Economy & PolicyCore researchlive in productionNew

Volatility Of Volatility Signal

Updated dailyData needs: mediumlong onlyshort onlylong short

In plain terms

When the market's 'fear gauge' (VIX) is itself swinging wildly -- high vol-of-vol -- that uncertainty-about-risk predicts weak forward returns, so the strategy leans short; when VIX is calm and steady, it leans long. It applies the academic vol-of-vol effect (high vol-of-vol underperforms) to single stocks using VIX as a live stand-in for per-stock options data.

How it works

Live-data proxy for the Baltussen-van Bekkum-van der Grient (2018 JFQA) vol-of-vol effect. The literal paper measures uncertainty-about-risk as the volatility of each stock's daily option-implied volatility and finds high vol-of-vol names underperform low vol-of-vol names by ~8%/yr (cross-sectional, monthly quintile sort, long low-VOV / short high-VOV). Per-stock implied-vol data is frozen (options_chain_daily stale at 2023-07-28; the literal version lives in the parked single_name_vol_of_vol_short family), so this family substitutes the realized volatility of VIX itself as a market-wide vol-of-vol proxy and trades single names in the paper's direction: short in high vol-of-vol regimes, long in low vol-of-vol regimes.

Live results

2 times picked on its own · 10 times inside a blend (9 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 10 such blended picks (9 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)

Loading substrate evidence…

Data dependencies

Fred macro
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: improves base-family Sharpe ~10-20%

VVIX-style gating improves Sharpe of base families by ~10-20%.

Explore Volatility Of Volatility Signal on alphactor.ai

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

Open universe with this filter →Browse all 572 families