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Volatility Premium
Long low-vol stocks, avoid high-vol: harvesting the low-volatility anomaly
Risk Parameters
Max Allocation0.0%
Stop Loss6.7%
Take Profit5.0%
Max DD Tolerance6.7%
Rebalancemonthly
Execution Guidance
Order TypeLimit
Entry RuleBuy 0.5% below market in uptrend.
TimingSAFE TO BUY. *
ScalingEnter in 3 tranches over 1-2 weeks.
Positions — Vol-Adjusted Sizing
| Symbol | Action | Vol |
Stop Loss | Take Profit | Size | Links |
| SPLV |
BUY |
12% |
3.4% below entry |
3.0% above entry |
0.0% |
TVYH |
| JNJ |
BUY |
19% |
5.3% below entry |
4.0% above entry |
0.0% |
TVYH |
| PEP |
BUY |
21% |
5.9% below entry |
4.4% above entry |
0.0% |
TVYH |