Volatility Risk Framework
Evaluates implied-versus-realized spread, skew convexity, and term-structure slope to identify premium capture versus protection-demand regimes.
Frameworks
Analytical Models
Our framework stack translates complex option-market behavior into repeatable decision structures for portfolio oversight, allocation committees, and risk governance workflows.
Capital Allocation Model
Aligns overlay sizing with drawdown tolerance, return hurdle, and liquidity conditions to optimize path dependency in multi-asset portfolios.
Market Liquidity Analysis
Tracks order-book depth, futures basis stress, and cross-asset correlation shocks to map execution fragility before volatility-regime breaks.
Regime Transition Matrix
Classifies markets into expansion, compression, and dislocation states using dispersion, term premium, and macro-volatility co-movement signals.
Framework Workflow
- Signal capture: identify dispersion, skew, liquidity, and rates-vol shifts.
- Regime tagging: classify state probability and persistence horizon.
- Portfolio mapping: connect regime context to exposure, hedging, and carry posture.
- Execution constraints: account for implementation frictions and rebalance cadence.