Structural Calm, Embedded Convexity
Between calm realised volatility and elevated forward risk, markets reflect both muted short-term moves and embedded macro risk premia. In this Volatility Brief, we examine Powell’s ‘higher-for-longer’ stance, JPM’s collar roll, AI-driven overvaluations, and our strategy positioning across gamma, vega, skew, and beta.
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.