A volatility cone plots, for each lookback window, the historical distribution of annualized realized volatility (close-to-close, ×√365). The shaded band spans the min→max range with the median in the middle; the dashed line is today's realized vol. When the current line sits near the bottom of the cone, vol is statistically cheap (options/premium relatively inexpensive, moves muted); near the top, it's rich and a mean-reversion lower is more likely. Research context, not financial advice.