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.

Why does gamma regime matter for VRP?

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

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.

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.

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 × 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.

Related Concepts

Learn More

Deep-dive article

GEX-Conditioned VRP Guide

API documentation

GET /v1/vrp/{symbol}

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