Cross-asset charts

Three charts that compare many symbols, to show which have rich or cheap options today and which volatility premiums move together.

What it answers

Three charts compare many symbols at once. Each uses the symbol's Volatility risk premium (VRP) and the implied and historical volatility that VRP is computed from.

• VRP Z-Score shows which symbols have an unusual VRP today, against each symbol's own last 20 trading days.
• IV/HV Scatter shows the rank of each symbol's implied and historical volatility in their own history, and which of the two ranks higher.
• VRP Correlation shows which symbols' premiums rise and fall together. Short volatility positions in two highly correlated symbols behave much like one position.

How to read it

1. 1The VRP Z-Score header contains the View choice and one chip per symbol.
2. 2Each bar is one symbol's VRP z-score. A bar right of the dashed zero line is rich for that symbol, and a bar left of it is cheap.
3. 3The IV/HV Scatter header contains the View choice and one chip per symbol.
4. 4Each dot is one symbol: HV percentile on the horizontal axis, IV percentile on the vertical axis. The dashed diagonal marks where the two ranks are equal.
5. 5The VRP Correlation header. VRP Correlation has no controls.
6. 6Each cell is the VRP correlation of one pair, from -1 to +1. The cell colour and the number in the cell show the same value.

VRP Z-Score

A bar's label is the z-score to two decimals. Above 1 is rich, and above 2 is extreme rich. -1 or below is cheap, and -2 or below is extreme cheap. In the example, XLF is 1.62 and TLT is -1.67.

A bar's colour is the symbol's vol regime, set by IV percentile: Crisis at 90 or more, High Vol from 70, Normal from 30, Low Vol below 30. The tooltip shows the regime, VRP, the z-score and both percentiles.

The grid view lists the same rows as a table: symbol, VRP, z-score, IV percentile, HV percentile and regime. A z-score below 1 in size is faded. A row with a z-score of 2 or more in size is highlighted.

IV/HV Scatter

The area above the diagonal, where IV percentile is higher than HV percentile, has one tint, and the area below has another. The dashed lines at 50 divide the chart into four corners: Rich IV Low HV, Rich Both, Cheap Both and Cheap IV High HV.

A dot's size increases with the size of its VRP. Its colour is the vol regime, listed in the legend below the chart. In every chart view, a dot or bar with no regime is drawn in a muted colour, and its tooltip has no Regime line. In the example, SLV is in the Rich Both corner (HV 79, IV 88) and XLF is in Cheap Both (HV 6, IV 10).

The bars view draws one bar per symbol: IV percentile minus HV percentile, labelled Richness, from -100 to 100. A positive value means implied volatility ranks higher in its own history than historical volatility does.

VRP Correlation

The matrix draws the lower triangle only, because a pair has the same value in either order. The symbol order groups symbols by correlation, so symbols whose premiums move together are next to each other. The subtitle shows the window: 252 trading days to 2026-08-21 in the example.

A value near 1 means the two premiums move together. A value near 0 means they move independently, and a value below 0 means they move in opposite directions. A cell of 0.51 shows a moderate correlation: the two symbols' daily VRP values tended to rise and fall together over the window. A correlation does not show which symbol leads.

A pair with no value has an empty cell, and its tooltip shows N/A. The cell numbers appear only when the cells are wide enough. Hover a cell to display its value.

Data limits

Each symbol uses its latest VRP record, so a symbol that missed a day has an older date. The data updates once a day before the open, so the latest value is from the previous trading day.

The VRP Z-Score chart draws no bar for a symbol with no z-score. Sort places a missing value last. The grid view shows a dash for a missing VRP, z-score or regime. The IV/HV Scatter plots a missing percentile or VRP as 0.

Controls

The View choice is in each chart's header. Every other control is in the widget menu only. When the header is too narrow, View also moves into the widget menu. Each choice redraws the rows the widget already has.

Chart	Control	Where	What it does
VRP Z-Score	View	Header	Chart draws the bars. Grid shows the table.
VRP Z-Score	Sort	Widget menu	Selects the value that orders the rows (choices below the table).
VRP Z-Score	Detail	Widget menu	On adds each symbol's VRP percent to its bar label. The grid view always shows VRP percent.
IV/HV Scatter	View	Header	Scatter draws the dots. Bars draws IV percentile minus HV percentile.
IV/HV Scatter	Rank	Widget menu	Default keeps the list order, C→R puts the cheapest first and R→C the richest. Applies in the bars view only.

Sort has four choices, each highest first:

• |Z| sorts by the absolute VRP z-score.
• VRP sorts by the absolute VRP.
• IV Pctl and HV Pctl sort by IV percentile and HV percentile.

The VRP Z-Score and IV/HV Scatter headers show up to 12 symbol chips. Click a chip to turn its symbol on or off. VRP Correlation has no symbol chips and always shows every symbol.

Control	What it does
VRP Z-Score
view	View, chart or grid (header)
sort	Sort, which number orders the rows (widget menu)
detail	Detail, VRP percent beside each bar (widget menu)
IV/HV Scatter
view	View, scatter or bars (header)
rank	Rank, bar order in the bars view (widget menu)
correlation-matrix

Use it with

• Volatility premium charts plot one symbol's VRP over time.