Implied–Realized Volatility Gap — Woodrow Wilson Research Fellowship

$10K research fellowship at Johns Hopkins under Prof. Jonathan H. Wright, investigating the persistent gap between options-implied volatility and subsequently realized volatility in equity markets.

Funded research project on one of the more interesting empirical anomalies in equity-options markets: implied volatility, on average, exceeds the volatility realized over the matching window — and the gap is structural, not random.

Setup

The research framework looked at option-implied volatility surfaces against subsequent realized volatility over matched windows, decomposed the gap into compensation-for-risk vs. expectational error, and probed how the gap behaves across regimes (calm, stressed, crisis).

This was undergraduate-scale research — not a dissertation — but it was where I learned to read finance literature critically and to operate a research project end-to-end against a faculty advisor.

What it taught me

Two things that carried forward:

1. Picking the right cut of a dataset matters more than picking the right model. Most of the apparent results I started with were artifacts of how I’d sliced the data; the real signal lived in the cuts I had to argue myself into.
2. A research project is not a series of analyses, it is a single argument. Most of the work is framing the argument and picking the smallest set of analyses that would support or kill it.

Both lessons translate directly to applied-ML work, which is part of why I’ve kept a hand in research-flavored projects since.