VRP Regime
Canonical definition, formula, interpretation, and API reference.
Definition
Vol pricing state classification. Cheap, fair, or expensive relative to history.
Formula
Classified from VRP z-score and percentile vs 60-day rolling
Values: cheap_convexity, fair_value, elevated, etc.
Inputs
VRP z-scoreVRP percentilehistory
Output
vrp_regime label
Interpretation
- cheap_convexity: buy options, don't sell
- fair_value: no strong edge
- elevated/harvestable: sell premium
API Reference
Endpoint
GET /v1/vrp/{symbol}
Tier
Alpha+
Response field
regime.vrp_regime
Why VRP Regime Matters for Trading
TL;DR
VRP regime is a categorical label — harvestable, toxic short vol, cheap convexity, event only, surface distorted. One look tells you which strategy belongs today.
- What it measures
- A classifier output bucketing the current VRP environment into a pre-defined regime label.
- What it signals
- The strategy family that has edge right now.
- Why we measure it
- Composite scores are great for sizing; categorical labels are faster for strategy selection. Regime tells you the playbook.
- Who uses it
- Systematic vol traders, strategy-rotation PMs, retail looking for a simple filter. ALPHA TIER.
How to read VRP Regime
harvestable
- Short vol has edge
- Full-size premium selling
- Iron condors, strangles win
- Best of the regimes
Good for: short premium full size
toxic_short_vol
- Short vol blows up
- Avoid selling premium
- Rotate to long vol / hedges
- Regime-shift warning
Bad for: any short-vol trade
event_only / cheap_convexity
- Specific setups only
- Event-driven long vol
- Wing buys opportunistic
- Not a standard regime
Specific setups
Rules of thumb
- Label beats number for selection. Pick strategy by regime label; size by harvest + flow risk.
- Check harvest score alongside. Regime = qualitative call; harvest = quantitative input.
- Regimes shift over days/weeks. Not intraday noise. Treat regime changes as significant.
- surface_distorted = step back. When VRP regime flags surface issues, trust your data pipeline first before trading.
- Alpha tier only. Regime classifier is a paid-tier feature.
Related Concepts
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