Every listed name carries an option surface — the market's live price of fear. VRP Terminal measures the variance risk premium across that universe: where option sellers are overpaid, where the premium is thin, and where it has flipped against them.
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Implied volatility, plotted across strike and tenor — the option surface. It is the market's standing quote for future turbulence in a single name. In a calm tape the surface sits low, with a gentle smile and an upward-sloping term structure.
Investors pay up for downside protection. That persistent demand tilts the surface — low strikes trade at a premium to calls, and short-dated skew steepens first. The shape tells you what the market fears before the news does.
Level explodes, the term structure inverts, and realized volatility briefly overtakes what options had priced. This is when short-volatility positions lose — and why knowing the regime matters more than knowing the average.
After the storm, option prices stay elevated while the underlying calms down. The spread between the surface and realized volatility — the variance risk premium — is what disciplined sellers are paid to underwrite.
Implied volatility is the market's price of future movement — what option buyers pay for protection. Realized volatility is what the underlying actually did. On average, implied sits above realized: buyers overpay for insurance and sellers collect the difference. That structural edge is the variance risk premium.
In calm regimes implied rides above realized — the shaded gap is the premium sellers harvest. During a shock, realized blows out above implied and the premium briefly turns negative.
Investors pay up to hedge crashes. That demand for protection keeps implied vol structurally above what tends to be realized.
A positive VRP is the engine behind selling options, variance swaps, and covered strategies — you are paid to underwrite fear.
The premium is not free money: in a vol spike realized overtakes implied and short-vol positions lose. Knowing the regime is everything.
Subtract realized from implied and you get the VRP directly. It is positive most of the time — a steady harvest — punctuated by sharp negative dislocations when the market is caught short volatility.
Above the zero line, option sellers are being overpaid. The deep dip is a crisis where realized volatility exceeded what options had priced in. Illustrative — schematic of a typical cycle.
Purpose-built dashboards over the full option chain — every backtest number is net of your real spread and commission assumptions, not theoretical mid-price edge.
Rank the universe by mean VRP, IV rank, term slope and the share of days the premium paid — find the rich names fast.
ATM-IV curves and 25-delta skew straight from the live chain — see where the premium concentrates by expiry and strike.
The full implied surface for any covered name — the same object you just scrolled through, on live data.
Forward-vol and skew metrics around catalysts, with an earnings calendar across your coverage.
Straddle-selling backtests charged your actual spread and commissions — edge that survives execution, or doesn't.
Intraday candles with near-the-money option overlays, fundamentals and insider transactions per ticker.
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