VRP Regime

Q: What is VRP regime?

Classifies whether current VRP is cheap, fair, or expensive vs its own 60-day history using z-scores.

Q: How is it different from assessment?

Assessment (from /v1/volatility) uses absolute VRP levels. VRP regime (from /v1/vrp) compares to THIS stock's own history.

Q: Why does VRP Regime matter for trading?

VRP regime collapses a lot of sub-signals into a single label that tells you which strategy family has edge. Harvestable means sell premium. Toxic-short-vol means don't. Cheap-convexity means buy vol. Event-only means wait for the catalyst. This makes strategy rotation fast and mechanical.

Q: When is VRP Regime good versus bad for a trader?

Harvestable is good for short premium full size. Toxic-short-vol is bad for all short-vol trades — rotate to long vol. Cheap-convexity and event-only are niche setups with specific-trade fits. Surface-distorted means data problems — step back before trading.

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.