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Tenor-matched listed IV minus RV: 7d RV vs listed ~7d IV, 30d vs ~30d. Missing tenor IV → — (never mix 7d RV with 30d IV). Thin samples stay — (no invented hops). Observed rich/cheap VRP hops listed strategy-catalog structures — research only, not a recommendation. No invented IV history. Research terminal — not a tradable index, not an OMS.
7d is 1h OHLCV vs listed ~7d IV, 30d is 1d OHLCV vs listed ~30d IV, session is history-ring spots vs session ATM. Missing tenor IV → — (never mix 7d RV with 30d IV). Thin samples stay —. No synthetic IV or RV.
Variance risk premium
Log returns of closes. Works on the session ring and on OHLCV. Session ring is spots only — Parkinson / GK / YZ need OHLCV and return — when the sample is thin. Not a 1y realized series.
Need both ATM IV and a real RV estimate — no synthetic fill.
listed tenor IV − matching-tenor RV in vol points — 7d RV vs ~7d listed IV, 30d vs ~30d. Missing tenor IV → —. Never mix 7d RV with 30d IV. Research spread, not a tradable index.| Window | Listed IV | RV | VRP | IV/RV | C-C | Park | GK | YZ | Source |
|---|---|---|---|---|---|---|---|---|---|
| Session | 61.3% · session | — | — | — | — | — | — | — | history ring spots · thin n=2 |
Session ATM decimal: 61.3%. Headline VRP is tenor-matched to the primary RV window (Close-to-close) — 7d RV vs listed ~7d IV, 30d vs ~30d. Missing tenor IV → — (never mix 7d RV with 30d IV). Range estimators skip the session ring. Thin samples stay —. Share copies session-ring %ile + observed VRP + sources — not a 1y exchange percentile. Device clipboard, not email. Not a tradable VRP index.