Vvix Regime Long Equity
In plain terms
When the vol-of-vol indicator (VVIX) spikes, the market is paying up for tail-risk insurance. Stocks usually rebound.
How it works
VVIX (the VIX of VIX) spike vs trailing 252d z-score signals vol-of-vol overpricing. Mean reverts via broad-equity drift up over 5-21d.
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
- ~3-5%/yr regime-timed
- Reported Sharpe
- ~0.5
- Tested over
- T+1 to T+21d
BTZ 2009 RFS: variance-risk-premium predicts 1-3m equity returns; vol-of-vol higher-order version.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Front-month VIX cheap vs 3-month (contango) means calm — SPY drifts up. When it inverts (backwardation), panic mode.
Daily roll-yield between front-month and second-month VIX futures. The bigger the contango, the better the short-vol carry trade.
A made-in-house signal (no academic paper backs it): when the VVIX (the market's fear-of-fear gauge) jumps but the regular VIX stays calm, it bets the calm spot market will catch up, so it goes long broad equity ETFs (and short long-volatility ETFs) for about 1-4 weeks.
Explore Vvix Regime Long Equity on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.