IV vs Realized Volatility: Implied Minus Historical Volatility

IV vs realized volatility compares the movement option prices imply with the movement the price actually showed. Vyreon reports 30-day implied volatility minus 21-session realized volatility, in volatility points, together with their ratio. A positive spread means options are pricing more movement than recently occurred.

Implied Vs Realized Volatility: The Two Inputs

Implied volatility (IV) is forward-looking: the movement priced into options today. Vyreon uses its 30-day at-the-money measure, IV30. See implied volatility.
Realized volatility (RV), also called historical volatility, is backward-looking: how much the price actually moved. Vyreon uses the root-mean-square of daily close-to-close log returns (no mean subtracted) over the last 21 trading sessions, including today, annualized with 252 sessions per year. See realized volatility.

Both are annualized, so they can be compared directly.

IV Minus RV Formula

spread = IV30 − RV21      (volatility points)
ratio  = IV30 ÷ RV21

Illustrative example: IV30 of 25% and RV21 of 20% give a spread of +5 volatility points and a ratio of 1.25. The spread is in points, not percent: going from 20% to 25% is 5 points, even though it is a 25% relative increase.

A negative spread is a valid reading. It means the price has recently moved more than options now imply. When realized volatility is exactly zero, the spread is still shown and the ratio is withheld.

Why Implied Volatility Has Tended To Sit Above Realized

Studies of index and individual-stock options have found implied volatility, on average, above the volatility that followed (see Sources). One explanation is that option sellers are paid for bearing the risk of large moves. The gap is called the volatility risk premium. It is an average, not a constant: it varies, it can reverse when realized moves exceed what options priced, as in sharp selloffs, and it is not a fixed amount you can collect.

How Vyreon Measures It

IV30: at-the-money implied volatility interpolated to 30 calendar days, from Vyreon's own model.
RV21: close-to-close realized volatility over 21 trading sessions, on split- and dividend-adjusted prices, so an ex-dividend drop does not count as a move.
Both from the same session for the same security. If either input is withheld, the comparison is withheld.
No thresholds, scores or "sell signals" are applied.

What It Does Not Tell You

It is not a premium or profit estimate. A positive spread does not mean selling options will earn money. Profits depend on the volatility that actually follows, costs, assignment and the path of the price.
The horizons differ. IV30 prices the next 30 calendar days, while RV21 describes the last 21 trading sessions (about one month). It is a comparison of today's price with recent history, not a forecast error.
It says nothing about direction.
A large spread before an earnings report or other event is expected, because the event is priced in but has not happened yet. See earnings expected move and IV crush.

Sources

Peter Carr and Liuren Wu, "Variance Risk Premiums", Review of Financial Studies (2009): found option-implied variance on average above later realized variance for all five stock indexes and most of the 35 individual stocks studied.
Gurdip Bakshi and Nikunj Kapadia, "Delta-Hedged Gains and the Negative Market Volatility Risk Premium", Review of Financial Studies (2003).
John C. Hull, Options, Futures, and Other Derivatives (Pearson, many editions): implied and historical volatility.