The Weekly Print
1. Market Regime Snapshot
VIX Term Structure
| Tenor | Level | vs. Spot |
|---|---|---|
| VIX Spot | 15.1 | — |
| VIX 3M | 18.5 | +3.4 (Contango) |
Realized vs. Implied Vol: SPY 20D RV = 13.2%, VIX = 15.1. Spread = -1.9pp (realized vol below implied — calmer than feared).
Cross-Asset Momentum (1-Month)
| Asset | 1M Return | Signal |
|---|---|---|
| SPY (Equity) | +3.6% | 📈 Positive |
| TLT (Bonds) | -1.0% | 📉 Negative |
| GLD (Gold) | +13.8% | 📈 Positive |
| UUP (US Dollar) | -2.4% | 📉 Negative |
Regime: Mixed/transitional regime
Last updated: 2026-08-23 10:58 UTC
2. Factor Performance Dashboard
Source: ETF Proxies (MTUM, VLUE, QUAL, USMV, IWM vs SPY)
Note: ETF proxy returns include market beta and are not directly comparable to factor-neutral French library returns.
| Factor | Weekly | 1M | 3M | Mean (52W wkly) | Std (52W wkly) | Z |
|---|---|---|---|---|---|---|
| Momentum | -3.80% | -2.81% | +1.11% | +0.48% | 2.81% | -1.52 |
| Value | -0.76% | +3.54% | +9.90% | +1.11% | 2.55% | -0.73 |
| Quality | -1.16% | +3.34% | +5.11% | +0.36% | 1.54% | -0.99 |
| Low Volatility | +0.10% | +5.33% | +5.73% | +0.16% | 1.16% | -0.06 |
| Size | -0.31% | -1.00% | +2.96% | +0.21% | 1.53% | -0.34 |
No factor stress signals this week (all within ±2σ).
Last updated: 2026-08-23 10:58 UTC
3. Macro Signal Tracker
| Indicator | Current | 1W Change | Signal |
|---|---|---|---|
| HY Spread (OAS) | 275bps | +4bps | ⚠️ Widening |
| IG Spread (OAS) | 82bps | +3bps | ⚠️ Widening |
| 2s10s Yield Curve | 0.50% | -0.01% | Normal |
| 3M10Y Yield Curve | 0.86% | +0.04% | Normal |
| Fed Funds Rate | 3.63% | N/A | → |
| HY − IG Spread | 193bps | — | Risk sentiment proxy |
Macro Summary: Neutral macro backdrop
Last updated: 2026-08-23 10:58 UTC
4. Quant Research Digest
Three papers I found worth reading this week:
Dynamic Portfolio Optimization under CVaR Constraints — Anran Hu et al. arXiv
This paper studies continuous-time portfolio optimization with a CVaR constraint on terminal loss, showing optimal strategies exist without requiring complete markets. It provides useful mathematical duality results for dynamic risk-constrained setups in incomplete market formulations.
Entropic Value-at-Risk portfolio optimization for tempered stable Lévy processes — Jaehyung Choi arXiv
The author develops an optimization framework using Entropic Value-at-Risk (EVaR) for returns following tempered stable Lévy processes. It works out analytical moment-generating function bounds to make coherent risk optimization tractable under heavy-tailed jump dynamics.
Multi-Level Market Making with Reinforcement Learning — Patrick Cheridito et al. arXiv
This work frames limit order book market making as an RL problem that places orders across multiple price tiers while tracking inventory. It offers a practical formulation for modeling multi-level order placement dynamics beyond standard single-level analytical approximations.
Last updated: 2026-08-23 10:58 UTC
5. Stat of the Week
| Stat | Value | Context |
|---|---|---|
| CBOE Skew Index | 144 | Elevated tail risk (>130) |
The Skew Index sits at 144 while 20-day realized volatility is low at 13.2% and VIX is at 15.1. It shows a persistent spread where realized day-to-day index fluctuations are modest, but out-of-the-money option pricing remains elevated relative to historical norms.
Last updated: 2026-08-23 10:58 UTC
Generated: 2026-08-23 10:58 UTC