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American Express — Your statistical edge in selling AXP options, quantified
American Express (AXP) is a Financials stock with actively traded listed options. AXP options are mildly overpriced — IV 30d 38.3% vs 34.4% realized vol (+4.0pp). VRP sits at the 50th percentile. VRP of 4.0pp is below the Financials median of +5.7pp. See Premium Selling for the full setup.
VRP in Context
Volatility risk premium = implied vol minus realized volatility. Positive VRP = options are overpriced.
Options are priced above recent realized movement, which can give premium sellers a statistical edge. A positive VRP means you're selling options for more than they're statistically worth.
Look at the VRP trend and percentile to decide if the edge is strong enough to trade.
VRP = IV 30d − RV 20d (annualized, in percentage points)ORATS 30-day implied volatility, ORATS close-to-close 20-day realized volatility
ORATS IV data + ORATS close-to-close HV 20d
VRP is backward-looking for RV and forward-looking for IV. A positive VRP does not guarantee profitable premium selling — it measures the current pricing gap, not future outcomes.
90-day VRP history chart, percentile vs 252-day range, and VRP-optimized strategy matching — in active development.
This data is free for all users. No paywall — just not built yet.
Quantitative screening, not investment advice. Verify with your broker. Disclaimer
American Express's VRP of +4.0pp indicates a useful but not exceptional premium selling edge. The options market is pricing in 38.3% annualized volatility while the stock is actually realizing 34.4%. This moderate gap means premium sellers have a positive expected value, but the edge is thin enough that strategy selection matters — defined-risk approaches like credit spreads and iron condors are more appropriate than aggressive naked selling. Focus on high-probability setups where the moderate VRP is complemented by favorable RV regime and technical structure.
American Express's VRP of +4.0pp measures the difference between what the options market expects (38.3% implied) and what is actually occurring (34.4% realized). Premium sellers profit when this gap is positive — they collect more in premium than the stock's movement costs them. VRP varies over time and across stocks, which is why monitoring it daily helps traders identify when conditions shift in or out of their favor.
American Express's VRP has been relatively stable over recent trading days, fluctuating around +4.0pp without a clear directional trend. Stable VRP environments are workable for premium sellers — the edge is predictable and strategies can be sized consistently. The key risk in stable VRP periods is complacency: a sudden catalyst (earnings, macro event, sector rotation) can compress or expand VRP rapidly, so maintaining defined-risk structures and stop-loss discipline remains important even when conditions appear steady.
American Express's VRP is currently +4.0pp, derived from the difference between implied volatility (38.3%) and realized volatility (34.4%). A positive VRP of this magnitude means options are meaningfully overpriced relative to actual stock movement — this is the core edge that premium sellers harvest.
Moderately — American Express's VRP of +4.0pp provides a workable edge, though not an exceptional one. Defined-risk strategies like credit spreads are most appropriate — the edge exists but isn't large enough to justify aggressive sizing.
| L |
| +4.2pp |
| 26.7% |
| weak |
IV Rank tells you if American Express's options are expensive compared to their own history — currently 41.6%. VRP tells you if they're expensive compared to what the stock ACTUALLY does — currently +4.0pp. Together they provide a complete picture — IV Rank for historical context, VRP for current edge.