Alpha Query — RVX Duration Edge

📄 Download client brief (PDF) 📑 Source research deck

COIN-FLIP (Days 1-5)

Wait & observe — fragile, mean-reverting

RVX 19.93 · October 9, 2026

81 prior streaks · avg 18.5 days · +2.8% over-streak

Day 1 of 11 · 10 sessions to the trigger

0Day 2Day 6Day 11 · trigger16+

The RVX Duration Edge tracks how long the Russell 2000 volatility index (RVX) has held below 20. A sub-20 RVX is a low-vol backdrop that has historically favoured small caps — but the research's key claim is that duration is the edge: the signal "crystallizes" once the streak survives to day 11. This page live-counts the current streak and the countdown to that trigger. RVX just closed at 19.93, putting us on day 1 of a sub-20 streak — 10 sessions from the day-11 trigger.

AQI regime classification matrix

Streak duration	Win prob	Market state	Strategic action
2–5 days	≈53%	Fragile / mean-reverting	Wait & observe
6–10 days	building	Filter forming	Hold fire
11–15 days	>92%*	Crystallized signal	Deploy long IWM delta
16+ days	high continuation	Self-sustaining trend	Ride & trail stops

Your current position is highlighted. *The >92% headline is an over-the-streak figure — see the validation below.

Validation on our data — and the honest caveat

Streak lasted	n	% up over streak	mean	fwd-10d win
2–5 days	32	72%	+1.09%	60%
6–10 days	16	62%	+0.97%	48%
11–15 days	12	100%	+3.73%	50%
16+ days	21	90%	+6.26%	53%

Reproduced on CBOE RVX + IWM, 2009–2026: 81 sub-20 streaks, avg 18.5 days, +2.8% mean over-streak IWM return.

Read the number correctly. The ">92% at days 11–15" is the return measured over a streak that turned out to last that long — a low-vol regime that persists 11+ days is, almost by construction, one where small caps ground higher, and you can't know at day 11 that it won't break on day 12. That is survivorship-conditioned. The cleaner, tradeable measure — the forward 10-day IWM return from a given streak-day (last column) — is far more muted (~50%). So treat day 11 as regime confirmation (a durable low-vol, bullish-small-cap backdrop worth a longer IWM hold), not a 92%-win timing entry.

The trade, at the day-11 trigger

Desk	Action once RVX has closed < 20 for 11 sessions
Equity PMs	Rotate into small-cap (IWM) long delta — the regime favours a multi-week hold (avg streak resolves ~18.5 days).
Options / vol	Sell IWM puts or put spreads — the established low-vol regime supports premium collection with limited downside-expansion risk.
Risk mgmt	Expand risk limits on existing longs; pivot from entry to trend-riding once past day 16, and trail stops as the streak approaches its ~18.5-day average.

Invalidation: a daily RVX close back above 20 ends the streak and the regime — the whole thesis resets. Source: AQI RVX Duration Edge brief & the RVX & IWM findings doc. This live study re-counts the streak every build.