Volatility
Volatility Risk Premium (VRP)
IV minus realized volatility
What is Volatility Risk Premium (VRP)?
Volatility Risk Premium (VRP) The difference between implied and realized volatility. Typically positive (IV > RV), meaning options are usually overpriced. Premium sellers exploit positive VRP.
Complete Definition
The difference between implied and realized volatility. Typically positive (IV > RV), meaning options are usually overpriced. Premium sellers exploit positive VRP.
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