{"slug":"the-volatility-risk-premium","qid":"vrp_monthly","label":"SPY implied volatility against the realized volatility that followed, by month","post_title":"The Volatility Risk Premium, Measured","post_url":"/blog/the-volatility-risk-premium#q-vrp_monthly","columns":["month","month_label","implied_vol_pct","realized_vol_pct","premium_pct"],"rows":[{"month":"2021-08-01","month_label":"Aug 2021","implied_vol_pct":13.33,"realized_vol_pct":9.57,"premium_pct":3.76},{"month":"2021-09-01","month_label":"Sep 2021","implied_vol_pct":15.1,"realized_vol_pct":14.51,"premium_pct":0.58},{"month":"2021-10-01","month_label":"Oct 2021","implied_vol_pct":14.78,"realized_vol_pct":8.84,"premium_pct":5.94},{"month":"2021-11-01","month_label":"Nov 2021","implied_vol_pct":14.59,"realized_vol_pct":17.36,"premium_pct":-2.77},{"month":"2021-12-01","month_label":"Dec 2021","implied_vol_pct":16.77,"realized_vol_pct":15.85,"premium_pct":0.92},{"month":"2022-01-01","month_label":"Jan 2022","implied_vol_pct":19.38,"realized_vol_pct":21.31,"premium_pct":-1.93},{"month":"2022-02-01","month_label":"Feb 2022","implied_vol_pct":21.85,"realized_vol_pct":24.14,"premium_pct":-2.29},{"month":"2022-03-01","month_label":"Mar 2022","implied_vol_pct":22.75,"realized_vol_pct":19.78,"premium_pct":2.97},{"month":"2022-04-01","month_label":"Apr 2022","implied_vol_pct":20.38,"realized_vol_pct":31.75,"premium_pct":-11.36},{"month":"2022-05-01","month_label":"May 2022","implied_vol_pct":26.65,"realized_vol_pct":29.52,"premium_pct":-2.87},{"month":"2022-06-01","month_label":"Jun 2022","implied_vol_pct":25.52,"realized_vol_pct":23.68,"premium_pct":1.84},{"month":"2022-07-01","month_label":"Jul 2022","implied_vol_pct":23.01,"realized_vol_pct":18.98,"premium_pct":4.03},{"month":"2022-08-01","month_label":"Aug 2022","implied_vol_pct":20.08,"realized_vol_pct":22.96,"premium_pct":-2.88},{"month":"2022-09-01","month_label":"Sep 2022","implied_vol_pct":25.1,"realized_vol_pct":27.81,"premium_pct":-2.72},{"month":"2022-10-01","month_label":"Oct 2022","implied_vol_pct":27.84,"realized_vol_pct":26.83,"premium_pct":1.01},{"month":"2022-11-01","month_label":"Nov 2022","implied_vol_pct":22.33,"realized_vol_pct":21.88,"premium_pct":0.45},{"month":"2022-12-01","month_label":"Dec 2022","implied_vol_pct":20.83,"realized_vol_pct":17.9,"premium_pct":2.93},{"month":"2023-01-01","month_label":"Jan 2023","implied_vol_pct":19.37,"realized_vol_pct":16.36,"premium_pct":3.01},{"month":"2023-02-01","month_label":"Feb 2023","implied_vol_pct":18.92,"realized_vol_pct":16.87,"premium_pct":2.05},{"month":"2023-03-01","month_label":"Mar 2023","implied_vol_pct":20.06,"realized_vol_pct":14.21,"premium_pct":5.85},{"month":"2023-04-01","month_label":"Apr 2023","implied_vol_pct":16.5,"realized_vol_pct":13.44,"premium_pct":3.06},{"month":"2023-05-01","month_label":"May 2023","implied_vol_pct":15.7,"realized_vol_pct":11.94,"premium_pct":3.76},{"month":"2023-06-01","month_label":"Jun 2023","implied_vol_pct":12.6,"realized_vol_pct":9.64,"premium_pct":2.96},{"month":"2023-07-01","month_label":"Jul 2023","implied_vol_pct":12.96,"realized_vol_pct":10.15,"premium_pct":2.81},{"month":"2023-08-01","month_label":"Aug 2023","implied_vol_pct":14.27,"realized_vol_pct":11.85,"premium_pct":2.41},{"month":"2023-09-01","month_label":"Sep 2023","implied_vol_pct":13.77,"realized_vol_pct":12.94,"premium_pct":0.83},{"month":"2023-10-01","month_label":"Oct 2023","implied_vol_pct":17.05,"realized_vol_pct":14.78,"premium_pct":2.28},{"month":"2023-11-01","month_label":"Nov 2023","implied_vol_pct":13.06,"realized_vol_pct":9.74,"premium_pct":3.33},{"month":"2023-12-01","month_label":"Dec 2023","implied_vol_pct":12.11,"realized_vol_pct":10.14,"premium_pct":1.97},{"month":"2024-01-01","month_label":"Jan 2024","implied_vol_pct":12.44,"realized_vol_pct":12.39,"premium_pct":0.06},{"month":"2024-02-01","month_label":"Feb 2024","implied_vol_pct":12.58,"realized_vol_pct":11.26,"premium_pct":1.32},{"month":"2024-03-01","month_label":"Mar 2024","implied_vol_pct":12.59,"realized_vol_pct":10.98,"premium_pct":1.61},{"month":"2024-04-01","month_label":"Apr 2024","implied_vol_pct":14.78,"realized_vol_pct":12.3,"premium_pct":2.49},{"month":"2024-05-01","month_label":"May 2024","implied_vol_pct":12.28,"realized_vol_pct":8.49,"premium_pct":3.78},{"month":"2024-06-01","month_label":"Jun 2024","implied_vol_pct":11.73,"realized_vol_pct":9.38,"premium_pct":2.35},{"month":"2024-07-01","month_label":"Jul 2024","implied_vol_pct":13.37,"realized_vol_pct":19.68,"premium_pct":-6.32},{"month":"2024-08-01","month_label":"Aug 2024","implied_vol_pct":16.24,"realized_vol_pct":14.7,"premium_pct":1.54},{"month":"2024-09-01","month_label":"Sep 2024","implied_vol_pct":15.01,"realized_vol_pct":10.06,"premium_pct":4.95},{"month":"2024-10-01","month_label":"Oct 2024","implied_vol_pct":16.61,"realized_vol_pct":12.85,"premium_pct":3.76},{"month":"2024-11-01","month_label":"Nov 2024","implied_vol_pct":13.87,"realized_vol_pct":10.7,"premium_pct":3.17},{"month":"2024-12-01","month_label":"Dec 2024","implied_vol_pct":12.82,"realized_vol_pct":14.93,"premium_pct":-2.12},{"month":"2025-01-01","month_label":"Jan 2025","implied_vol_pct":14.37,"realized_vol_pct":12.05,"premium_pct":2.31},{"month":"2025-02-01","month_label":"Feb 2025","implied_vol_pct":14.08,"realized_vol_pct":19.24,"premium_pct":-5.16},{"month":"2025-03-01","month_label":"Mar 2025","implied_vol_pct":19.05,"realized_vol_pct":43.44,"premium_pct":-24.39},{"month":"2025-04-01","month_label":"Apr 2025","implied_vol_pct":27.75,"realized_vol_pct":27.3,"premium_pct":0.45},{"month":"2025-05-01","month_label":"May 2025","implied_vol_pct":18.41,"realized_vol_pct":13.3,"premium_pct":5.11},{"month":"2025-06-01","month_label":"Jun 2025","implied_vol_pct":15.84,"realized_vol_pct":9.05,"premium_pct":6.79},{"month":"2025-07-01","month_label":"Jul 2025","implied_vol_pct":14.92,"realized_vol_pct":10.37,"premium_pct":4.55},{"month":"2025-08-01","month_label":"Aug 2025","implied_vol_pct":13.78,"realized_vol_pct":8.65,"premium_pct":5.13},{"month":"2025-09-01","month_label":"Sep 2025","implied_vol_pct":13.33,"realized_vol_pct":10.66,"premium_pct":2.67},{"month":"2025-10-01","month_label":"Oct 2025","implied_vol_pct":15.61,"realized_vol_pct":13.8,"premium_pct":1.82},{"month":"2025-11-01","month_label":"Nov 2025","implied_vol_pct":16.65,"realized_vol_pct":11.51,"premium_pct":5.15},{"month":"2025-12-01","month_label":"Dec 2025","implied_vol_pct":13.46,"realized_vol_pct":9.24,"premium_pct":4.22},{"month":"2026-01-01","month_label":"Jan 2026","implied_vol_pct":14.03,"realized_vol_pct":12.35,"premium_pct":1.68},{"month":"2026-02-01","month_label":"Feb 2026","implied_vol_pct":16.35,"realized_vol_pct":13.16,"premium_pct":3.19},{"month":"2026-03-01","month_label":"Mar 2026","implied_vol_pct":21.06,"realized_vol_pct":18.42,"premium_pct":2.64},{"month":"2026-04-01","month_label":"Apr 2026","implied_vol_pct":17.08,"realized_vol_pct":11.48,"premium_pct":5.6},{"month":"2026-05-01","month_label":"May 2026","implied_vol_pct":15.51,"realized_vol_pct":14.41,"premium_pct":1.1},{"month":"2026-06-01","month_label":"Jun 2026","implied_vol_pct":15.65,"realized_vol_pct":13.37,"premium_pct":2.28},{"month":"2026-07-01","month_label":"Jul 2026","implied_vol_pct":14.74,"realized_vol_pct":13.02,"premium_pct":1.72},{"month":"2026-08-01","month_label":"Aug 2026","implied_vol_pct":13.3,"realized_vol_pct":9.18,"premium_pct":4.12},{"month":"2026-09-01","month_label":"Sep 2026","implied_vol_pct":13.53,"realized_vol_pct":9.94,"premium_pct":3.59}],"shape":"series","sql":"WITH\ncloses AS\n(\n    SELECT\n        date,\n        toFloat64(any(close)) AS px\n    FROM global_markets.stocks_daily_aggs\n    WHERE ticker = 'SPY'\n      AND date >= '2021-06-01'\n    GROUP BY date\n),\ndaily_returns AS\n(\n    SELECT\n        date,\n        pow(log(px / lagInFrame(px) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW)), 2) AS r2\n    FROM closes\n),\nforward_rv AS\n(\n    SELECT\n        date,\n        100 * sqrt(252 * avg(r2) OVER (ORDER BY date ROWS BETWEEN 1 FOLLOWING AND 21 FOLLOWING)) AS rv_pct,\n        count(r2) OVER (ORDER BY date ROWS BETWEEN 1 FOLLOWING AND 21 FOLLOWING)                 AS sessions_ahead\n    FROM daily_returns\n    WHERE isFinite(r2)\n),\nimplied AS\n(\n    SELECT\n        date,\n        100 * avg(toFloat64(implied_volatility)) AS iv_pct\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'SPY'\n      AND iv_converged = 1\n      AND volume > 0\n      AND days_to_expiry BETWEEN 20 AND 45\n      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05\n      AND date >= '2021-08-01'\n    GROUP BY date\n    HAVING count() >= 20\n),\npaired AS\n(\n    SELECT\n        i.date              AS date,\n        i.iv_pct            AS iv_pct,\n        f.rv_pct            AS rv_pct,\n        i.iv_pct - f.rv_pct AS premium_pct\n    FROM implied AS i\n    INNER JOIN forward_rv AS f ON f.date = i.date\n    WHERE f.sessions_ahead = 21\n)\nSELECT\n    toString(toStartOfMonth(date))                AS month,\n    formatDateTime(toStartOfMonth(date), '%b %Y') AS month_label,\n    round(avg(iv_pct), 2)                         AS implied_vol_pct,\n    round(avg(rv_pct), 2)                         AS realized_vol_pct,\n    round(avg(premium_pct), 2)                    AS premium_pct\nFROM paired\nGROUP BY month, month_label\nORDER BY month","computed_at":"2026-10-16T15:53:32.933044+00:00","elapsed":0.016132877}