# Volatility Risk Premium Calculator AI Agent Connect

> Calculate and analyze the spread between implied and historical volatility.

## Overview
- **Category:** finance
- **Price:** Free
- **Endpoint:** https://edge.vinkius.com/vk_preview_dVeHeMnx4eAR601izLikEv9Bt6k8pJKskQVp4vP3/ai-agent-connect
- **Tags:** volatility, vrp, options, quantitative, risk

## Description

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.

## Tools

### analyze_vrp_trends


### calculate_basic_vrp


### compare_iv_sources


## Prompt Examples

**Prompt:** 
```
Calculate the VRP if the implied volatility is 25% and historical volatility is 20%.
```

**Response:** 
```
The absolute VRP is 5.0 and the relative VRP is 25.0%. The classification is expensive.
```

**Prompt:** 
```
Is the current VRP of 2.0 at an extreme level given this history: [1.5, 2.5, 1.0, 3.0, 2.0]?
```

**Response:** 
```
The current VRP is within the normal range with a percentile rank of 40%.
```

**Prompt:** 
```
Compare these VRP values: ATM is 2.0, OTM Put is 4.5, and VIX is 3.0.
```

**Response:** 
```
The mean VRP across the 3 sources is 3.17.
```

## Frequently Asked Questions

**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.