https://www.altus-works.com/research Five studies of the option surfaces beneath the US large-cap index. Descriptive measurement; no performance claims. en Wed, 02 Sep 2026 00:00:00 GMT https://www.altus-works.com/research/terrain-and-fragility https://www.altus-works.com/research/terrain-and-fragility Wed, 02 Sep 2026 00:00:00 GMT Framework Two questions define the terrain: how strongly is constituent implied volatility priced, and how collectively are names repricing? A third asks how the surface responds to index moves. Each reading is ranked against its own history, so a session can be set beside any earlier one. https://www.altus-works.com/research/recoveries-beneath-the-index https://www.altus-works.com/research/recoveries-beneath-the-index Thu, 10 Sep 2026 00:00:00 GMT Study On 13 February and 26 August 2025 VIX and COR1M read almost the same, yet beneath the index fragility had moved from Low to High and 29 of 44 names showed lower co-movement. Over 2,766 sessions the two layers separate easing stress from fuller recovery: the road into an event ran along the high-fragility deck and relief took two routes. A closing section asks what this leaves for a book hedged with the index. https://www.altus-works.com/research/more-tilt-less-level https://www.altus-works.com/research/more-tilt-less-level Wed, 30 Sep 2026 00:00:00 GMT Study On ordinary 0.5–2% SPY falls, the constituents' skew now tilts more than it did before 2020 and their volatility level moves less, but the put–call gap a hedge is priced on changed far less than either part. At the strike a book holds, most of the surface move is slide, protection marks mostly on spot, and what fell is the cost of entry. https://www.altus-works.com/research/index-puts-at-the-bid https://www.altus-works.com/research/index-puts-at-the-bid Wed, 07 Oct 2026 00:00:00 GMT Study On a fall, a held index put keeps its re-mark at the bid; a held single-name put's mostly goes in the spread. The top-50 names' held 25-delta puts re-mark more than SPY's at mid, about 0.67 against 0.41 vol points per 1% fall, but at the bid the names keep about a tenth of it and SPY keeps 86% of its own. https://www.altus-works.com/research/correlation-on-falls https://www.altus-works.com/research/correlation-on-falls Wed, 14 Oct 2026 00:00:00 GMT Study Since 2023, implied correlation built from the fifty names has risen less when SPY falls, and single names have offset less of that rise. The net change on falls is smaller, not larger, and most of the names' part moves with SPY's own implied volatility, with a remainder shared across names rather than name by name.