implied volatility innovation drift
In plain terms
When traders rush to buy bullish call options on a stock, it often rises afterward; when they rush to buy protective puts, it often falls.
How it works
Innovations (changes) in option-implied volatility predict the underlying stock's subsequent return through the separate call-IV and put-IV legs, not the net skew change. Rising call implied vol signals informed bullish demand; rising put implied vol signals informed bearish demand.
Live results
66 times picked on its own · 84 times inside a blend (79 beat the stock) · updated 2026-07-06Data dependencies
- Options surface daily
End-of-day OPRA option chains used by IV-skew family.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
Related families
Stocks whose options make them look like lottery tickets with big upside tend to disappoint, so this strategy bets against them.
When put options become unusually expensive vs in-the-money puts, the market is bracing for a drop. Stock usually recovers as the panic fades.
Explore implied volatility innovation drift on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.