Measuring the volatility risk premium for SPX 0DTE.

This was inspired by this question on my other post: [https://www.reddit.com/r/options/comments/1vwm19o/comment/p5ichus/](https://www.reddit.com/r/options/comments/1vwm19o/comment/p5ichus/) Since I had already run most of the analysis this was a simple add on. Quick recap, I use the tick level trade data to compute the ATM IV for the SPX 0DTE chain, I use the treasury yield curve for the interest rate as described in the CBOE VIX methodology (it is a small factor for 0DTE but still trying to tighten all the bolts that I can). The study runs from June 2025- July 2026 and incorporates 280 trading days. I sample realized volatility per minute. You can look at the data along two dimensions, the daily time series and the median intraday behavior. As you can see in the image there exists a razor thin premium of about 3-4 vol points but it can be very regime dependent. If we look at the time series by day where there are times when the RV overshoots IV for many days in a row. I have added the VIX1D replication panel just as a sanity check for my calculations, garbage in will give you garbage out. I replicate the VIX1D using the same data and compare it to the published CBOE VIX1D and understand the source of the small errors in my calculations (0.2 vol pts). Use this data whichever way you like, hope this is useful!