What it really tells you
VRP is a number that says whether options are priced too high, too low, or about right.
It compares two things:
IV (Implied Volatility): what option prices ASSUME the stock will do over the next 30 days. Bigger number means the market expects bigger moves.
RV (Realized Volatility): what the stock ACTUALLY did over the last 20 trading days. The real, measured move.
VRP = IV minus RV. If options are pricing in 20% volatility and the stock has only delivered 12%, VRP is +8. Options are overpriced. Sellers (you, if you sell premium) are getting paid for risk that hasn't shown up.
If options are pricing in 14% but the stock just delivered 22% (a big drop), VRP is -8. Options are underpriced. The market is finally waking up to volatility that already arrived.
What to actually do
Look at the color of the VRP cell on the Vol Regime card:
Green (VRP +6 or higher): options are pricey relative to actual moves. Selling premium (iron condors, credit spreads, covered calls) tends to work here. The math is in your favor.
Yellow (VRP between -2 and +6): normal. No strong edge from VRP alone. Use other signals to decide.
Red (VRP -2 or lower): options are cheap relative to actual moves. Stop selling premium. Either go to cash or buy options (be long volatility). Vol expansion is already happening, you do not want to be the seller.
The percentile badge
When the card shows something like '78th of 142d', today's VRP is higher than 78% of the last 142 days. Extreme readings (above 75 or below 25) are the highest-conviction signals because they say 'this is UNUSUALLY rich (or cheap) for this stock.'
The other two cells (Pro)
Term Slope: are options more expensive far out in time, or right now? Positive means expensive far out, cheap near term (calm now, more risk later, calendar spreads work). Negative means expensive up close, cheap far out (the market sees a known event soon like earnings or a Fed meeting). Negative is the rare one. Sell vol carefully when you see it.
VVIX/VIX (index tickers only): how wild is the VIX itself being? When the ratio is above 5.5, traders are unsure how unsure things will get. That is often a turning-point setup. Below 4 means complacency. Anything between is normal.
A bit deeper if you want it
The RV calculation uses a method called Yang-Zhang. It uses each day's open, high, low, and close, not just the close. That handles overnight gaps better than simpler methods. This matters most around earnings or weekends when the stock can gap. The card uses Yang-Zhang for the headline VRP.
Edge cases
Less than 30 days of history: the card shows a placeholder rather than guessing.
30 to 60 days: VRP is shown but the percentile is hidden (not enough history for a meaningful 'where in the range' reading).
Single stocks (AAPL, MSFT, etc.): the VVIX/VIX cell is hidden. VVIX only exists for indexes, no honest proxy for individual names.