Investors want protection and are willing to overpay for it, while sellers demand compensation for an exposure that loses in exactly the scenarios when everything else is losing too. The result is a premium that shows up across equity indices, commodities and currencies over long samples.
Two cautions. The premium is thin relative to its tails, so leverage destroys it. And it is not constant: it is largest after volatility spikes, when few want to sell, and smallest in complacent markets, when everyone does.
Example: a systematic seller of 30-day XYZ straddles, delta hedged, collects the implied-realised gap most months. Twelve months of five-point edge can be erased by one month where realised volatility prints 60% against 28% implied.
Related: implied-vs-realized, short-premium, short-volatility-trade, volmageddon