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Vrp VIX Term Pit
Updated dailyData needs: mediumlong only
In plain terms
Use matching published spot-volatility index closes to form an equity or volatility-product regime.
How it works
Internal spot-index regime using explicitly named published Cboe daily VIX/VIX9D/VIX3M closes and, where needed, canonical SPY daily realized-variance proxies.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Cboe spot index observations admissible
A data feed this strategy reads, refreshed on its normal schedule.
- Spy prices
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- ~6%/yr unconditional
- Reported Sharpe
- 1.0 conditional (Bollerslev-Tauchen-Zhou 2009)
~6%/yr unconditional, 1.0 Sharpe conditional (Bollerslev-Tauchen-Zhou 2009)
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore Vrp VIX Term Pit on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.