Altus research
Five studies of the option surfaces beneath the US large-cap index, in reading order: the two readings, then recoveries beneath the index, then what a fall does to protection, at the surface, at the held strike and at the bid, then correlation on falls. Start with the readings; the audience filter leaves each desk its own.
Every item states its date and, where readings appear, the data they come from. Nothing here is a performance report or a recommendation.
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.
Read 8 min
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.
Read 12 min
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.
Read 13 min
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.
Read 4 min
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.
Read 4 minHistorical analysis can frame a useful question without establishing a future edge. We distinguish surface measurements from held-contract outcomes, reconstructed history from a live record, and a pooled relationship from a dependable stock-level estimate. Subscribe by RSS →
How it works
One where the decision to restore or reduce risk was difficult.
On our standard fifty names, dated to what was knowable each day, beside what your process showed. No holdings needed.
Ninety days, scoped together, the fee credited against a Terminal subscription: twelve screens, an API and an MCP server.
Institutional investors only. Diligence materials on request. Speak directly with Gunjeet, the founder, in Singapore or over a call.
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