Implied Realized Spread
Implied Realized Spread — Gap between implied and realized vol that defines carry for short-vol books.
Definition
Implied Realized Spread refers to gap between implied and realized vol that defines carry for short-vol books. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
Options and futures embed views on vol, skew, and path that cash markets only hint at. When gap between implied and realized vol that defines carry for short-vol books shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what implied realized spread is saying. If gap between implied and realized vol that defines carry for short-vol books moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
State the expiry and Greek exposure; unmarked vol or pinning effects rewrite the thesis. Prefer a short written null hypothesis for Implied Realized Spread: what would falsify the current reading in the next window?
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