GEX-Conditioned VRP

Q: What is GEX-conditioned VRP?

VRP adjusted for gamma regime. In positive gamma, dealers support the pin — VRP edge is reliable. In negative gamma, dealers amplify moves — same VRP is less reliable.

Q: Why does gamma regime matter for VRP?

Positive gamma = dealers dampen moves (your ally). Negative = dealers amplify (your enemy). Same VRP, opposite reliability.

Q: Why does GEX-Conditioned VRP matter for trading?

GEX-conditioned VRP prevents the single most common short-vol mistake: trading a 'rich IV' signal in a regime that will destroy you. A positive VRP in a positive-gamma regime is real premium to harvest; a positive VRP in a negative-gamma regime is a trap where RV will exceed IV and crush the seller. Conditioning by regime exposes the trap.

Q: When is GEX-Conditioned VRP good versus bad for a trader?

Good when positive VRP aligns with positive gamma — full-size short premium. Bad when positive VRP is in negative gamma — false harvest, high blow-up risk. Mixed or transition regimes warrant reduced size or skipping the trade.

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.