The variance risk premium across assets — implied minus realized volatility (vol points) for equity (VIX−RV), oil (OVX−RV) and gold (GVZ−RV).
How to read Read 'insurance is currently rich/cheap vs recently delivered moves' — a present-state level. Positive = sellers of vol are being compensated now.
DESCRIPTIVE. The literature that VRP PREDICTS returns (Bollerslev-Tauchen-Zhou, BMXZ) is a forecasting result and is NOT built here. Sign convention: implied − realized (positive = implied richer).