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Citizens Financial Group — Your statistical edge in selling CFG options, quantified
Citizens Financial Group (CFG) is a Financials stock with actively traded listed options. CFG options are overpriced — IV 30d at 35.6% vs 30.0% realized vol (+5.6pp spread). VRP sits at the 92nd percentile, trending higher. VRP of +5.4pp is near the Financials sector median. 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
Citizens Financial Group's Volatility Risk Premium stands at +5.6pp, placing it among the strongest selling opportunities in the current market. Implied volatility of 35.6% is significantly overpricing Citizens Financial Group's actual realized movement of 30.0%. This gap — the VRP — represents the statistical edge that disciplined premium sellers capture over time. The wider this gap, the more the options market is overpaying for protection, and the larger the expected return for those willing to be the insurance provider.
Citizens Financial Group's VRP of +5.6pp measures the difference between what the options market expects (35.6% implied) and what is actually occurring (30.0% 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.
Citizens Financial Group's VRP trend over the past 5-10 trading days shows expansion — the gap between implied and realized volatility is widening. This expansion is driven by calming realized volatility — the stock is moving less while IV hasn't caught up, widening the spread. Rising VRP is the most favorable trend for premium sellers because it means the edge is growing, not shrinking. Historically, VRP expansion periods tend to last 2-4 weeks before mean-reverting, so timing entries during an uptrend captures some of the best risk-adjusted returns.
Citizens Financial Group's VRP is currently +5.6pp, derived from the difference between implied volatility (35.6%) and realized volatility (30.0%). 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.
Yes — Citizens Financial Group's VRP of +5.6pp is in the favorable zone. The options market is significantly overestimating future volatility, creating a statistical edge for sellers. The rising trend makes this even more attractive.
Citizens Financial Group's VRP is at the 92nd percentile of its 252-day range — this is an unusually strong selling opportunity. VRP at this level occurs roughly 8% of the time, making current conditions notably better than average for premium harvesting.
Citizens Financial Group's VRP has been expanding over recent sessions, meaning the gap between implied and realized volatility is growing. For premium sellers, this is the most favorable trend — the edge is increasing, not depleting. Rising VRP often coincides with the market maintaining elevated IV expectations while the stock settles into calmer actual movement. This window typically lasts 2-4 weeks before mean-reverting, so the current conditions may have some persistence.
IV Rank tells you if Citizens Financial Group's options are expensive compared to their own history — currently 31.4%. VRP tells you if they're expensive compared to what the stock ACTUALLY does — currently +5.6pp. Together they provide a complete picture — IV Rank for historical context, VRP for current edge.
Citizens Financial Group's RV Ratio of 0.85 shows calming volatility — the stock is moving less than its recent baseline. Combined with a VRP of +5.6pp, this is an ideal setup: realized risk is declining while implied volatility (and therefore premiums) haven't fully adjusted down. Premium sellers collect premiums based on the market's fear level while the stock's actual behavior is becoming more subdued. This is the classic "sell expensive insurance during calm weather" setup.