Djellal Djouad
Independent Researcher in Quantitative Derivatives. Founder of CrossVol Research.
MPRA 129365 (BGE) · 129363 (CAID) · 129364 (FXTvB)
Amazon Author amazon.com/stores/Djellal-Djouad · Google Scholar wOlMWVYAAAAJ
Latest notes
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Europe's Diesel Winter: the 2026 energy shock every market is pricing except equities
The diesel crack is up 210 percent, TTF gas up 91 percent, oil vol up 96 percent, and European gas storage sits at an 18-year seasonal low heading into winter. Yet equity volatility is back near its 2026 floor. From the desk, that gap is the whole story. A signed read on the crack curve, the gas cliff, the ECB's 2011 problem, sovereign spreads, and the bank and corporate credit most exposed to the shock. Published 8 August 2026 by Djellal Djouad.
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The Complex Voted: Brent Cracked 100 and Every Desk Called It a Spike
Brent broke 100 dollars for the first time in two months, and then every instrument that prices risk quietly disagreed with the panic. The curve unwound, the options desk bought puts into the rally, refiners sold off into a record crack, and tankers stayed flat through a live supply shock. Only diesel held. From where I sit on the desk, the complex voted the spike was temporary. Published 25 July 2026 by Djellal Djouad.
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The VVIX Is Paying for a Volmageddon: VIX Options, Contango, and Positioning into October 2026
Spot VIX sits at 16.23 and looks calm, but VVIX at 93.53, a steep futures contango into the low 20s, an upward-sloping call skew that reaches 112 per cent implied vol at the 40 strike, and a 272,603-lot open interest wall at the 65 call all point the other way. From the desk, this is what the tape looks like before a short-vol unwind. My read on why I expect another volmageddon, and how the structure has to be traded off futures, not spot.
About
Independent researcher on cross-asset derivatives. Author of five books and two working papers on options market microstructure, FX volatility, AI infrastructure economics, and the systemic footprint of private credit.
Research lines: dealer positioning beyond standard Gamma Exposure, FX volatility under regime shifts, AI capex and electricity constraints, and convergent fault lines in private credit and Bermuda-domiciled reinsurance.
Affiliated with CrossVol Research. Editorial output appears on CrossVol Research and across Amazon, Zenodo, Academia.edu, OSF, and SSRN.
Research & Market Notes
Free desk research on volatility, positioning and cross-asset flow, published under CrossVol Research.
- CrossVol Research on Substack, weekly volatility and positioning reads across equity index, oil, metals, FX and crypto.
- CrossVol Research on note.com, the same desk research in Japanese.
Books
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The Coming Crash: Inside the $3 Trillion Shadow Banking Ticking Bomb
Field study of four convergent fault lines in private credit, BDCs, AI capex, and Bermuda reinsurance.
ASIN B0H4HMVSMR
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Beyond Gamma Exposure
A four-lens framework for options traders who see what standard GEX misses.
ASIN B0H2QSF3X1 · DOI 10.5281/zenodo.20509786
View details · Amazon · Zenodo · Academia
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The China AI Disruption Thesis
Why the sell side is six months late on the China AI cycle.
ASIN B0H11WH3R9 · DOI 10.5281/zenodo.20509815 · Google Books ID GGjiEQAAQBAJ
View details · Amazon · Zenodo · Academia · Read excerpt on Google Books (p. 106)
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FX Traders vs Brokers
Vanilla and exotic options, forwards, and the OTC structures retail traders never see.
ASIN B0GX31WB5F · DOI 10.5281/zenodo.20509707
View details · Amazon (Kindle) · Amazon (Paperback) · Zenodo · Academia
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CrossVol Research
The manifesto. How a derivatives desk reads markets through four lenses.
ASIN B0H3LH6D1W
Working papers
SocArXivPodcast
The Djellal Djouad show. Short episodes on derivatives positioning, FX flow, and macro pivots.
Profiles
- ORCID 0009-0002-4911-1118 · canonical entity
- MPRA (Munich Personal RePEc Archive) · Beyond Gamma Exposure (129365) · The China AI Disruption Thesis (129363) · FX Traders vs Brokers (129364)
- Crunchbase
- Amazon Author Central
- GitHub
- Medium
- Substack
- Hashnode
- LiveJournal
- YouTube
Contact
Research enquiries and press: LinkedIn ou X / @DjouadDjellal.