Implied vs realized - last 90 days
64 daily snapshots · bars show the 20d VRP spreadVRP term structure
| Tenor | ATM IV | Term RV | VRP | Premium vs zero |
|---|---|---|---|---|
| 7d | 25.4% | 49.3% | -23.9pp | |
| 14d | 25.5% | 40.5% | -15.0pp | |
| 30d | 25.7% | 41.0% | -15.3pp |
Bars run from zero premium: right is IV over realized, left is realized over IV. A front-loaded negative VRP with a positive back end usually means a near-term event or a realized-vol burst the curve expects to fade.
Directional VRP - wings vs semivariance
25d put IV 26.3% vs downside-only realized
25d call IV 26.0% vs upside-only realized
Splitting realized vol into downside and upside semivariance shows which wing is genuinely overpaying. Put skew usually keeps the downside VRP richer - the question is by how much.
Regime
- Net GEX
- $1.26B
- Gamma flip
- 294.84
- Harvest score
- 0.46
- Dealer flow risk
- 2/100
Dealers long gamma but premium is thin. Limited harvest opportunity.
Vanna: Positive vanna + spot above gamma flip: dealer hedging compresses vol. Supports premium selling.
Premium-selling conditions
Net harvest 30/100Scores rate how supportive conditions are for each structure - VRP level and percentile, gamma regime, wing liquidity and event risk combined. They are environment gauges, not trade signals.
Macro context for the premium: a VIX term slope below 1 (backwardation) or a widening high-yield spread argues against short-vol positioning even when the single-name VRP looks rich.
Get this via API
Everything above is two calls: the live VRP dashboard and its daily history. The history endpoint powers backtests - the same series this chart draws.
curl -H "X-Api-Key: YOUR_API_KEY" \
"https://lab.flashalpha.com/v1/vrp/aapl"import requests
r = requests.get(
"https://lab.flashalpha.com/v1/vrp/aapl/history",
params={"days": 90},
headers={"X-Api-Key": "YOUR_API_KEY"},
)
for day in r.json()["history"]:
print(day["date"], day["atm_iv"], day["rv_20d"], day["vrp_20d"])Get VRP analytics via API
This dashboard is free to read. The VRP endpoints behind it - live dashboard, daily history and the historical replay for backtesting - are Alpha tier.
See pricingHow to read this dashboard
The volatility risk premium is what option sellers are actually paid: implied volatility minus what the underlying subsequently realizes. Most of the time it is positive. The interesting questions are how positive relative to this symbol's own history, and whether the current regime lets you collect it safely. Each panel answers a piece of that.
Spread, percentile, z-score
The headline VRP is ATM IV minus 20-day realized vol, in vol points. The percentile and z-score place today's spread against the trailing history - a +3pp spread means something different at the 20th percentile than at the 95th. Realized vol uses close-to-close log returns, sample standard deviation, annualized by root-252, matching Bloomberg and QuantLib conventions.
Term and directional structure
The term table repeats the comparison at 7, 14, 30 and 60 days, matching each tenor's IV against a term-matched realized window. The directional panel splits realized vol into downside and upside semivariance and compares each against the corresponding 25-delta wing - the honest way to ask whether put skew is actually overpaying.
Regime and harvestability
A rich VRP is only harvestable when dealer positioning does not amplify moves against you. The regime panel condenses the GEX-conditioned view: dealer gamma sign, the flip level, and a harvest score that discounts the premium by regime risk. The strategy scores translate the same inputs into per-structure condition gauges.
What this page does not do
It does not pick strikes, size trades or predict direction. It tells you whether the premium is rich, in which part of the surface, and whether the regime historically let sellers keep it. The historical replay API exists precisely so you can test that judgement instead of trusting it.
Frequently asked questions
What is the volatility risk premium?+
Implied volatility minus subsequently realized volatility. Options systematically price more movement than markets deliver, and that spread is the premium sellers harvest. The dashboard contextualizes it with percentiles, a z-score and term structure because the raw spread alone is not actionable.
How is this different from IV rank?+
IV rank compares implied vol to its own 52-week range and ignores what the stock delivered. VRP compares implied to realized - the quantity a seller actually earns. A name can be at 90th percentile IV rank and still be a losing short-vol trade when realized is running even hotter, which shows up here as a negative spread.
What does negative VRP mean?+
Realized vol is above implied - the market is moving more than options charge for. Short premium loses in that state, and a low VRP percentile alongside it is the classic cheap-convexity setup where owning options is unusually attractive.
Which symbols are covered?+
Any US name with listed options coverage on FlashAlpha - use the ticker box above. History depth varies: the daily series accumulates one snapshot per close, so recently added names show shorter charts and their percentile and z-score need at least five days to populate.