VRP — the volatility risk premium
VRP = VIX − 6-month realized vol — how far implied volatility (VIX) sits above what the S&P 500 has actually delivered over the past six months.
High VRP: VIX is pricing more fear than the market has realized (the spike setup)
Low / negative VRP: realized vol has caught up to VIX
It shows the historical forward VIX-spike probabilities on days when the VRP was this high (by percentile) at a similar VIX level.