Beyond GEX: A Four-Lens Framework for Market Dislocations — CrossVol Research 2026

GEX carries a 30-50% error margin. This presentation introduces a four-lens framework reading gamma, vanna, charm, and
volga simultaneously to identify market dislocations before they become consensus.

Five validated calls documented: VIX Aug 2024 x35, DeepSeek Jan 2025 x6-10, Iran-Hormuz x9, Dispersion Sep 2025 x7,
Silver Feb 2026 x10.

Topics: options market microstructure, dealer positioning, gamma exposure, vanna exposure, risk reversal, term
structure, pin risk, European autocalls, SPX open interest, private credit systemic risk, AI infrastructure pricing,
FX derivatives structural biases, Chinese AI disruption.

Books by Djellal Djouad (CrossVol Research):
- The Coming Shadow Banking Crash: amazon.com/dp/B0H4HMVSMR
- Beyond Gamma Exposure: amazon.com/dp/B0H2RZGMY6
- FX Traders vs Brokers: amazon.com/dp/B0H3VSV88X
- The China AI Disruption Thesis: amazon.com/dp/B0H11WH3R9

Working papers (open access on Zenodo):
- Convergent Faults — Private Credit Systemic Risk: doi.org/10.5281/zenodo.20558733
- Tokens, Watts, and Geography — AI Inference Pricing: doi.org/10.5281/zenodo.20543628
- Beyond Gamma Exposure — Options Framework: doi.org/10.5281/zenodo.20509786
- FX Retail Structural Biases: doi.org/10.5281/zenodo.20509708
- China AI Disruption Repricing: doi.org/10.5281/zenodo.20509816

ORCID: orcid.org/0009-0002-4911-1118
Google Books: books.google.com/books?id=GGjiEQAAQBAJ
crossvol.com

Transcript

1. Beyond GEX: A Four-Lens Framework for Market Dislocations CrossVol Research | crossvol.com Djellal Djouad ORCID 0009-0002-4911-1118
2. GEX Carries a 30-50% Error Margin Gamma exposure alone misses vanna, charm, and volga positioning. Dealer hedging is multi-dimensional. Reading one Greek is not enough. 79% of SPX monthly expirations close within 0.2% of round strike.
3. Lens 1 - Gamma Exposure Baseline positioning metric. Pinning comes from concentrated OI. SPX dictates ES (10x more open interest). Negative gamma regimes require trend-following, not mean-reversion.
4. Lens 2 - Vanna Exposure Structural short-vol positioning. Vanna buyback invalid when skew drops >20% over 5d without VIX decline. European autocalls: USD 500-600B notional invisible to listed GEX.
5. Lens 3 - Risk Reversal 25-delta When RR contradicts GEX, follow RR. Skew convexity signals regime transitions before gamma flips.
6. Lens 4 - Term Structure + Physical Signals VIX curve backwardation, lease rates, funding stress. Confluence of 3 of 4 lenses = high-conviction signal.
7. Five Validated Calls VIX Aug 2024 x35 DeepSeek Jan 2025 x6-10 Iran-Hormuz x9 Dispersion Sep 2025 x7 Silver Feb 2026 x10
8. CrossVol Research - 2026 Publications Shadow Banking Crash amazon.com/dp/B0H4HMVSMR Beyond Gamma Exposure amazon.com/dp/B0H2RZGMY6 FX Traders vs Brokers amazon.com/dp/B0H3VSV88X China AI Disruption amazon.com/dp/B0H11WH3R9
9. Open Access Research Convergent Faults: doi.org/10.5281/zenodo.20558733 Power Tiers: doi.org/10.5281/zenodo.20543628 BGE Paper: doi.org/10.5281/zenodo.20509786 FX Paper: doi.org/10.5281/zenodo.20509708 CAID Paper: doi.org/10.5281/zenodo.20509816 crossvol.com