Implied vs Realized Vol, No Options Data Required

A volatility panel for the commodities desk, built entirely on free feeds — no paid options chains anywhere.

Implied comes from CBOE’s ETF-volatility indices, which yfinance serves without a key: ^GVZ (gold), ^OVX (crude oil), ^VXSLV (silver), plus ^VIX and ^INDIAVIX for context. Realized is the 30-day annualized standard deviation of daily log returns on the front futures (GC=F, SI=F, HG=F, CL=F): std(log returns) × √252 × 100.

Subtract the two and you get the vol risk premium — what options charge above what the tape actually delivered. The snapshot (2026-06-22):

Gold reads like the textbook: implied above realized, a positive premium — sellers of gold vol get paid for writing the insurance. Crude is roughly fair. Silver is the odd one out: realized (55) is running six points above implied (49) — the tape has been choppier than the options market is pricing. A negative premium like that is either an opportunity to be long vol or a sign the move already happened; either way it’s the kind of dislocation that earns a second look.

Two gaps, both informative:

• Copper has no CBOE vol index. A major futures market with no listed implied-vol product — so for free, the best you get is realized (29.4) and a blank where implied should be.
• VXSLV is barely maintained. yfinance returns a single data point for it, no usable history. The silver implied level is real, but you can’t chart its term structure.

The takeaway: a respectable vol-premium monitor doesn’t need a paid options feed. Implied from the ETF-vol indices, realized from futures returns, and the spread tells you who’s overpaying for protection. The constraints aren’t the math — they’re which contracts CBOE bothers to publish an index for.