What Is the Term for the Difference between Implied Volatility and Historical Volatility?
The difference between Implied Volatility (IV) and Historical Volatility (HV) is often simply referred to as the 'IV-HV spread' or the 'Volatility Spread'. In some contexts, particularly when IV is higher than HV, the difference is also called the 'volatility risk premium,' as it represents the extra compensation option sellers receive for bearing the risk of future volatility.
Glossar
Historical Volatility (HV)
Metric ⎊ Historical Volatility (HV) serves as a quantitative measure of the dispersion of an asset's returns over a specified look-back period, providing an objective, backward-looking assessment of price movement magnitude.
Implied Volatility
Expectation ⎊ This value represents the market's consensus forecast of future asset price fluctuation, derived by reversing option pricing models using current market premiums.