Strategy #0000000100 · Volatility and market exposure
Variance risk premium market timing
Enter implied and forecast realised volatility, a variance-gap threshold, two exposure levels and an assumed market return.
The variance risk premium is commonly measured by option-implied variance relative to future realised variance. It reflects risk-bearing, hedging demand and volatility forecast error, not a simple directional signal; squared VIX is not directly tradable future realised variance. This simulator separates the squared-volatility gap, exposure multiple and assumed market return.
No future realised variance is forecast and no empirical calibration, option pricing or historical performance is supplied.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How does implied-minus-forecast realised variance change an exposure scenario?
The variance risk premium is commonly measured by option-implied variance relative to future realised variance. It reflects risk-bearing, hedging demand and volatility forecast error, not a simple directional signal; squared VIX is not directly tradable future realised variance. This simulator separates the squared-volatility gap, exposure multiple and assumed market return.
Enter implied and forecast realised volatility, a variance-gap threshold, two exposure levels and an assumed market return.
No future realised variance is forecast and no empirical calibration, option pricing or historical performance is supplied.
- Input assumptionsEnter implied and forecast realised volatility, a variance-gap threshold, two exposure levels and an assumed market return.
- Model outputNo future realised variance is forecast and no empirical calibration, option pricing or historical performance is supplied.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
VRP=\sigma^2_{implied}-\widehat{\sigma^2}_{realised},\quad R_{scenario}=w(VRP)R_{market}-C
Volatility is entered in percentage points, so VRP is in vol-pct²; thresholds and exposures are user-set.
Greeks: the directional intuition
- 訊號
- Measures sensitivity to implied volatility.
- 樣本
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
VRP=\sigma^2_{implied}-\widehat{\sigma^2}_{realised},\quad R_{scenario}=w(VRP)R_{market}-C
Practical context · published observations
Variance risk premium market timing: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No future realised variance is forecast and no empirical calibration, option pricing or historical performance is supplied. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Data quality, sample selection and execution assumptions affect results.
Compare signal, sample and implementation choices.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | The variance risk premium is commonly measured by option-implied variance relative to future realised variance. It reflects risk-bearing, hedging demand and volatility forecast error, not a simple directional signal; squared VIX is not directly tradable future realised variance. This simulator separates the squared-volatility gap, exposure multiple and assumed market return. | No future realised variance is forecast and no empirical calibration, option pricing or historical performance is supplied. |
| Conservative version | Lower exposure | Reduce exposure and raise sample thresholds. | May narrow strategy coverage. |
| Validation version | Out-of-sample review | Freeze signal definitions before time-ordered evaluation. | Needs more clean data and governance. |
No future realised variance is forecast and no empirical calibration, option pricing or historical performance is supplied.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.