciplined strategies.

Macro Volatility Digest

Cboe·May 18, 2026

Volatility increased globally as the US 10-year yield hit 4.6%, driving defensive hedging in indices like the Russell 2000 while single-stock call buying remains at 'meme stock' era extremes.

Wknd Notes

One River Asset Management·Jun 14, 2026

The report examines the importance of risk management and tail-risk mitigation in achieving long-term capital compounding. It highlights the non-symmetric math of market drawdowns and the necessity of preserving liquidity for market phase changes.

The Call Overwriter's Guide: Identifying Stocks for Single Stock Call Selling

UBS·May 21, 2026

This report outlines an active approach to single-stock call overwriting, using a factor-based model to identify stocks that maximize yield while minimizing the risk of being exercised.

The Fragile Melt-Up

The Market Ear·May 20, 2026

The market is in a fragile melt-up characterized by extreme upside call chasing in MegaCap AI stocks and a near-total abandonment of downside hedging. This concentrated setup mirrors late-90s behavior and creates high risk for a violent reversal if equity indices break lower.

Equity Reverse Convertible Model Portfolios

UBS Switzerland AG·Jun 1, 2026

UBS CIO presents model portfolios for reverse convertibles across USD, EUR, and CHF, utilizing a proprietary scoring model to select stocks for yield optimization.

Stock Market Risk Measures

Bloomberg·May 31, 2026

Simplified Framework For Market Direction

Goldman Sachs·May 27, 2026

Equity Volatility Strategy Dispersion at the Extremes

J.P. Morgan·May 13, 2026

All reports

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