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Forty-four markets, one grid
Equities, FX majors, precious and industrial metals, energy, rates — every underlying that matters to a derivatives book, in one screen, one schema, one set of percentiles.
Cross-Asset Volatility · Established 2026
Non-consensus research
on derivatives
and cross-asset
volatility.
CrossVol Research publishes non-consensus thesis notes on macro volatility, derivatives positioning, and cross-asset transmission. Each note starts from a single observation the sell-side is mispricing, and ends where the trade actually lives.
CROSSVOL · GAMMA
CROSSVOL · VEGA
CROSSVOL · RR
44
Markets covered
5y
Rolling history
4
Lenses, one screen
24/5
Trading days covered
The world over-reads gamma. It under-reads everything else. Every major dislocation since August 2024 — the volmageddon, the DeepSeek crash, the Trump tariffs sell-off, the silver squeeze — was forecast not by Gamma alone, but by the lens that everyone else had stopped watching. CrossVol exists to make that lens permanent, routine, and within reach.
What you can do with CrossVol
Six capabilities. One workflow.
The capabilities a derivatives desk actually needs in production. Not a feature checklist — a daily routine that ships.
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Five-year rolling history
Every metric is back-tested against five years of historical data. No raw value without its 1-day, 1-month, 1-year percentile. Every reading anchored in regime context.
03
Confluence alerts
CrossVol watches the four lenses simultaneously. When three out of four cross threshold in the same session — the alert lands before the move materializes on the chart.
04
Physical-signal layer
Lease rates, LME and COMEX inventories, calendar spreads, contango regimes. The non-options layer that anticipates commodity dislocations weeks ahead.
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Daily briefing — written by a desk
Every morning, the framework applied to the current regime. Not a generic newsletter. The same routine the desk runs internally — published, dated, signed.
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Public dated calls
No survivorship bias. Every call from the desk is posted on X before the move, time-stamped, never edited. The track record is auditable, by anyone, at any time.
The framework
Four lenses. One coherent reading.
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Gamma
Where dealers stand. Where the spot magnetism comes from.
Listed-options aggregation. Flip-zones, walls, charm decay. The lens most retail watches — and the one that misses OTC structured flows.
02
Vega
Who is short volatility. Where an unwind begins.
Income funds, autocalls, ETP flows aggregated into a single read. VVIX/VIX divergence as early-warning bell. Three of five dislocations since August 2024 started here.
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Risk Reversal
What the market pays for upside versus downside.
The fear-greed gauge that price action lags by days. 25-delta skew across equities, FX, commodities — the cross-asset language of regime change.
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Term Structure
How stress distributes across time.
VIX curve, lease rates, calendar spreads, physical inventories. The slowest-moving lens. Also the most reliable warning when it stops moving.
The terminal
A trading station built around the framework.
Each view exists because a real trade — one we publicly dated — needed it. No widgets for the sake of widgets.
Vega exposure
See an unwind two weeks before it triggers.
Dealer Vega aggregated across listed options, variance swaps, structured products and ETP flows. When VVIX/VIX breaches its 30-day mean by two standard deviations, you have a two- to three-week window to position before compression releases.
VEGA EXPOSURE
Physical signals
Read a commodity squeeze through the warehouse, not the chart.
LBMA lease rates, LME inventories, calendar spreads, listed-options Risk Reversal — four inputs, one composite score. On 2 February 2026, three days before silver lost 30%, the score sat at 87 of 100.
PHYSICAL SIGNALS
Cross-asset confluence
Three markets, one screen, one signal.
USD/JPY 25-delta RR, VIX term-structure slope, MOVE Index lined up in a single grid. When all three flip in the same session, the framework signals a 73% directional probability over the last two-year backtest.
CROSS-ASSET CONFLUENCE
A day on the framework
Four checkpoints. Across one trading day.
CrossVol does not replace your platform. It threads a coherent reading across the day — from Asia open to US close — and hands you a single grid at each transition.
07:00 UTC
Pre-market scan
Overnight Asia session digested. VVIX/VIX divergence, MOVE Index move, FX RR shifts. The brief lands in your inbox.
13:30 UTC
European close handoff
SX5E autocalls position, Bund vs US10Y RR, copper LME inventory print. Bridge from EU to US session.
14:30 UTC
US open framework
SPX gamma flip-zone, NDX dealer positioning, VIX term-structure slope. The four-lens read at the moment volume floods.
19:00 UTC
Close and overnight setup
Day P&L, threshold-breach log, watchlist for next session. Confluence score updated for every covered underlying.
The book
The framework, written down.
Three hundred and twenty pages. Nine chapters. Five dated war stories disassembled and rebuilt through the four lenses — the 5 August 2024 VIX spike, the 27 January 2025 DeepSeek crash, the 8 April 2025 Trump tariffs sell-off, the 5 February 2026 silver squeeze, the 2025 dispersion call.
Written for desk professionals who need a coherent language across asset classes, and for serious independent traders ready to stop reading the single lens everyone else watches.
Now live on Amazon — English edition. Additional languages rolling out (ES · DE · IT · NL · PL · SV · PT · AR · JA · ZH · HI · KO · RU · ID · VI).
Access
Three tiers. Clear lines.
The book lives free in its sample form. The terminal pays for the data, the percentiles, the daily routine.
Reader
Free
Read the framework. Watch the public calls.
- Sample chapters from the book
- Public dated calls on X (@DerivativeProFR)
- Weekly briefing — one regime per week
- No credit card required
Pro
€39 / per month
The four lenses on the underlyings that matter.
- Twelve underlyings — SPX, NDX, SX5E, FX majors, metals, energy, rates
- End-of-day data, one-year percentiles, confluence alerts
- Daily briefing — framework applied to the current regime
- Cancel any time, one click
Quant
On request
Live data, API, team integration.
- Intraday refresh
- REST + WebSocket API
- Custom underlyings on demand
- Priority support, quarterly review
No advertising. No dark patterns. No data resale. Cancel any time — one click.
The daily briefing
Get the framework in your inbox.
Every market day, before the bell.
One regime read per day. Written by the desk, applied to the four lenses, delivered before the European open. Free for the first thirty days — no credit card.
Used by traders at multi-strategy hedge funds, prop desks, and family offices. Unsubscribe in one click.
"When the spot-vol correlation flips, don't argue. Close your positions. Watch. Learn."
Lausanne · 6 September 2011 · The lesson that built the framework