Variance Risk Premium (SPY / QQQ)

A genuine premium with a tail to respect

The variance risk premium — the persistent gap between the volatility options imply and the volatility markets actually realize — is one of the most documented edges in finance. Harvested systematically on SPY and QQQ over 11.5 years (2015–2026, 599 weeks), it passes 9 of 11 pre-registered gates: profit factor 1.74, Sharpe 0.86, 86% of months positive, a deflated Sharpe of 0.976, and a decisive placebo PASS (real PF 1.74 vs the 95th percentile of 1.28 — only 0.5% of permutations beat it). The 2× cost stress holds at PF 1.64.

It fails two gates, both about shape rather than edge: max drawdown −12.1% (a hair over the 12% line) and 51% leg concentration (gate: ≤40%). The weekly return distribution is the tell — skew ≈ −7, worst week −$3,280 against a best week of +$266. That asymmetry is not a bug; it is what selling insurance looks like.

Gate scorecard — 9 / 11

#	Gate	Result	Pass
1	≥ 100 trades	1,198	✅
2	PF ≥ 1.20	1.74	✅
3	Sharpe ≥ 0.6	0.86	✅
4	Max DD ≤ 12%	−12.1%	❌
5	Positive in ≥ 60% of months	86%	✅
6	Bootstrap 95% LB Sharpe > 0	0.18	✅
7	Placebo: real PF > p95	1.74 vs 1.28	✅
8	2× cost stress PF > 1.0	1.64	✅
9	Deflated Sharpe positive	DSR 0.976	✅
10	No component > 40% of P/L	51%	❌
11	Walk-forward OOS ≥ 0.9× IS	holds	✅

What survival means here

The VRP is real, placebo-confirmed and survives the deflated-Sharpe correction — so it is not a mining artifact. But a short-volatility book that fails its drawdown gate in a benign decade is exactly the strategy you must stress against a 2008- or 2020-scale event before sizing it. The honest disposition is to re-pre-register with explicit tail management (defined-risk structures, a volatility-regime filter, or a hedge budget) and re-evaluate on a fresh window.

Verdict: SURVIVING (9/11). Real premium, fat left tail. The edge is genuine and placebo-confirmed; the −12.1% drawdown and the negative-skew profile must be tail-managed before this clears all eleven gates and earns capital.