Equity Variance-Risk-Premium Gate on the Short-VIX ETF: hold SVXY (-0.5x short VIX futures) only while VIX exceeds SPY's trailing 10-session realized vol, flat otherwise (USEQ 1-DAY, next-open fills, 40% fixed allocation, trades only in the post-2018 -0.5x regime)

Original Research Lead hypothesis, after the published 'VRP' timing rule for volatility ETPs (Tony Cooper, 'Easy Volatility Investing', SSRN 2013). Short-volatility ETPs earn the VIX-futures roll-down plus the equity variance risk premium: implied volatility (VIX) usually sits above the volatility that is later realized, and SVXY collects that gap by being short front VIX futures. The premium is not constant. When realized volatility catches up with or exceeds VIX, the insurance seller is no longer paid for the risk, the futures curve tends to flatten or invert, and the roll-down turns into a loss. These are the episodes in which SVXY's large losses happen. The rule holds SVXY only while the premium is positive and stands in cash otherwise. Instruments: SVXY.USEQ (traded), SPY.USEQ (signal only: realized volatility), and the VIX index close from supplementary `global_benchmarks` (key VIX, daily). Signal at the close of session t, using data through session t-1 only (VIX's 16:15 ET settlement is later than SPY's 16:00 close, so same-day VIX would leak 15 minutes; the whole signal is lagged one session): VRP(t-1) = VIX_close(t-1) - 100 x sqrt(252) x stdev of the last rv_window SPY daily log close-to-close returns ending at t-1. Execution is next_open_fill (supported on USEQ): a decision at session t's close fills at session t+1's open. The strategy trades only from 2018-03-01. SVXY switched from -1x to -0.5x daily exposure on 2018-02-28, after the Feb-2018 'Volmageddon' loss of ~90%, so the earlier history comes from a different product. 2011-2018 bars serve only as warm-up. Pre-study (fixed rule, rv_window 10, threshold 0, one-session lag, open-to-open fills, 30% allocation, 2018-03 to 2026-10): 83 entries, average trade +1.76%, in the market 83% of sessions, Sharpe 0.62, max drawdown 13%. Buy-and-hold SVXY at the same 30% allocation over the same period: Sharpe 0.49, max drawdown 25%. So the gate's pre-registered incremental value (L217) is about +0.13 Sharpe and about half the drawdown. It is not a large return improvement. The pre-study varied the window: 5 sessions gave Sharpe 0.37-0.47, 21 gave 0.35-0.54. An added VIX-below-10-day-mean trend gate doubled turnover and cut the average trade to 0.1-0.4%, so it is excluded. Fee arithmetic: USEQ has zero commission and ~0.02-0.05% round trip (spread plus impact; SVXY trades millions of shares a day). The average trade of ~1.5-1.8% is about 30x cost. Worst open-to-open SVXY session since 2018: -27.8% (2024-08-02 to 08-05). At a 40% allocation that costs 11% of equity, inside the 15% max-trade-loss budget. Risk route (b): signal exit with capped, unlevered sizing (40% of equity, no leverage). Long-only on purpose. Shorting SVXY or buying UVXY in the off state would hold the negative-carry side (UVXY decays about 50-80% a year) and is unmodeled for borrow; the off state is cash. Rationale for the buckets: USEQ is 9.8% of the corpus, and the equity volatility-carry mechanism is untested in the factory. The one prior SVXY run was a calendar pre-VIX-settlement window that ended overfit. This is a regime gate on the premium itself, not a calendar window. Long-only is over-represented; it is justified here because the only tradable side with positive carry is long SVXY.