Recipe · Volatility
Run the implied vs realized move recipe
A paid Cookbook that converts 30-day ATM IV into a percent move over a reader horizon and subtracts the absolute close-to-close change. Names without a prior close in the window are omitted. Distinct from VRP’s annualized IV−RV20 z-score.
Official template: Implied Move vs. Realized Move · Updated 2026-09-12
The job
Compare a scaled IV30 move to what price actually did, without pretending IV30 is a 5-day vol surface.
What this recipe computes
- Implied percent move ≈ IV30 × √(horizon/365). IV30 is 30-day vol scaled to the horizon.
- Realized percent move = |close / prior close − 1| using the latest close on or before (session − horizon).
- Gap = implied − realized. Names with no prior close in (horizon, horizon+7) days back are omitted.
What it does not claim
- This is not VRP (annualized IV30 − RV20 with a z-score).
- Vendor HV is not used. Scaling 30-day IV is not a short-dated implied-vol surface.
- A positive gap is not a published edge or a sell-premium instruction. The lookback never runs past available bars.
How to read it
Step 1
Run the move comparison
Open Implied Move vs. Realized Move in Cookbooks. Default horizon is 5 calendar days.
Step 2
Read gap as conversion error, not edge
A large positive gap means scaled IV30 exceeded the actual close-to-close move. Mega-caps often show smaller gaps than small-caps.
Step 3
Use VRP for the annualized z-score
If you want IV30 − RV20 versus that name’s own history, that is the VRP tracker, not this page.
Frequently asked questions
- Is this the same as the VRP tracker?
- No. VRP is annualized IV30 minus 20-session realized vol, with a z-score. This recipe is a percent move over N days.
- Why is a name missing?
- No close on or before (session − horizon) inside a 7-day slack window. The recipe will not look past available bars or invent a start price.
Related glossary
- IV RankIV Rank places today’s implied volatility between its recent high and low so “expensive” or “cheap” is relative to that underlying’s history.
- IV crushIV crush is a sharp drop in implied volatility after uncertainty resolves, often after earnings. Premium can fall even when the stock moves your way.
Related personas
- GEX and Options Flow for Volatility TradersVol traders live in regimes. GEX and IV set the weather; flow shows whether customers are paying for convexity or harvesting premium now.
- Options Flow for Options SellersSelling premium works until you short the strike the tape is attacking. Flow and walls help you see where demand is concentrated before you choose short strikes.
Related recipes
Open Implied Move vs. Realized Move in TradingFlow
This public page describes the job. The recipe runs in the app and requires a subscription. It is not a free live report.