Glossary

NVRP (Net Volatility Risk Premium)

By Rohan Fernandes, Founder · Updated 2026-08-21 · Educational reference, not investment advice

NVRP measures the richness of option premium relative to the stock's actual movement: at-the-money IV minus realized volatility, divided by realized volatility. Positive readings mean options price more movement than the stock has delivered.

Readings of 0.10 and above mark genuinely rich premium; readings below zero mark options priced under recent movement, conditions that favor debit structures over credit ones. Unlike IV rank, NVRP compares against the current tape rather than a year of history, so it stays honest right after volatility spikes. The full treatment, including its event-risk caveat, is in the NVRP article.

Educational reference. Options Scanner is a software tool. It is not a broker-dealer, an investment adviser, or a fiduciary, and nothing on this page is investment advice or a recommendation to buy or sell any security. Options involve risk and are not suitable for every investor; read the Characteristics and Risks of Standardized Options before trading. Examples use hypothetical numbers for illustration only.