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Research, insights, and thought leadership from the GVS community.

GVS brings together volatility and tail hedge managers, institutional investors, thought-provoking speakers, and other industry experts to discuss the volatility markets and the roles volatility strategies can play in institutional investment portfolios. GVS aims to keep investors updated on the volatility markets throughout the year, and educated on innovations within the space. Capstone Investment Advisors has provided the latest piece in the GVS newsletter series.
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Disclaimer

These materials are provided by conference participants for informational purposes only and should neither be construed as investment advice nor an offer to sell or the solicitation of any offer to buy any security. You understand that the material made available via this website are the works of individual authors, has been posted with the permission of the conference participant, and does not necessarily represent the views of Summit. No representation or warranty is made concerning the accuracy of any data compiled herein. Summit does not provide tax, legal or accounting advice.

Graham Capital

From Suppressed to Structural: The Return of Volatility

For more than a decade following the Global Financial Crisis, markets operated in an environment defined by low inflation, suppressed volatility, and extraordinary policy support. This paper argues that those conditions were not permanent, but rather the product of a unique macroeconomic and policy regime that has since broken down. As supply constraints, persistent inflation, deglobalization, and more active fiscal policy reshape the economic landscape, volatility is increasingly becoming a structural feature of markets rather than a temporary disruption. The result is a growing disconnect between how markets are priced and how the system now functions.

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Nasdaq

The Nasdaq-100® (NDX®) Ecosystem: The Evolution to Power Investor Choice Worldwide

Since its launch in 1985, the Nasdaq-100 has evolved to become one of the world’s most robust index-based ecosystems with “true” large cap exposure – enabling a wide range of investment strategies with deep liquidity across investment vehicles and instruments that serve the needs of asset owners, advisors, and individual investors globally. Today, the Nasdaq-100 Ecosystem represents over $1.4 trillion of exposure to NDX through Exchange Traded Funds (ETFs), Mutual Funds, Insurance Products, Structured Notes, and Exchange-Traded Derivatives (as stated in Figure 4). Market participants have engaged with the Nasdaq-100 Ecosystem to create highly liquid derivatives markets alongside long-term investment vehicles. This white paper, the first of a series, seeks to define the Nasdaq-100 Index Ecosystem across investment approaches and vehicles while discussing the depth of liquidity that enables investors to efficiently and effectively deploy capital to implement their investment views.

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Eurex

Liquidity Reboot: A New Chapter for EURO STOXX 50® Options

Introduced in February 1998, the EURO STOXX 50® index is the bedrock of European equity markets. Representing fifty of the largest companies in the Eurozone by free float market cap, its derivative contracts listed exclusively on Eurex are among the most liquid and heavily traded derivatives in Europe. The index continues to evolve, shifting when the Eurozone’s borders change and when new stocks reach the peak of Europe’s corporate ladder.

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Deutsche Bank

Portable Alpha

Portable Alpha is a concept that emerged in the 1990s and early 2000s and has since been implemented by large allocators. In recent years, the topic has seen a resurgence. The basic idea of portable alpha is to add uncorrelated alpha (“skill”) to an existing portfolio without disrupting its original, core asset allocation (“beta”).

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Cboe

The VIX® Index Decomposition

Prior to the US market open on August 5, 2024, the S&P 500® Index had fallen nearly 5% as traders labored to process the 12% overnight decline in the Nikkei and the ensuing implications of the Yen-Carry Unwind for US equities. In response to this market uncertainty, the Cboe Volatility Index® (the VIX® Index) jumped from a prior day close of 23 and registered an intraday preopen high of 65 before closing near 40 at the end of the day’s trading session. The 3x intraday surge in the VIX Index befuddled market commentators with many expressing surprise at the magnitude of the VIX Index move and with some even speculating that the VIX Index was somehow “broken”.

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Graham Capital

From Noise to Signal: Positioning Beyond the Narrative Regime

We expect markets to enter a new phase. So far in 2025, policy shocks, geopolitical risk, and high narrative volatility have been the dominant market drivers. If meaningful progress on trade deals is struck over the summer, we anticipate a transition to a regime where economic data, rather than headlines, regains primacy. Market volatility has declined since April, driven by gradually but consistently receding uncertainty.

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