How Equity Vol Surfaces Shift Across Fed Rate Cycles
Mapping term structure curvature changes against historical Fed tightening and easing cycles to identify predictable surface tilts before rate decisions.
Research
Volatility Research for Institutional Practitioners
Surface dynamics, cross-asset correlation, sentiment signals, and quantitative methodology. Written by the Metafide research team.
Topics:
Market Analysis
Methodology
Cross-Asset
Research
Latest Research
Commodities Volatility and Geopolitical Risk: A Cross-Asset View
Energy and metals vol surfaces have historically embedded geopolitical risk premium weeks before equity implied vol reacts. We examine the lead-lag dynamics.
Term Structure Curvature as a Leading Indicator of Risk Regime Shifts
Convexity in the vol term structure often precedes realized vol spikes. Here we describe how Metafide models curvature and uses it as an early-warning signal.
Extracting Sentiment Signals From FX Options Markets
Risk reversals and butterfly spreads in G10 currency pairs encode directional positioning that conventional sentiment surveys miss entirely.
Why Cross-Asset Correlation Regimes Matter for Vol Forecasting
Correlation between equity, rates, and commodity vol is not stable. Regime detection that catches correlation shifts early is foundational to surface forecast accuracy.
Rates Volatility: Reading the Swaption Cube for Cross-Market Signals
The swaption vol cube captures rate vol across expiry and tenor dimensions simultaneously. We explain how we use the cube's slope and curvature as a cross-market signal layer.
The Art of Blending Realized and Implied Vol in Forward Forecasts
Realized vol and implied vol diverge predictably under different market regimes. We describe how Metafide weights each input dynamically across the vol surface.
Vol Risk Premium Decomposition Across Asset Classes
The gap between implied and realized vol (the variance risk premium) varies substantially by asset class and regime. We map these patterns to improve surface calibration.
Machine Learning for Short-Term Vol Predictions: What Works and What Does Not
Not every ML architecture earns its place in a production vol forecasting pipeline. We ran systematic comparisons across feature sets and model families on walk-forward data.
Skew Dynamics: Single-Stock vs. Index Options in a Volatile Market
Single-stock skew and index skew behave differently through stress events. Understanding when they diverge is essential for desks running delta-hedged books.
Credit Spreads and Equity Volatility: The Cross-Market Relationship
Credit spread widening and equity implied vol spikes are correlated but not synchronous. Metafide tracks the lead-lag structure to anticipate cross-asset signal cascades.
Building a Multi-Asset Volatility Research Framework From Scratch
What we learned building Metafide's cross-asset vol research infrastructure: the data problems that are harder than the modeling, and how we approached the architecture.