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research · Apr 6, 2026 · 16 min read

How to Trade Volatility: A VRP-Based Approach

How to Trade Volatility: A VRP-Based Approach A trader checks the VIX, sees it above 20, and buys VXX calls because "volatility is going up." Three weeks later, negative roll yield has eaten a third of the position and the VIX has barely moved. Another trader sells a

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Featured Research Markets Engineering
research · Apr 6, 2026

How to Trade Volatility: A VRP-Based Approach

How to Trade Volatility: A VRP-Based Approach A trader checks the VIX, sees it above 20, and buys VXX calls because "volatility is going up." Three weeks later,

16 min read
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