vvix regime long equity
What it checks
When the vol-of-vol indicator (VVIX) spikes, the market is paying up for tail-risk insurance. Stocks usually rebound.
Mechanism
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.
Signal rule
long SPY-like when VVIX 252d z >= +1.5 (inverted on long-vol ETFs); hold 5/10/21d
Data dependencies
fred_macroWorker data table, see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~3-5%/yr regime-timed
- Paper Sharpe
- ~0.5
- Paper window
- 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
vix term structureMacroVX1/VX3 slope predicts S&P returns 5-20d. Steep contango โ calm โ drift up. Backwardation โ vol-shock โ underperformance.
vix term structure carryMacrolog(VX2/VX1) front-month roll-down carry. Steep contango pays the short-vol carry; backwardation pays long-vol.
vvix vix decouplingMacroWhen VVIX rises 21d without confirming VIX rise, options market is pricing tail-skew but spot has not repriced. Resolves via spot mean-reversion 5-21d.
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