RV/IV VARIANCE RISK PREMIUM + IMPLIED DISPERSION
Edge #10 of 10-engine institutional roadmap. VIX vs realized vol, single-name VRP, basket dispersion gap. Goldman vol-desk methodology.
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#4 Vol-Target
#3 Breadth
#9 Activists
Current vol regime
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SPY VRP (vol pts)
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VIX 30d (IV)
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SPY 21d RV (YZ)
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Signal Strength
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Implied basket corr
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Realized basket corr
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Dispersion gap (real-imp)
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Per-name vol breakdown
Ticker
IV (CBOE)
RV Parkinson
RV Yang-Zhang
VRP (IV - RV)
Basket
IV is CBOE 30d ATM single-name VIX from FRED. RV is annualized 21-day realized vol from FMP OHLC.
Top IV-Rich (sell vol candidates)
Ticker
VRP (vol pts)
IV
RV
Top IV-Cheap (buy vol candidates)
Ticker
VRP (vol pts)
IV
RV
Recommended trade
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Historical episodes
Date
Regime
SPY fwd 60d
Note