An Update on the Volatility Risk Premium (VRP) - Gateway Investment Advisers

Our April Market Perspective focused on how the Volatility Risk Premium (VRP) has changed over time and noted that its first quarter of 2020 inversion reached record-setting levels in February. VRP has been positive since mid-March, and averaged 14.23 from March 17 through April 28, i.e. the 21-day1 realized volatility period ending May 27. The VRP average since […]

Case for Low-Volatility Equity - Gateway Investment Advisers

Volatility risk premia and FX returns

What Is the Volatility Risk Premium?

Gateway Investment Advisers

JRFM, Free Full-Text

What Is the Volatility Risk Premium?

Volatility Metric: VTS Traders VRP - Volatility Risk Premium

Is A Return of Implied Volatility Risk Premium Coming?

The pricing of volatility risk in the US equity market - ScienceDirect

Strange behaviour in option markets - Ardea Investment Management

Full article: The volatility risk premium in the oil market