Vvix VIX Decoupling
In plain terms
Quarantined research-only VVIX/VIX conjecture: no paper validates the sign, and the current revised macro history cannot establish what values were known at each decision time.
How it works
Internally-motivated (NOT paper-backed) joint volatility-index decoupling gate. Thesis: when implied vol-of-vol (VVIX) rises sharply over 21d while the VIX level does NOT confirm (stays flat/down), the options market is pricing tail/skew risk that the spot equity tape has not yet repriced; the gap is conjectured to resolve over 5-21d via spot mean-reversion. This is a heuristic conjecture, not an established empirical result.
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 Sharpe
- ~0.4
- Tested over
- T+1 to T+21d
No valid paper or production-alpha claim. Historical results are blocked by non-vintaged revised FRED inputs; short long-vol variants also lack session-level borrow.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
When the vol-of-vol indicator (VVIX) spikes, the market is paying up for tail-risk insurance. Stocks usually rebound.
Front-month VIX cheap vs 3-month (contango) means calm — SPY drifts up. When it inverts (backwardation), panic mode.
After a panic spike, when VIX starts dropping fast from 30+, stocks usually grind back over the next month.
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