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Research notes, CrossVol Research newsletter

Research notes signed by Djellal Djouad in the CrossVol Research newsletter, newest first. Implied volatility, skew, dealer positioning, rates, energy and credit, read through derivatives markets. Every note is free to read on the newsletter site.

By Djellal Djouad · 43 notes · latest

All notes, newest first

  1. The Crash Fuse Is Lit Oracle invoked force majeure, Bessent wants a strong yen and a Japanese bid for Treasuries at the same time, and quarter end is Wednesday.
  2. The VIX Is Too Calm for a 3.4 Sigma Rates Shock Treasuries sold off 3.39 sigma, stocks and bonds fell together, and the VIX rose just 0.75.
  3. The Basis Trade Did Not Shrink Its Risk. It Moved It to the Long End. Wall Street calls the smaller basis book benign. The leverage that left the front end reappeared where convexity and liquidity punish it most.
  4. The Volatility Risk Premium Explained: Why Implied Beats Realized Why implied vol tends to exceed realized vol, how the VRP is measured across the term structure, and when harvesting it fails.
  5. The OAT-Bund Spread Explained: France, Germany, and Sovereign Risk How to read the 10Y France minus Germany yield gap, what drives it, and why it moves French equity vol.
  6. Risk Reversal Skew Explained: Reading Put vs Call Implied Vol The 25-delta risk reversal as a skew gauge, not a strategy: how to read sign, size, and term structure.
  7. Implied Correlation (COR3M) Explained: The Dispersion Trader's Gauge What the CBOE implied correlation indices measure, how correlation is derived from index and single-stock vol, and how to read the level.
  8. Dispersion Trading Explained: Implied Correlation and Single-Stock Vol Short index vol, long single-stock vol, and the implied correlation trade that pays in calm markets and blows up in a crash.
  9. The Treasury Basis Trade Is Losing on Three Fronts Negative carry, a 10Y at the old cycle high, and top of book near $1mm.
  10. Energy Vol: TotalEnergies Skew and the Normalization Trade TTE sits at the crossroads of an oil supply shock, French sovereign stress at 104.6bp, and a market pricing rapid normalization.
  11. Dispersion and the OAT-Bund Channel US dispersion pays well at entry (COR3M 10.98, single-stock vol 2.32x SPX) but is poorly hedged as correlation rises.
  12. The Coiled Spring: A Hawkish Super-Week Meets an Energy Shock, and the Long End Cracks Fed +25 to 3.75-4.00%, a BoJ hike to 1.25%, a Saudi pipeline outage, a $7tn opex, and a 10Y at 5.00%.
  13. If Warsh Blinks Long oil, long equities, short bonds into a Fed priced near 88 percent for a hike, with dealer gamma deeply negative and a put-heavy expiry 48 hours…
  14. The Cheap Fuse Crude ran to fresh highs on a widening war and the options market fell asleep.
  15. Empty tanks, failed fields The world traded a falling crude price. Europe took the dual shock: gas storage near a two-decade seasonal low and its biggest farms failing, with…
  16. Validated and capped Nvidia handed the AI trade the biggest single validation in market history.
  17. The guarantee is the story Broadcom's CDS widened this week and the tape misread it as distress.
  18. Fully loaded, and the tail is bid The managers went all-in, cash at an uber-low 3.5 percent, the systematic complex at the top of its range.
  19. Same Symptoms, Different Disease: why 2026 is not a rerun of 2022 Inflation is re-accelerating, the 10-year is heavy and debt is at a record, just like 2022.
  20. Volatility moved to the currencies, and crypto fell asleep Japan ran the biggest single-day yen intervention on record with Washington help.
  21. Complacency to crisis and back in 48 hours Brent front-month vol hit a two-week low on de-escalation, then the call skew jumped to a multi-month high on fresh Iran strikes.
  22. The binary resolved to the upside A chip shock spiked the VIX to 18.7, then Microsoft and Amazon squeezed the shorts and collapsed the vol.
  23. Brent broke 100 dollars and every market called it a spike The time spread ripped and unwound, the options desk bought puts into the rally, refiners sold off into a record crack, tankers stayed flat.
  24. Puts got expensive, calls stayed cheap, and the next week is binary The Nasdaq lost 3.5 percent and the dip got bought. The vol surface repriced risk into the FOMC and hyperscaler earnings, puts richer the further…
  25. Gold stopped being a safe haven. The hard-asset bid just changed address. Gold fell 3.4 percent while Hormuz burned and bonds sold off, and its correlation to equities hit 0.6.
  26. Brent jumped 16 percent on Hormuz. The smart money was in products, not crude. Oil spiked on the Hormuz blockade, but money managers built length in gasoil and gasoline, not crude, and hedged the whole rally with 400 million…
  27. The S&P 500 made a record high and lost 1 percent in the same week The cap-weighted index fell into Friday's OPEX while the equal-weight printed a record on Thursday.
  28. Gold fell when the bombs dropped. That tells you everything. Same Iran shock as crude, opposite reaction. Gold sold off on the war headline while base metals looked through it.
  29. The ceasefire broke and crude ripped. Then it gave half of it back. Crude spiked on the Iran shock and handed back half by Friday.
  30. Large caps bought the dip. Small caps didn't. Vol got crushed into Friday but the curve is still in contango and the Russell cannot catch up.
  31. Five Signals, One Screen, No Consensus: What the Options Market Is Actually Pricing on July 3 VIX 15. OVX 41. GVZ pricing gold like tech vol. Specs flat gold, exiting crude, long copper.
  32. The AI Debt Trojan: Why the US IG Index Just Got Prettier and More Fragile AA-rated hyperscalers now represent 52 percent of Bloomberg US IG.
  33. The Market Doesn't Price One Distribution Anymore. It Prices Three. Crude is paying for downside capitulation. Semis are paying for unbounded upside.
  34. WTI Positioning Is Screaming Floor. The Tape Isn't Listening Yet. Latest CFTC data shows hedge funds slashed long exposure into the hole.
  35. AI tokens are becoming a geographic commodity. The market has not noticed. A four-tier framework for pricing the global AI inference trade, 2026-2030. Working paper out today on Zenodo and Academia.
  36. Three Views on Oil. Two Are Wrong. WTI derivatives say $90. The Chevron CEO sees upward pressure into June and July.
  37. What JPM Just Confirmed About 2027 AI Data Centers: PJM Grid Constraint and Hyperscaler CDS Divergence 60% of announced 2027 capacity is unbroken ground. Hyperscaler CDS volume is up 10× year-on-year. The bond market is six months ahead of equities.
  38. Shanghai Just Made AI Tokens a Commodity. Here's Why It Breaks the US Capex Thesis. In 72 hours: SHFE filed token futures, DeepSeek made -75% permanent, Xiaomi cut MiMo -99%.
  39. Yes, the US AI Bubble Is Real. Here is Why. Five quantifiable arguments. Two dated catalysts. The window opens Q4 2026.
  40. FX Spot Options GEX: how dealers position EURUSD, USDJPY, GBPUSD Why retail FX traders fly blind, and what institutional desks actually watch in option-space.
  41. Two Books, Seven Asset Classes, and a Free Online Reading Room What shipped in five weeks: Beyond Gamma Exposure on paperback, The China AI Disruption Thesis on Kindle, and a free cross-asset reading room at…
  42. Now live on Amazon: Beyond Gamma Exposure The CrossVol desk's playbook for reading volatility, written down. Nine chapters, five dated war stories, four lenses.
  43. Why the sell-side is six months late on AI infrastructure Five convergent shocks, two dated catalysts, and the math behind a 25-40% rerate by Q1 2027

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