Realized vs implied, annualized
Premium = implied − realized 30d, in vol points. Positive premium means options price more volatility than recently realized.
Realized from executor closes, Yahoo fills gaps (tagged); BTC/ETH pull 10y of daily crypto so realized spans the DVOL archive. Implied pulled by the server from public endpoints (Deribit DVOL, Yahoo VIX/GVZ/OVX) — no keys, cached, offline degrades to realized-only.
Model state: GBM-UKF (price + vol)
Unscented Kalman filter over a GBM state [log price, log vol]; drift is the dynamic ^IRX T-bill yield (forward-filled, 4% fallback offline). Vol is the filter's hidden state, not the 30d rolling stdev above.