CayøLargo
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Recipe

Volatility Surface

Is implied vol cheap or expensive relative to what actually happened?

/greeks/snapshot· pandas · ~3 min★ pro
Output PreviewBullet chart: IV vs RV with regime band

Fetches real data from the Cayo Largo API

What You'll See

Compares current ATM implied volatility against 7d, 30d, and 90d realized volatility. Positive VRP = options are "expensive." Negative = the market is underpricing risk.

The Trading Edge

What most people do

Trade vol based on gut feel: "IV looks high" or "IV looks low." No comparison to realized vol, no regime classification, no percentile context.

What this gives you

VRP across three RV horizons, with regime classification (RICH / FAIR / CHEAP) and z-score. When VRP is negative (options cheap) during a COMPRESSION vol phase, it signals the market is complacent.

Go deeper

Combine with Term Structure Monitor to see if the VRP is concentrated in the front end or evenly spread. Use with the Gamma Pinning Map to assess whether pinning is suppressing realized vol.

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