A chart of the historical distribution of an underlying's realized volatility across several horizons, with today's implied vol dropped on top. It answers one question: versus its own past, are this asset's options expensive, cheap, or fair at each horizon?

Realized vol is what the underlying actually did — the annualized standard deviation of past returns. Implied vol is what options are pricing for the future. The cone is built from realized; the dot on top is implied (VolDex®). The gap between them is the edge.

RICH = implied vol is above the 75th percentile of realized at that horizon (options expensive vs history; favor selling premium). CHEAP = below the 25th (options cheap; favor owning vol). In between is fairly priced. The percentile is the signal, not the raw vol number.

Short-horizon realized vol is jumpy — one gap swings the 7-day reading — so its historical range is wide. Long-horizon vol averages over many days, so its range is tight. Wide mouth, narrow tip: that convergence is the cone, and it's mean reversion drawn as a picture.

Seven fixed windows spanning roughly one week to one year of trading — from a 7-day horizon out to 252 days. Short windows capture event-driven vol; long windows capture the structural regime. Reading the short against the long is the realized-vol term structure.

To get enough observations to form a distribution. Sliding the window one day at a time yields T − h + 1 readings per horizon — the classic Burghardt–Lane construction. The cost is some serial dependence between overlapping readings, which is well understood and standard desk practice.

It's an asymmetry, not a timer. CHEAP means almost no room down and the whole cone up — owning vol costs little with a large potential payoff. But cheap can stay cheap (2017). The cone keeps the asymmetry in front of you; it doesn't time the snap.

A single number tells you the level. The cone tells you the percentile — whether that level is high or low for this asset, at each horizon. 40% means nothing on its own; 40% at the 90th percentile means something.

ETFs on the ETF Analytics tier; any optionable single stock on ETF + Equities. The full realized-vol history is available as a CSV export on the Everything tier.

The cone reads implied against realized history. The VolDex® Term Structure reads implied across tenors. The Skew Deconstruction reads implied across strikes. Same implied vol, three lenses — over time, across strikes, and versus its own past.

No. It describes where today's implied sits versus realized history and shows the asymmetry mean reversion implies. It is context for a decision, not a forecast of the next move.