Ivolution Research Journal · Working paper

Expected-move boundary reversion when VRP is rich

When the variance risk premium is in its top tercile, intraday touches of the ±EM boundary revert toward the session open at a materially higher rate than the matched baseline.

VRP-12 · v1·Proposed·Plausible — unproven·Vol risk premium

Cite as: VRP-12: Expected-move boundary reversion when VRP is rich. Ivolution Research Journal.

Publication status

The study is published as a working paper while a required data source remains unavailable. No result exists yet.

The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for VRP-12 are available to Terminal + AI members.

Symbols

SPX · SPY · QQQ

Regimes

Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day

Horizons

close

VRP-12: Expected-move boundary reversion when VRP is rich — Ivolution Research Journal