Posts by Volatility Box

The volatility risk premium is the gap between implied and realized volatility. IV exceeds RV roughly 85% of the time on SPX. This guide covers VRP math, harvesting strategies, entry timing with IV rank, and tail risk management.

IV skew measures how implied volatility differs across strike prices. Put skew on SPX averages 5-8 points steeper than call skew. This guide covers skew charts, the volatility smile, sentiment signals, and skew-based trading strategies.

Micro futures let $5,000-$25,000 accounts trade ES, NQ, CL, and GC volatility at 1/10th the risk. This guide covers contract specs, margin requirements, ATR-based sizing for small accounts, commission impact, the micro-to-full transition, and VB Futures model levels.

Fixed stops ignore volatility. A 10-point ES stop works at VIX 12 but fails at VIX 30. This guide covers ATR stop-loss formulas, multiplier selection by strategy type, the Chandelier Exit, Keltner Channel stops, VIX-adjusted methods, and backtest comparisons.

Gamma scalping profits when realized volatility exceeds implied volatility. Buy options, delta-hedge continuously, and capture the difference. This guide covers the gamma-theta tradeoff, hedging mechanics, rebalance frequency, breakeven math, and when conditions favor the strategy.

VVIX measures the implied volatility of VIX options. Normal range: 80-100. Above 120: extreme fear. Below 70: complacency. This guide covers VVIX calculation, the VVIX/VIX ratio signal, VIX option pricing, mean reversion, and systematic VVIX-based strategies.

Keltner Channels use ATR; Bollinger Bands use standard deviation. One adapts slowly and tracks trends; the other reacts fast and detects squeezes. This guide compares both indicators, covers when to use each, and explains the TTM Squeeze combination.

Regime detection classifies markets into low/normal/elevated/crisis states. This guide covers VIX threshold rules, 200-day MA crossover, Hidden Markov Models, GARCH, machine learning classifiers, regime transition signals, and Market Pulse automated classification.

Opening range breakout trades the first directional move from the session’s opening range. This guide covers timeframe selection (5/15/30 min), ATR range qualification, VIX-filtered entries, stop and target rules, the U-shaped intraday pattern, and VB ORB model levels.

TTM Squeeze detects when Bollinger Bands contract inside Keltner Channels, a compression-to-breakout signal. This guide covers setup on ThinkorSwim, entry rules, momentum histogram reading, Squeeze Pro differences, multi-timeframe alignment, and false signal filtering.