Vol cone.
The percentile distribution (p10–p90) of realized vol at each window — 5/10/20/30/60/90 days — over years of history. Narrow at long windows, wide at short ones; current vol is read against it.
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The full quant vol cone. Realized-volatility percentile bands across every window (5/10/20/30/60/90 days) and estimator (close-to-close, Parkinson, Garman-Klass, Yang-Zhang), with the current RV overlaid and annotated with its percentile against years of history. Below it, the IV-RV spread and variance-risk-premium that tell a vol seller whether option premium is fat. Read it like the desk does: "30d RV is at the 82nd percentile of its history, and IV is 6 points over RV — options rich, sell vol."
The realized-vol cone, the IV-RV / variance-risk-premium timeseries, and the per-window cheap/rich verdicts are reserved for Quant Desk members.
Is vol cheap or rich vs its own history — every window and estimator?
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A vol cone shows where today's realized vol sits within its own distribution, for each horizon. The IV-RV spread tells you whether options are pricing that vol cheaply or richly.
The percentile distribution (p10–p90) of realized vol at each window — 5/10/20/30/60/90 days — over years of history. Narrow at long windows, wide at short ones; current vol is read against it.
Where the current realized vol for a window sits within its own historical distribution. Under the 25th is calm, over the 85th is stretched. Vol tends to mean-revert from the extremes.
Close-to-close uses closes only; Parkinson and Garman-Klass add highs/lows; Yang-Zhang also captures overnight gaps. Each is a different lens on the same realized vol.
30-day ATM implied vol minus 30-day realized vol. Positive means the market is pricing more vol than it is delivering — the classic setup where vol sellers are paid a premium.
The compensation embedded in option prices for bearing variance risk. Persistently positive VRP is a seller's edge; a collapse toward or below zero warns that premium has gone thin.
A per-window verdict: RICH when implied runs well over realized and the percentile is high (sell vol); CHEAP when the opposite (own vol); FAIR when neither side has a clear edge.