VRP Analytics API ALPHA+

VRP Dashboard

curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/vrp/SPY"

import requests

resp = requests.get(
    "https://lab.flashalpha.com/v1/vrp/SPY",
    headers={"X-Api-Key": "YOUR_API_KEY"}
)
data = resp.json()
print(f"VRP 30d: {data['vrp']['vrp_30d']}%")
print(f"Z-score: {data['vrp']['z_score']}")
print(f"Regime: {data['regime']['gamma']}")

const resp = await fetch(
  "https://lab.flashalpha.com/v1/vrp/SPY",
  { headers: { "X-Api-Key": "YOUR_API_KEY" } }
);
const data = await resp.json();
console.log(`VRP 30d: ${data.vrp.vrp_30d}%`);
console.log(`Z-score: ${data.vrp.z_score}`);
console.log(`Regime: ${data.regime.gamma}`);

Dashboard Response

{
  "symbol": "SPY",
  "underlying_price": 580.51,
  "as_of": "2026-03-27T15:30:00Z",
  "market_open": true,
  "vrp": {
    "atm_iv": 18.45,
    "rv_5d": 15.33, "rv_10d": 13.60, "rv_20d": 13.04, "rv_30d": 12.67,
    "vrp_5d": 3.12, "vrp_10d": 4.85, "vrp_20d": 5.41, "vrp_30d": 5.78,
    "z_score": 1.34, "percentile": 82, "history_days": 252
  },
  "variance_risk_premium": 0.042,
  "convexity_premium": 2.15,
  "fair_vol": 20.60,
  "directional": {
    "put_wing_iv_25d": 21.03, "call_wing_iv_25d": 16.82,
    "downside_rv_20d": 13.68, "upside_rv_20d": 12.61,
    "downside_vrp": 7.35, "upside_vrp": 4.21
  },
  "term_vrp": [
    { "dte": 7, "iv": 15.89, "rv": 12.77, "vrp": 3.12 },
    { "dte": 14, "iv": 17.22, "rv": 12.37, "vrp": 4.85 },
    { "dte": 30, "iv": 18.45, "rv": 12.67, "vrp": 5.78 }
  ],
  "gex_conditioned": {
    "regime": "positive_gamma",
    "harvest_score": 0.82,
    "interpretation": "Dealers long gamma - dampening moves, supportive for premium selling."
  },
  "vanna_conditioned": {
    "outlook": "Supportive - vol compression accelerating",
    "interpretation": "Positive vanna with spot above flip: compression strengthening."
  },
  "regime": {
    "gamma": "positive_gamma",
    "vrp_regime": "elevated",
    "net_gex": 4200000000,
    "gamma_flip": 572.50
  },
  "strategy_scores": {
    "short_put_spread": 78,
    "short_strangle": 82,
    "iron_condor": 85,
    "calendar_spread": 61
  },
  "net_harvest_score": 78,
  "dealer_flow_risk": 15,
  "warnings": [],
  "macro": {
    "vix": 16.42, "vix_3m": 17.85, "vix_term_slope": 1.087,
    "dgs10": 4.33, "hy_spread": 3.17, "fed_funds": 3.64
  }
}

Dashboard Fields

Use Cases

• Time premium-selling entries - read the VRP z_score and percentile to fire short-vol structures only when the premium is statistically rich
• Pick the richer side - compare upside vs downside VRP to decide whether to sell puts or calls and lean skew trades the right way
• Gate on the gamma regime - pair the VRP spread with the GEX-conditioned regime to confirm whether dealers are suppressing or amplifying realized vol before sizing
• Avoid trading into trapped risk - check the dealer risk level and warnings array to skip names where the premium reflects genuine event risk, not edge
• Frame against macro - use the macro context (dgs10, hy_spread, fed_funds) to size short-vol exposure for the rate and credit backdrop
• Seed your own history - archive daily /v1/vrp snapshots via cron to build a backtestable VRP time series, or read VRP History directly

Related

Related reading

• Realized vs implied volatility & the risk premium - the foundation for why VRP exists and how to read the spread
• VRP z-score timing: a statistical edge for premium selling - turn the z_score into disciplined entry and exit rules

Complementary endpoints

• VRP History - the daily VRP time series for charting and backtesting
• Realized Volatility - the RV leg of the spread across windows
• Volatility - IV, IV-RV spreads, skew, and term structure context
• Expected Move - the straddle-implied move the premium is paying for