01 / VOLATILITY RISK PREMIA
The price of protection.
Our volatility research examines the compensation investors seek for bearing volatility and downside risk. We study the relationship between implied volatility, reflected in option prices, and the volatility subsequently realised in the underlying market. Demand for protection can support a premium, whose size and behaviour vary across strikes, maturities, and market conditions.
The focus is on understanding what risk a premium compensates for, how it changes, and how sharp moves can affect the exposure.
02 / COMMODITY TERM STRUCTURE
A curve shaped by physical markets.
In commodity markets, the relationship between futures maturities reflects more than financing. Storage costs, available capacity, inventories, seasonality, and the value of having physical supply on hand all matter. We study how these forces shape calendar spreads and the cost or benefit of maintaining exposure along the curve.
Our interest is in the economics behind contango and backwardation, and how changes in physical conditions affect relative pricing across delivery dates.
03 / COMMERCIAL HEDGING FLOWS
Who needs to transfer risk?
Producers, processors, and consumers use futures to manage prices, margins, and future supply needs. Their hedging requirements differ in timing and maturity, and can influence pricing along the curve. We examine those flows alongside inventory conditions and seasonal production and consumption cycles.
We look at how commercial risk transfer interacts with physical fundamentals, and where providing liquidity may be compensated for taking the other side of a hedge.
From market economics to portfolio decisions.
A curve’s slope or an option premium is a starting point for research. We consider transaction costs, contract rolls, liquidity, and margin requirements when evaluating an exposure. Across both areas, the aim is to understand the source of a premium and the conditions in which it can disappear or reverse, then use that understanding to inform position sizing and portfolio construction.