Independence Day Market Dynamics
Despite the continued strength in equities, the volatility complex remains resilient. On Independence Day, the S&P 500 advanced by 0.73%, yet the front end of the volatility curve barely moved lower. This is noteworthy: roll yield is carrying materially better than expected given the steepness of the curve.
Anatomy of a Sell-Off: Why Convexity Matters
The sharp SPX sell-off and VIX surge on 3rd April 2025 underscored why convexity is critical in modern portfolio construction. As volatility spiked and the VIX curve flipped into backwardation, convex strategies demonstrated their power — delivering protection and positive returns when traditional assets came under pressure.