The Weekly Print
1. Market Regime Snapshot
VIX Term Structure
| Tenor | Level | vs. Spot |
|---|---|---|
| VIX Spot | 14.9 | — |
| VIX 3M | 17.9 | +3.1 (Contango) |
Realized vs. Implied Vol: SPY 20D RV = 10.8%, VIX = 14.9. Spread = -4.1pp (realized vol below implied — calmer than feared).
Cross-Asset Momentum (1-Month)
| Asset | 1M Return | Signal |
|---|---|---|
| SPY (Equity) | +0.3% | 📈 Positive |
| TLT (Bonds) | -4.2% | 📉 Negative |
| GLD (Gold) | -6.9% | 📉 Negative |
| UUP (US Dollar) | +2.1% | 📈 Positive |
Regime: Mixed/transitional regime
Last updated: 2026-09-28 21:38 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 | +2.87% | +4.98% | -2.03% | +0.47% | 2.81% | +0.85 |
| Value | +0.89% | +0.37% | +1.25% | +1.00% | 2.60% | -0.04 |
| Quality | +2.01% | +0.11% | +4.87% | +0.32% | 1.56% | +1.09 |
| Low Volatility | -0.05% | -2.84% | +2.78% | +0.12% | 1.19% | -0.14 |
| Size | -2.00% | -6.32% | -11.16% | +0.02% | 1.54% | -1.31 |
No factor stress signals this week (all within ±2σ).
Last updated: 2026-09-28 21:38 UTC
3. Macro Signal Tracker
| Indicator | Current | 1W Change | Signal |
|---|---|---|---|
| HY Spread (OAS) | 293bps | +25bps | ⚠️ Widening |
| IG Spread (OAS) | 81bps | +4bps | ⚠️ Widening |
| 2s10s Yield Curve | 0.36% | +0.11% | Normal |
| 3M10Y Yield Curve | 0.93% | +0.06% | Normal |
| Fed Funds Rate | 3.63% | N/A | → |
| HY − IG Spread | 212bps | — | Risk sentiment proxy |
Macro Summary: Neutral macro backdrop
Last updated: 2026-09-28 21:38 UTC
4. Quant Research Digest
Three papers I found worth reading this week:
Taming the Option Factor Zoo: A High-Dimensional Analysis — Alexander Walter et al. arXiv
The authors construct 137 different option-implied characteristics to test how much of the derivatives cross-section is actually spanned by standard equity factors. For anyone looking at option credit spreads or building derivative pricing models, this is a highly useful dataset for isolating which volatility signals provide genuinely unique information rather than just mirroring equity beta.
Cost-Sensitive Online Window Size Selection for Portfolio Management — Yi-Chen Liu et al. arXiv
This paper proposes a two-level online learning framework to dynamically aggregate portfolio weights using different historical lookback windows. It offers a practical algorithmic alternative to hard-coding a static rolling window in quantitative portfolio optimization scripts, especially when trying to adapt to rapidly changing market variance.
Same Text, Different Numbers: The Divergence of LLM-Based Measures — Hamid Boustanifar et al. arXiv
This study tests how much NLP-derived financial metrics (like sentiment or risk) change simply by swapping the underlying large language model used for extraction. It serves as a good structural reminder that treating LLM outputs as static ground-truth variables introduces hidden, model-dependent noise into quantitative testing pipelines.
Last updated: 2026-09-28 21:38 UTC
5. Stat of the Week
| Stat | Value | Context |
|---|---|---|
| CBOE Skew Index | 145 | Elevated tail risk (>130) |
High-yield spreads widened by 25 basis points this week, pushing up to 293bps, while the CBOE Skew Index held elevated at 145. At the same time, 20-day realized volatility on the SPY remains subdued at 10.8%. It is an interesting structural divergence to log: credit markets and out-of-the-money put pricing are showing measurable stress, even as the day-to-day equity index prints stay relatively calm.
Last updated: 2026-09-28 21:38 UTC
Generated: 2026-09-28 21:38 UTC