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Turning the Machine Back On
If you sell volatility systematically, you’ve been asking yourself one question for about six weeks now: when do I turn it back on? A quick recap for anyone newer to this: the volatility risk premium is the gap between what options charge for future volatility and what the market actually delivers. Selling it is essentially running an insurance company—you collect premium most months and occasionally take a severe payout. Late February through March was the severe payout. If you were short vol going into the war, you took the hit the premium exists to compensate you for. Annoying, but that’s the contract you signed. Here is
RBC Thesis
For two years, every model of a Canadian bank has been a model of fear: tariff scenarios, the mortgage renewal wall, household leverage, a labour market one bad print from cracking. The banks obliged the fear — quarter after quarter of reserve builds, cautious commentary, and multiples that quietly charge an insurance premium on every dollar of earnings. RBC has spent that entire stretch doing something unusual: compounding straight through it. Record revenue, record pre-provision earnings, five points of operating leverage — and a stock that the market still prices as if the storm it reserved for is a matter of when, not if. Buried on slide
A Ceasefire With an Expiry Date: Pricing a Scheduled Geopolitical Binary
The two-week U.S.–Iran ceasefire announced April 8, 2026 converts an unscheduled geopolitical shock into a scheduled binary event. We assess that (1) event variance should concentrate at the first option expiry spanning the deadline, producing a measurable discontinuity (“kink”) in the implied volatility term structure, most informatively in crude oil options; (2) the outcome distribution is bimodal, which impairs the reliability of at-the-money implied volatility as a signal of richness or cheapness; and (3) appropriate positioning favours long, defined-risk optionality spanning the deadline, while short-gamma exposure through the event date presents unattractive asymmetry. We hold this view with moderate conviction and identify early or ambiguous
Gold Failed the War Test
If you designed a laboratory experiment to make gold go up, it would look like the last four weeks. The largest Middle East military campaign since the Gulf War. A superpower strike that killed Iran’s Supreme Leader. The Strait of Hormuz closed, pulling roughly 20 million barrels a day of crude off the market. Oil posting its biggest weekly gain on record and Brent touching ~$120. Inflation fear everywhere, consumer confidence wobbling, and equities down 5%+ on the month. And gold—the asset the entire wealth-management industry sells as the thing you own for exactly this scenario—is down double digits from its war-day peak. The mechanism matters