Vol Risk Premium

Family: Volatility

What it computes

Emits VolRiskPremiumTick ticks carrying vol_risk_premium, variance_risk_premium, implied_vol, realized_vol, n_intraday_bars off stock trade tape.

Available on the live, historical, and replay drives.

Methodology

Bollerslev / Tauchen / Zhou (2009) per-symbol streaming spread vrp = implied_vol - realized_vol; realized vol via Parkinson (1980) high-low estimator over per-bar (H, L) off the stock trade tape.

See the methodology overview for the citation index.

Inputs

Stock trade tape.

Key outputs

Vol_risk_premium, variance_risk_premium, implied_vol, realized_vol, n_intraday_bars. The full field set is in the tick table below.

Output schema (VolRiskPremiumTick)

The field / type / description table below is regenerated from the VolRiskPremiumTick Rust source by docs-site/scripts/inject-doc-tables.ts on every npm run docs:build. Do not hand-edit between the sentinels.

Field	Type	Description
symbol	Arc<str>	Underlying symbol (interned).
date	i32	Trading-session date (YYYYMMDD) at emission time.
ms_of_day	i32	Milliseconds since midnight ET at emission time.
implied_vol	f64	Implied-vol reference carried on the spec (annualised decimal).
realized_vol	f64	Parkinson-estimated realized vol over the rolling window (annualised decimal). NaN with an empty FIFO.
variance_risk_premium	f64	Variance-risk premium IV^2 - RV^2 per Bollerslev / Tauchen / Zhou (2009). NaN with an empty FIFO.
vol_risk_premium	f64	Volatility-risk premium IV - RV — the headline streaming spread. NaN with an empty FIFO.
n_intraday_bars	i32	Count of sealed bars currently inside the rolling window.

Configuration (VolRiskPremiumParams)

Regenerated from the VolRiskPremiumParams Rust source — see the note above.

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Stocks only — the analytic silently ignores option / index trades at the on_tick entry.
conditions	ConditionPolicy	Trade-condition admission policy applied to every print.
venues	ExchangeFilter	Exchange / venue admission policy.
bar_interval_ms	i32	Per-bar cadence in milliseconds. Defaults to [DEFAULT_BAR_INTERVAL_MS] (300_000 ms / 5 min).
window_bars	i32	Rolling-window length in bars. Defaults to [DEFAULT_WINDOW_BARS] (78).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (60_000 ms). Set to 0 to publish on every sealed bar.
implied_vol_reference	f64	Implied-volatility reference (annualised decimal). The subscriber populates this from their preferred IV surface — the desk's own ATM IV reading, the CBOE VIX print, or any internal vol-curve source. Defaults to [DEFAULT_IMPLIED_VOL_REFERENCE] (0.0).

Example

Python

import kairos_thetadata as kt

client = kt.Client.connect(kt.Credentials.from_env())

def on_event(row):
    print(row)

sub = client.live().vol_risk_premium(["QQQ"]).on_event(on_event)
sub.wait(timeout_seconds=60.0)

TypeScript

import { Client, Credentials } from "kairos-thetadata";

const client = await Client.connect(Credentials.fromEnv());

await client
  .live()
  .volRiskPremium(["QQQ"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

// Cargo.toml:
//   kairos = "0.1"

use kairos::{Client, VolRiskPremiumRow};

# fn run() -> Result<(), Box<dyn std::error::Error>> {
let client = Client::connect(("me@example.com", "secret"))?;

let sub = client
    .live()
    .vol_risk_premium(["QQQ"])
    .on_event(|row: &VolRiskPremiumRow| println!("implied_vol={} realized_vol={}", row.implied_vol, row.realized_vol))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }