An independent quantitative research and technology company for systematic investment strategies.
Volatility Street LLC builds research infrastructure for turning investment theses into structured, testable descriptions of how systematic strategies behave across market states. Its research system is maintained independently of any single strategy or client.
Origin
The work began in volatility and derivatives research: options data, volatility surfaces and derivatives trading systems. That remains the current domain of depth.
Volatility strategies expose the limits of return-based description especially clearly. Their exposures change sharply with the market state, and their risks concentrate in states that samples rarely contain. The methods developed there apply to systematic strategies generally.
Current research
- Conditional exposureHow a strategy's policy and exposures change across market states.
- ValidationPre-specified tests, walk-forward evaluation, robustness and holdout discipline.
- Volatility structureTerm structure, volatility risk premia and the strategies built on them.
Founder
Tyler Prahm
Quantitative researcher working on volatility derivatives, market making and production trading systems across traditional and crypto markets. Previously built institutional options and volatility data tooling at Genesis Volatility and, after its acquisition, Amberdata. SPX 0DTE desk experience at Dipsea Capital.
Volatility Street has operated independently since 2025.