Economy & PolicyCore researchlive in production

Volatility Risk Premium

Updated dailyData needs: medium

In plain terms

Look at VIX vs longer-dated VIX (VIX3M). When near-term fear is lower than long-term fear (contango), stay long; if it inverts, expect stress.

How it works

VIX term-structure slope (VIX9D / VIX vs VIX / VIX3M) is a coincident indicator of market regime. Stay long the stock when the term structure is in contango (VIX < VIX3M) — backwardation signals stress. Smoothing variants (raw vs 5-day rolling mean) sweep to find the cleanest version.

Live results

34 times picked on its own · 154 times inside a blend (50 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 154 such blended picks (50 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

Vix history
A data feed this strategy reads, refreshed on its normal schedule.
Spy options
End-of-day OPRA option chains used by IV-skew family.

Expected edge

Reported return: ~6%/yr unconditional
Reported Sharpe: 1.0 conditional (Bollerslev-Tauchen-Zhou 2009)
Tested over: 1990-2007

~6%/yr unconditional, 1.0 Sharpe conditional (Bollerslev-Tauchen-Zhou 2009)

Example tickers where this is likely to fire

SPY QQQ

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

Related families

Regime OverlayEconomy & Policy

Only go long if the broad market (SPY) is above its 200-day average AND VIX is calm. Otherwise stand aside — don't fight a falling tape.

Macro RegimeEconomy & Policy

Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.

Explore Volatility Risk Premium on alphactor.ai

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

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