Index VRP— SPX iron-condor book

Harvest the S&P 500 variance risk premium — sell overpriced index option insurance. Each cycle: a defined-risk 16-delta iron condor ~40 days out, opened only when the regime gate is open (VIX<30 AND VIX term structure in contango). Manage at 50% profit or 21 DTE. The scalable, US-legal cousin of the Kalshi VRP trades. Forward-tracked in shadow mode (no orders).

Live regime gate

Gate

OPEN — sell

SPX

7,736.5

VIX

16.4

VIX3M

19.3

This cycle's trade

SELL 7350 put / BUY 7290 put

SELL 8175 call / BUY 8235 call

2 contract(s) · ~40DTE · credit 17.65 pts · max loss 42.35 pts · profit zone 7332.4–8192.6

Backtest (2005-2026, regime-gated, vol-targeted)

Net Sharpe

1.49

CAGR (ceiling)

23.3%

Max drawdown

-20.6%

Worst month

-15.5%

Corr to SPY

0.30

Window

2005-2026

⚠️ BS+VIX proxy backtest = optimistic ceiling; real retail execution slippage erodes it (underwrite ~10-15%/yr, Sharpe ~0.8-1.2). Defined-risk wings are load-bearing — naked = ruin. Correlated +0.3 to SPY: a return sleeve with equity tail-beta, NOT a hedge. Expect periodic -15% months you cannot dodge; size for them.

Live forward book (paper)

Days live

Total P&L

+$1,183

Realized

+$1,879

Cycles closed

Win rate

100%

Open positions

IC-20260731: 2x · 36DTE · mark $-695

Paper/shadow book, $100k notional base. Forward P&L accrues as cycles settle. Data asof 2026-08-04T20:20:04.