"A Review of ""The Volatility Risk Premium in the Oil Market"""
“Hilary Till presented on this topic at the Commodity and Energy Markets Association conference in Budapest.”
AssetVolatility and options
StrategyVolatility risk premium
InputsOrder book
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodVolatility risk premium by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Downside and Volatility Risk Premia in Derivatives Markets: Quantitative Strategies and Hedge-Fund Trading Behaviour by Abhinav | 2026 | ||||
| Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups: A Presentation by Till | 2025 | ||||
| The Variance Risk Premium: Model-Free Measurement, Term Structure, and the Economics of Selling Volatility by Amargos | 2026 | ||||
| The Implied-Realized Volatility Ratio and the Cross-Section of Put-Writing Returns by Ahn | 2026 | ||||
| The Variance Risk Premium Across Markets and Regimes A Downside, Crash-Conditional Risk Premium, Not Harvestable Carry by Ahmed | 2026 |