Recipe · Volatility
Run the volatility risk premium tracker recipe
A paid Cookbook of IV30 − RV20 in vol points, plus a z-score versus that symbol’s own VRP series. RV20 is 20 complete log-returns × √252. Vendor historical volatility is not a column. Not a sell-premium signal.
Official template: Volatility Risk Premium Tracker · Updated 2026-09-12
The job
See whose IV30−RV20 gap is extreme versus that name’s own history, without relabeling vendor HV as realized vol.
What this recipe computes
- RV20 = stddevSamp of 20 complete session ln(close/prior close) returns × √252.
- VRP = IV30 − RV20 in volatility points. Negative VRP is kept.
- z-score of current VRP versus that symbol’s own VRP history in a bounded window.
What it does not claim
- Vendor HV is not RV20 and is not used here. That pair is HV vs. RV Divergence Watch.
- A high z is not a documented trading edge or a “sell premium” instruction.
- Names without 20 valid returns or enough VRP history are omitted, not padded.
How to read it
Step 1
Run the VRP tracker
Open Volatility Risk Premium Tracker in Cookbooks.
Step 2
Read z versus the raw gap
A 12-vol-point VRP can be ordinary for that name. The z-score is the unusualness versus its own history.
Step 3
Use Rank for the live column
Rank Symbols still has IV30 − RV20. This cookbook adds the z-score. HV vs RV remains the vendor-HV trap report.
Frequently asked questions
- Is the RV20 column vendor HV?
- No. RV20 is 20 complete session log-returns × √252. Vendor historical_volatility is not in this recipe. HV vs. RV Divergence Watch is the report that keeps those two apart.
- Should I sell premium when VRP z is high?
- This recipe does not say so. It describes how wide IV30 − RV20 is versus that name’s own history. Rank’s IV30 − RV20 column is the live comparison.
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 Volatility Risk Premium Tracker 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.