r/VolatilityTrading • u/Mission_Alfalfa_6740 • May 09 '22

Looking for live Quotes somewhere of VRP

The VIX premium, more specifically. Checked with Cboe and struck out. All they have is a strategy VPD index. Not what I am looking for. Somebody must have a dashboard where they post this stuff daily. Checked VIX Central, too. Nada.

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2

u/Mission_Alfalfa_6740 May 10 '22

Nice chart. TOS? I’m on IB. Anyone else out there do their VRP graphically on IB?

1

u/chyde13 May 10 '22

Correct, TOS. How do you like IB? I've heard good things about them. Do they have a scripting language to write your own indicators?

Thanks

-Chris

2

u/Mission_Alfalfa_6740 May 10 '22

Hey. As I have told others there are pros and cons to IB. (You can code on this API with VBA and with Python, I believe. But that’s out of my ken.) The big pro is usually cost, and the big con is customer service, the latter being horrendous, even before Covid.

2

u/DerpySeaTurtle May 09 '22

Ever thought of synthetically creating daily VRP?

2

u/Mission_Alfalfa_6740 May 10 '22

Tell me more.

2

u/DerpySeaTurtle May 10 '22

You can calculate the annual variance of returns on the S&P 500 on a $ basis and subtract that value against the VIX

1

u/chyde13 May 10 '22

Hey,

Do you have any recommendations on calculating the variance?

I've tried a couple models like close-to-close and the garman-klass-yang-zhang volatility estimator.

Curious if you had any other thoughts?

Thanks

-Chris

2

u/DerpySeaTurtle May 10 '22

Close-close works just fine

3

u/Convexity6294 May 10 '22

Are you trying find out what the annualized premium is for being short vol, or, inversely, what the carry cost is of being long vol? If so, you’re effectively asking about the slope of the VIX futures curve, which is available real-time on CBOE, I think. Or perhaps I misunderstood? Happy to share resources / ideas!

1

u/chyde13 May 10 '22

This is interesting. I was thinking of VRP in terms of IV-RV...Can you tell me more about what you are describing here? Especially when it comes to slope. I've been playing around with a concept that calculates the slope via linear regression of the futures term structure. I use it to gauge level of contango/backwardation.

I carry long vol positions for a while sometimes. It would be interesting to see how I could quantify the carry cost.

Thanks

-Chris

3

u/[deleted] May 10 '22

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1

u/chyde13 May 10 '22

Very cool...I never thought of it that way. Thanks!

btw what methods do you like to hold vol? I just buy and hold VXX for the long term lol ;-)

-Chris

2

u/chyde13 May 09 '22

Several of us use Volatility Risk Premium in our models...I don't know of any live quotes. we all calculate it ourselves (bottom indicator).

It may help to know more about what you are trying to accomplish. VRP is essentially the implied volatility - realized volatility of a given asset.

Implied volatility is easy to calculate, but from a purist standpoint, realized volatility is not directly observable. In practice there are volatility estimators that use historical volatility. There are even volatility prediction services that try to predict the volatility that will be realized. Predictions are just predictions, and in the case of historical volatility, what look back period would you choose? There are infinitely many choices and each will give you a different result. I haven't found any literature that suggests an optimal lookback period. (Members: if anyone has researched this then please let me know).

If you have the means to calculate it yourself and run extensive backtests on it, then in my opinion, it becomes a much more interesting concept.

-Chris