I like the intuition here. When people pay up for option protection, it feels like a real signal about perceived risk. Makes me wonder if VRP and the VIX term structure work better as model inputs than as a simple risk on / risk off switch.
Appreciate the datapoint, Dr. Nguyen. Agreed thinking also that VRP and the VIX term structure must be equally useful as a model switch. I may play around with that idea.
I like the intuition here. When people pay up for option protection, it feels like a real signal about perceived risk. Makes me wonder if VRP and the VIX term structure work better as model inputs than as a simple risk on / risk off switch.
I’ve been using VIX/VIX3M for quite a while and it’s a pretty good regime indicator.
Appreciate the datapoint, Dr. Nguyen. Agreed thinking also that VRP and the VIX term structure must be equally useful as a model switch. I may play around with that idea.