Engagement
Volatility Regime Assessment
A time-boxed review of the current implied-vol regime for a defined book — surface shape, recent regime history, and practical hedge implications.
Purpose
When markets reprice quickly, desks often need a clear picture of whether the current implied-volatility regime is familiar, stretched, or transitioning. This assessment produces a written brief you can circulate to risk and trading stakeholders.
Scope
You define up to a fixed set of underlyings and tenors. We examine recent realised versus implied behaviour, skew and term-structure shape, and how comparable regimes have behaved around similar event clusters. The deliverable closes with practical implications for hedges — not a trade list.
Included
- Kickoff call (45–60 minutes)
- Written regime brief (typically 8–14 pages equivalent)
- One follow-up call to walk through findings
- Optional appendix of charts and surface snapshots agreed at kickoff
Excluded
Ongoing monitoring, live alert coverage, and multi-asset books beyond the agreed list. Those belong under the monitoring retainer.
Timeline
Most assessments complete in eight to twelve working days from receipt of the watchlist and any client-side constraints. Rush delivery can be discussed when capacity allows.