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Official template · advanced · Volatility

Compare a priced move with what happened.

Compare a scaled IV30 move to what price actually did, without pretending IV30 is a 5-day vol surface.

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Implied Move vs. Realized Move · 21-second walkthroughMarket session Sep 25, 2026

The report UI is recreated from the test app's Sep 25, 2026 session, not a live screen. A historical example with music; no narration.

Implied Move vs. Realized Move · real test-app reportMarket session Sep 22, 2026Swipe to inspect →
Real Implied Move vs. Realized Move report in the TradingFlow test app, showing Implied vs realized move, largest gap first for the September 22, 2026 market session.

Captured Sep 23, 2026 on testapp.tradingflow.com. This is a historical example; results on this page do not refresh. Swipe across the image to inspect its columns.

Implied Move vs. Realized Move · how the report is assembledConceptual map
  1. 01IV30 + horizon
  2. 02Compare actual close
  3. 03Percent-move gap

A scaled move comparison, not annualized VRP.

Read the output

  1. 01Implied percent move ≈ IV30 × √(horizon/365). IV30 is 30-day vol scaled to the horizon.
  2. 02Realized percent move = |close / prior close − 1| using the latest close on or before (session − horizon).
  3. 03Gap = implied − realized. Names with no prior close in (horizon, horizon+7) days back are omitted.

Keep in mind

This is not VRP (annualized IV30 − RV20 with a z-score).

How to read it

From report to evidence

  1. 01

    Run the move comparison

    Open Implied Move vs. Realized Move in Cookbooks. Default horizon is 5 calendar days.

  2. 02

    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.

  3. 03

    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.

Method and limitations

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 app template: Implied Move vs. Realized Move.

What the report 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.

Implied move is IV30 × √(horizon/365); realized is |close/prior close − 1| with prior close bounded by the represented session minus horizon — never an unbounded max(date) and never vendor HV.

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.

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Related glossary

Related personas

The public page explains the report. Run the official template in TradingFlow for a selected completed market session.

Open Implied vs realized
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