Price & Market BehaviorExtended setExperimentalNew

vrp blended with term structure

Updated dailyData needs: mediumlong onlyshort onlylong short

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.

Live results

36 times picked on its own · 153 times inside a blend (153 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 153 such blended picks (153 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

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

vrp confirmed by price actionPrice & Market Behavior

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.

term-slope trend confirmationPrice & Market Behavior

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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