What is VPI?
The Volatility Pressure Index (VPI) measures the dynamic change in variance, capturing the directional pressure of volatility in financial markets.
Rather than focusing only on the level of volatility, VPI highlights how volatility evolves and where structural stress begins to build.
Working Paper
Aegis: A Dynamic Risk Control Framework Based on the Volatility Pressure Index (VPI)
A Simple Law of Variance Dynamics
Toshiharu Honda
Quant Finance Lab Kagoshima
April 2026