vrp blended with term structure
In plain terms
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.
How it works
Blends the single-name variance risk premium with the ATM IV term-structure state. Expensive implied variance plus a non-inverted term structure after a drawdown is read as a long setup; cheap implied variance plus a weak/inverted term state with negative momentum is read as a short setup.
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
Requiring the term-structure state to agree with the VRP signal should filter out VRP extremes that occur in an unsupportive vol regime.
Related families
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.
Follow a stock's trend only when the shape of its implied-volatility curve agrees the move should keep going.
Explore vrp blended with term structure on alphactor.ai
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