Price & Market BehaviorExtended setExperimentalNew

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.

Live results

144 times picked on its own · 390 times inside a blend (383 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 390 such blended picks (383 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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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.

Explore vrp confirmed by price action on alphactor.ai

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