7.4
Volatility Risk Premium
PYTHON PLUGIN
Volatility
Premium
Description
Strategy 7.4: Sell options when implied vol exceeds realised vol
Strategy Logic
Strategy 7.4: Volatility Risk Premium.
Sell options to capture the vol risk premium (implied vol > realised
vol). Signal strength proportional to the premium.
Expects ``implied_vol`` column alongside OHLCV data.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| vol_lookback | 21 | int |
| min_premium_pct | 0.02 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 10.0% |
| Take Profit Pct | 5.0% |
| Max Drawdown Pct | 15.0% |