What is the Volatility Risk Premium?

The VRP is the difference between the implied volatility (market expectation) and the historical volatility (realized movement).

How do I know if options are expensive?

When the absolute VRP is positive (IV > HV), options are considered expensive.

Can I compare different volatility sources?

Yes, you can use `compare_iv_sources` to aggregate VRP data from multiple sources like ATM or VIX.

Volatility Risk Premium Calculator MCP Connector for Claude

A+

Calculate and analyze the spread between implied and historical volatility.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner

More Details Connect to Claude

This MCP server provides deterministic tools to calculate the Volatility Risk Premium (VRP). It identifies market mispricing by comparing Implied Volatility (IV) against Historical Volatility (HV). Use calculate_basic_vrp to find the absolute and relative spread, analyze_vrp_trends to detect mean-reversion signals via percentile ranking, and compare_iv_sources to aggregate premiums across different volatility sources like ATM or VIX.

volatilityvrpoptionsquantitativerisk

Connect to Claude

Subscribe on Vinkius, then add this connector to Claude.ai or Claude Code.

① Claude.ai (web app)

Go to Settings → Connectors → Add custom connector
Paste the MCP endpoint URL below

https://edge.vinkius.com/vk_preview_dVeHeMnx4eAR601izLikEv9Bt6k8pJKskQVp4vP3/mcp

② Claude Code (terminal)

claude mcp add --transport http volatility-risk-premium-calculator https://edge.vinkius.com/vk_preview_dVeHeMnx4eAR601izLikEv9Bt6k8pJKskQVp4vP3/mcp

③ Claude Desktop

Add to claude_desktop_config.json:

{
  "mcpServers": {
    "volatility-risk-premium-calculator": {
      "url": "https://edge.vinkius.com/vk_preview_dVeHeMnx4eAR601izLikEv9Bt6k8pJKskQVp4vP3/mcp"
    }
  }
}

Get full access on Vinkius

The preview token above works for testing. Powered by Vinkius.