Price & Market BehaviorCore researchlive in productionNew

Single Name Variance Risk Premium

Updated dailyData needs: mediumlong onlyshort onlylong short

2009

Bali, T. G., & Hovakimian, A. (2009). "Volatility Spreads and Expected Stock Returns." Management Science, 55(11), 1797-1812. + Bollerslev, T., Tauchen, G., & Zhou, H. (2009). RFS 22(11).

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In plain terms

When option-implied volatility is much higher than recently realized, options are expensive. Stock tends to drift up as the fear premium burns off.

How it works

Single-name variance risk premium = atm_iv^2 - hv_20^2 (annualized). Positions revert when option-implied variance is rich vs realized.

Live results

20 times picked on its own · 49 times inside a blend (43 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 49 such blended picks (43 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 chain 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

Reported return: ~5-8%/yr
Reported Sharpe: ~0.7
Tested over: T+1 to T+42d

Bali-Hovakimian 2009: ~5-8%/yr cross-section long-short VRP sort.

Example tickers where this is likely to fire

AAPL NVDA TSLA AMZN GOOG

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Option IV Skew DriftPrice & Market Behavior

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.

Vvix Regime Long EquityEconomy & Policy

When the vol-of-vol indicator (VVIX) spikes, the market is paying up for tail-risk insurance. Stocks usually rebound.

Explore Single Name Variance Risk Premium on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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