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Research notes 11 documents
Market Structure August 2026

Before the Bell

An American exchange is open for six and a half hours and shut for seventeen and a half. A perpetual futures venue quotes the same stocks throughout. Between seventy and ninety per cent of a typical opening gap is already visible on that venue five minutes before the bell, with no model of any kind. What the number is made of decides what it is worth: the venue's reference feed explains as much as its traded price, which makes it a data source rather than a view.

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Filings August 2026

Situational Awareness LP: The Portfolio as Filed

On July 30, 2026 a fund that had reported 45 billion dollars in assets four weeks earlier sold its leveraged public book to Citadel in a single block before the open. This note rebuilds the last portfolio the fund disclosed, line by line, from the filings rather than from the tables now circulating. The filing holds 42 entries and not the 34 commonly reproduced, the short book was built from one position in a single quarter, and the price the portfolio changed hands at has never been disclosed.

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Commodities July 2026

What Actually Moved Gold

Gold ran to a record above 5,300 dollars an ounce and then fell about a quarter. The inflation story its owners cite neither called the rally nor cushioned the fall. What moved it was real rates, the dollar and the official-sector bid.

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Monetary Policy June 2026

The New FOMC

The Federal Reserve held rates at the first meeting under a new chair, an outcome priced at 99.6 percent. The decision was never the story. We read the curve as it turns, quietly, from a cut to a hike.

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Market Structure June 2026

Positioning and the Curve

Large speculators are heavily net short US duration and broad equities, while the curve has re-steepened out of inversion. A reading of where the crowd is leaning, and what the curve is pricing.

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Equity Factors June 2026

The Drift After Earnings

One of the oldest anomalies in finance says prices keep moving in the direction of an earnings surprise for weeks after the report. Tested on five years of S&P 500 data, the drift is real and concentrated in the strongest beats.

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Intraday June 2026

Opening Range Breakout

Break the first thirty-minute range and the day tends to keep going. We confirm the edge on the Nasdaq-100 and show it vanishes on individual stocks. A study in where an edge lives.

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Alternative Data June 2026

Copying Congress

On the full record of more than eleven thousand disclosed buys across one hundred and fifty-plus members, copying Congress does not beat the market. The famous outperformance is a handful of standouts, not the body.

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Volatility June 2026

The Volatility Premium

Options are priced for more volatility than the market delivers. The premium is real and present 82 percent of the time, yet harvesting it naively pays little for a punishing tail.

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Digital Assets June 2026

Buying Bitcoin by Valuation

Buy more when on-chain valuation is cheap, less when it is rich. Over eleven years it bought more per dollar and lowered the average cost, but did not reduce the drawdown.

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Outside reading 1 document

Every document opens in the browser or downloads as a PDF, and the reader picks up on the page you were last on. The firm's own notes are also published as web pages in Open Research. Anything published by someone else carries their name and a link to the original.