GEX-Conditioned VRP
Canonical definition, formula, interpretation, and API reference.
Definition
VRP adjusted for gamma regime. Positive VRP in positive gamma is more reliable than in negative gamma.
Formula
GEX-adjusted VRP = VRP x regime_factor
Adjusts raw VRP based on whether dealers are supportive or hostile.
Inputs
VRPgamma regimenet GEX
Output
gex_conditioned adjustment
Interpretation
- Positive gamma + positive VRP = highest conviction
- Negative gamma + positive VRP = unreliable
- Negative gamma + negative VRP = worst case
API Reference
Endpoint
GET /v1/vrp/{symbol}
Tier
Alpha+
Response field
gex_conditioned
Why GEX-Conditioned VRP Matters for Trading
TL;DR
GEX-conditioned VRP filters the VRP signal by gamma regime. Positive VRP + positive gamma = clean harvest. Positive VRP + negative gamma = trap.
- What it measures
- VRP measured conditional on being in a specific gamma regime.
- What it signals
- Whether the VRP edge is a real edge or a false one contaminated by regime.
- Why we measure it
- Raw VRP doesn't tell you if premium is rich for safe reasons or dangerous ones. Conditioning by regime separates them.
- Who uses it
- Systematic vol sellers who've learned the hard way that raw VRP can lie. ALPHA TIER.
How to read GEX-Conditioned VRP
Positive VRP + positive gamma
- Clean harvest setup
- Dealer regime supports sellers
- Real edge, not fake
- Best of both worlds
Good for: full-size short premium
Positive VRP + negative gamma
- False-harvest trap
- IV looks rich but RV will exceed
- Classic blow-up setup
- Avoid short vol
Bad for: short vol — warning
Positive VRP + mixed / near flip
- Regime uncertain
- Size down or skip
- Wait for regime to confirm
- Default reading
Reduce
Rules of thumb
- Regime first, VRP second. A positive VRP is necessary but not sufficient for short vol. Check regime.
- Trap rate rises in transitions. Most short-vol blow-ups happen in 'positive VRP + turning-negative gamma' setups.
- Pair with harvest score. Harvest includes regime conditioning implicitly.
- Event-sensitive. Pre-event VRP looks positive across regimes — discount it.
- Alpha tier signal. Requires chain-wide regime + VRP compute — Alpha only.
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