Using NVRP to Automatically & Dynamically Find an Edge

Normalized Volatility Risk Premium (NVRP) is a quantitative way to measure an option's premium and see how the market is pricing expected future volatility compared to its historical volatility.

We can use NVRP to identify opportunities in the market. A high NVRP signals an opportunity to sell premium, leveraging the market's tendency to overestimate future volatility, while a low NVRP may be a signal to avoid entering credit spreads.

In this workshop, we'll look at live examples of filtering for positive NVRP and build a bot that automatically enters credit spreads if the ticker's current NVRP is above zero.

As always, I'll also leave time to answer your backtesting questions during the live event and you'll receive a recording of the workshop after we finish.