vvix vix decoupling
What it checks
When the vol-of-vol indicator spikes but the regular VIX doesn't follow, the options market is bracing for a tail event the stock market hasn't priced in. Stocks tend to recover when the panic doesn't materialize.
Mechanism
When 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.
Signal rule
long SPY-like when 21d log(VVIX) >= +0.10 AND 21d log(VIX) <= 0; hold 5/10/21d; inverted on long-vol ETFs
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
- ~2-5%/yr
- Paper Sharpe
- ~0.4
- Paper window
- T+1 to T+21d
Conrad-Dittmar-Ghysels 2013 JF: ex-ante skew premium ~2-5%/yr; this joint-signal variant.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
vvix regime long equityMacroVVIX (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.
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 spike recoveryMacroVIX spikes above 30 followed by 5+ point drops mark panic peaks; broad-equity recovers over 10-42d.
Explore vvix vix decoupling on alphactor.ai
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