Implied volatility (IV) systematically exceeds realized volatility (RV) — this gap is the variance risk premium (VRP). Selling options harvests VRP; buying tail hedges pays it. Historically, SPX 1-month IV averages ~19% while subsequent RV averages ~15%, a 4-vol-point premium.

For a tail hedger, this means every put you buy is priced with a structural headwind. The question isn't whether hedging is 'expensive' — it's whether the convexity payoff exceeds the cumulative premium drag over your holding horizon.

VRP compression: in crises, IV spikes but RV spikes more — hedges finally pay
Term structure: short-dated puts have higher VRP per unit time; long-dated puts are cheaper per day but less convex
Skew: OTM puts trade at higher IV than ATM — you pay extra for the exact strike that saves you

Regime	Avg IV	Avg RV	VRP
Calm (2017)	11%	7%	+4
Normal (2015-19)	17%	13%	+4
Crisis (Mar 2020)	60%	80%	-20