A systematic volatility mean reversion strategy using the VIX term structure spread against realized volatility.

What's included:

• Data: VIX, VIX3M, SPX from FRED + yfinance (free)
• Signal: standardized spread of implied vol vs realized vol
• VIX term structure visualization (contango/backwardation regimes)
• Three implementation approaches with risk/reward tradeoffs
• Backtest: daily signal, weekly rebalance, 2005-2024 (includes 2008, 2020, 2022)
• Vol-of-vol analysis (Sharpe undersells fat-tailed vol strategy returns)
• Sensitivity grid: realized vol lookback × signal threshold × position sizing

Who it's for: Options traders who want a systematic framework for decisions they're currently making discretionarily.

Not financial advice. Past performance does not predict future results.

TAGS: options, volatility, VIX, quantitative finance, python, jupyter, backtesting