VRP Regime and VRP Z-Score
VRP Regime classifies the current volatility-pricing environment — rich, where implied volatility sits well above realized and premium-selling conditions look favorable; fair; or cheap and inverted, where realized volatility exceeds implied and selling premium is poorly compensated or actively dangerous. Regime is the first filter, checked before any individual strategy score.
VRP Z-Score expresses today's premium — implied minus realized — as a rolling z-score against its own history, answering whether today's premium is unusually rich or cheap for this specific name, rather than against an arbitrary fixed threshold.
Splitting the premium
Term VRP computes the implied-minus-realized spread separately per days-to-expiry bucket, since richness can differ substantially between the front week and the back month. Directional VRP splits the premium into upside and downside components, since puts and calls often carry very different risk premia.
GEX-Conditioned VRP adjusts the raw reading for the current gamma regime — the same VRP level means something different in a positive-gamma environment, where hedges are likely to hold, than in a negative-gamma one, where hedges are likely to blow through.
Scoring the trade, and sizing it
Harvest Score rolls up VRP level, regime, and term structure into one "how attractive does premium selling look right now" reading. Net Harvest Score risk-adjusts that same read for Dealer Flow Risk — an estimate of how much mechanical dealer hedging could work against a premium seller, higher in a negative-gamma trending regime than in a positive-gamma range. A high raw Harvest Score in a dangerous dealer-flow environment nets down to a more cautious number.
Strategy Scores combine VRP, term structure shape, and skew into per-structure attractiveness composites — short strangle, iron condor, calendar spread — flagging which shape the current environment actually favors rather than defaulting to one strategy regardless of conditions. Kelly Criterion, once a trade looks attractive, gives the theoretical growth-optimal position size for a given edge and its variance; in practice, traders size to a fraction of full Kelly, since full Kelly is high-variance and assumes the edge estimate itself is exact, which it never is.