IN THE PRESS
May 2025
Côme Legal, Portfolio Manager at ADAPT Investment Managers, spoke at the 2025 Citi EMEA Derivatives conference in Malaga on how political shocks are shaking the foundations of global markets.
Côme shared how volatility in FX, rates, and gold is no longer just noise — it reflects deeper regime shifts. While G10 vols may mean-revert, structural repricing is underway in managed currencies and gold, driven by central banks’ dedollarisation strategies.
He also highlighted a striking breakdown in traditional correlations: USD yields are rising while the dollar weakens — behavior more typical of emerging markets. Meanwhile, the historic bond/equity relationship is under pressure, calling into question the reliability of the 60/40 portfolio model in a world where US treasuries aren’t considered as a flight to quality asset anymore.
On the opportunity side, Côme pointed to dislocations in inverted volatility curves and stressed the importance of identifying where risk premia are still mispriced.
March 2025
Côme Legal, PM at Adapt Investment Managers, shared his insights on navigating volatility during a panel at the Derivatives Forum – Frankfurt in March 2025.
The discussion centered on key market developments and their impact on volatility throughout 2024, a year marked by significant macroeconomic events. Côme reflected on how some of these events shaped market behavior—while others had a more muted effect. For instance, he pointed out that the August 2024 selloff, although intense, was short-lived and followed by an unusually rapid recovery. In contrast, the U.S. elections, despite being highly anticipated, played out largely as expected, resulting in limited and short-lived volatility.
Côme also elaborated on his approach to volatility trading, underscoring the importance of market imbalances and dislocations in uncovering opportunities. His contribution emphasized Adapt’s data-driven, opportunistic mindset in navigating complex and shifting market conditions.
February 2025
“With options on realised volatility, you can build an asymmetric payoff — limited loss for potentially unlimited gain”
ADAPT’s CIO, Alexis Maubourguet, contributed to a Risk.net article discussing how funds are leveraging options on FX volatility to navigate market disruptions driven by tariff uncertainty.
At Adapt, we emphasize continuous innovation, technological investment, and in-depth research to uncover and capitalize on market opportunities. In the article, Alexis highlights the strategic role that options on realized volatility play in our approach.
Here’s why these options play a key role in our strategy :
Asymmetric payoff with limited downside – The maximum loss is capped at the premium paid, while the upside potential can be substantial.
A controlled approach to elevated volatility – A strategic way to express short volatility positions with defined risk.
Tailored for relative value strategies – Ideal for structuring asymmetric trades and portfolio positioning.
January 2025
“This was taken by the market as a micro story or rotation… implied volatility did not jump, and we saw no dislocations”
In a feature with Risk.net, our CIO Alexis Maubourguet, explains why the volatility markets remained unfazed during the $1 trillion selloff in semiconductor stocks on the 27th of January 2025 after the DeepSeek news.
Key structural factors helped absorb the shock:
Autocallables muted volatility instead of amplifying it
Stock dispersion limited broader contagion
Long gamma positioning acted as a stabilizer
This episode highlights how crucial it is to understand the evolving dynamics of the derivatives market.
August 2024
“It happened on the back of a very, very small macro catalyst – almost zero real fundamental reason for such a move”
In a feature with Risk.net, our CIO Alexis Maubourguet reflects on the unprecedented 180% pre-market spike in the VIX on 5 August 2024 — the largest single-day surge in the index’s history.
For Alexis, this wasn’t about macro shocks — it was about liquidity illusion and structural fragility:
Thin pre-market trading allowed small flows to trigger massive dislocations
Market-makers “disappeared” when volatility surged
“All the market needed was a very, very small impetus to trigger something pretty huge”
This event, he warns, is a stark reminder that modern markets may not be built to handle even modest shocks without dysfunction.
August 2024
“We haven’t seen capitulation because there hasn’t been a clearing level where the shorts are being bought back and the longs are selling back to the shorts”
In a Bloomberg article, our CIO Alexis Maubourguet cautioned against reading too much into the quick rebound of Wall Street’s popular dispersion trade following August’s short-volatility turmoil.
He points to persistently low stock correlations as a sign the trade may still be crowded — and vulnerable:
Crowded positioning has not meaningfully reset
Low correlations suggest the cost of entering dispersion remains too attractive to last
Volatility spike didn’t force a true unwind, raising questions about what happens in a deeper dislocation
The message is clear: the dispersion trade may have survived this shock, but structural fragility still looms beneath the surface.
May 2024
“Both 2018 and 2020 led to such an outsized reaction on derivatives markets because the convexity risk premium had been crushed to zero, meaning there were too many short convexity participants”
In a Risk.net article, our CIO Alexis Maubourguet offers a stark warning as equity convexity selling returns to the spotlight in 2024 — despite its explosive track record in past crises.
Why it matters:
Convexity is the last juicy premium left: With skew and term structure “on their knees,” convexity has become the last remaining source of meaningful carry.
But the danger is real: “Once this risk premium is compressed too, we switch from a vulnerable environment to an outright toxic environment,” Alexis warns.
Toxic = self-reinforcing collapse: No external catalyst needed — leverage and positioning alone can trigger the next dislocation.
As Alexis puts it, the crowd isn’t fully in — yet. But the clock may be ticking.
May 2024
At the 12th Euronext Annual Conference, our CIO, Alexis Maubourguet, shares how the ADAPT strategy turns market volatility into a powerful engine for portfolio growth.
Discover our investment philosophy and how we navigate complexity with precision and purpose.
May 2024
“There is a definite possibility that 0DTEs are under-margined — at the exchange level, and possibly also at the broker level”
Adapt’s CIO, Alexis Maubourguet, contributed to a recent Risk.net article discussing the OCC’s newly implemented intraday risk charge for zero-day-to-expiry options (0DTEs). This initiative aims to address the limitations of end-of-day margining, which often fails to reflect the rapid and significant intraday risks associated with 0DTE trading.
Why this matters for market participants:
Intraday risk visibility – 0DTEs can create sharp intraday exposures that traditional risk systems may overlook.
Limitations of current oversight – Standard controls frequently miss transient positions that don’t persist until end-of-day reporting.
Reinforcing risk discipline – The new rule encourages more proactive and resilient trading practices by incorporating real-time risk awareness.