Variance Risk Premium
Volatility
The gap between BTC's implied volatility (Deribit DVOL) and its subsequently realized 30-day volatility — how much options overprice (or underprice) future movement. Persistently positive (~93% of days): options systematically charge more than actual movement. A gauge of whether options are rich, normal or cheap right now. Descriptive, not a trading signal.
Calculation
VRP = implied_vol (DVOL) − realized_vol_30d (annualised %, pp). Regime: cheap if VRP < 0, rich if VRP is in the top tercile (≥66th percentile) of history, else normal. Base rate: median VRP and % of days VRP>0 over the full DVOL history (since 2023-09).
Unit & source
pp + enum · tradingstrategies.work Volatility Premium (Deribit DVOL vs realized) methodology
Values: rich, normal, cheap
Related terms
Knowledge objects measuring this
Definitions are for research and education. Metrics describe market conditions — not financial advice or a buy/sell signal.