Vol Regime classifies the current volatility environment by comparing implied volatility to realized volatility — giving you context for whether options are cheap or expensive relative to recent moves.
Four states based on the IV/HV ratio:
In suppressed or compressed regimes, long vol strategies (buying options, straddles/strangles) have a statistical edge because you're buying cheaper than realized. In elevated regimes, short vol strategies (selling premium) have the edge. In normal regimes, vol is fairly priced — trade directionally based on GEX and Hedge Pressure instead.
The VRP z-score measures how far the current IV/HV relationship deviates from its historical average. A negative VRP z-score means implied vol is cheaper than its historical relationship with realized vol — historically a signal that long vol positions will be rewarded.