Ivolution Research Journal · Working paper
VIX term-structure slope predicts forward realized range
The VIX term-structure slope percentile predicts the next sessions' realized range relative to the priced expected move, beyond the VIX level itself.
Cite as: VRP-13: VIX term-structure slope predicts forward realized range. Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
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Symbols
SPX · SPY · QQQ
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
1 session · 3 sessions · 5 sessions