Price & Market BehaviorExtended setexperimental liveNew

vrp confirmed by price action

Updated dailyData needs: mediumlong onlyshort onlylong short

In plain terms

When options are pricing in far more volatility than the stock has actually shown and it has already sold off, buy the rebound; fade the reverse after a run-up.

How it works

Single-name variance risk premium (ATM implied variance minus realized variance) traded only when price action confirms the regime. Expensive option insurance while the stock is already in a drawdown is a capitulation/insurance-premium reversal; unusually cheap implied variance after a run-up is a complacency fade.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data 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

Gating noisy single-name VRP on a confirming price state (drawdown for longs, run-up for shorts) should turn the variance-risk-premium signal into a cleaner reversal trade.

Related families

vrp blended with term structurePrice & Market Behavior

Combine how overpriced a stock's options are with the shape of its volatility curve, buying when insurance is rich and the curve is healthy after a dip.

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