Volatility risk premium in options
40 papers on volatility risk premium in options as a systematic trading strategy. Volatility risk premium papers on vIX, variance and option markets: 40 of the 102 in volatility risk premium. 21 name a method, most often classical time series (13). The most cited is The Price of Market Volatility Risk (2008).
Papers402005–2026
Share of the family39 %40 of 102
| cited by | method | ||
|---|---|---|---|
| The Price of Market Volatility Risk by Duarte and Jones | 46 | Linear factor models | 2008 |
| The VIX Futures Basis: Evidence and Trading Strategies by Simon and Campasano | 14 | 2012 | |
| The Importance of the Volatility Risk Premium for Volatility Forecasting by Prokopczuk and Simen | 13 | 2013 | |
| The Variance and Return Premiums across Assets by Heston and Todorov | 12 | 2023 | |
| Volatility as an Asset Class: European Evidence by Wallmeier and Hafner | 11 | 2006 | |
| How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns by Konstantinidi and Skiadopoulos | 8 | 2014 | |
| A Value-at-Risk Analysis of VIX Futures Long Memory, Heavy Tails, and Asymmetry by Huskaj | 7 | Classical time series | 2009 |
| Corridor Implied Volatility and the Variance Risk Premium in the Italian Market by Muzzioli | 6 | 2011 | |
| The Influence of Tracking Error on Volatility Premium Estimation by Doran | 6 | Mathematical derivation | 2005 |
| A Non-Linear Dynamic Model of the Variance Risk Premium by Wang and Eraker | 5 | Linear factor models | 2012 |
| Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got to Do with It? by Andreou and Ghysels | 4 | Classical time series | 2014 |
| The Volatility Risk Premium: An Empirical Study on the S&P 500 Index by Guo and Loeper | 3 | 2021 | |
| Trading the VIX Futures Roll and Volatility Premiums with VIX Options by Simon | 3 | 2015 | |
| VIX Futures Trading Activity and Volatility by Huskaj | 3 | 2013 | |
| VIX Futures Basis Trading: The Calvados-Strategy 2.0 by Donninger | 2 | 2014 | |
| Volatility-Managed Volatility Selling by Yang | 1 | Classical time series | 2024 |
| Stochastic Dominance, Stochastic Volatility and the Prices of Volatility and Jump Risk by Perrakis | 1 | Mathematical derivation | 2022 |
| Realized GARCH, CBOE VIX, and the Volatility Risk Premium by Hansen et al. | 1 | Mathematical derivation +1 | 2021 |
| Trading Signals In VIX Futures by Avellaneda et al. | 1 | Neural networks | 2021 |
| Downside and Volatility Risk Premia in Derivatives Markets: Quantitative Strategies and Hedge-Fund Trading Behaviour by Abhinav | 0 | Linear factor models | 2026 |
| Hierarchical Machine Learning for Variance Risk Premium Estimation: From VIX Forecasting to Options Trading by Fouhy | 0 | Tree ensembles +1 | 2026 |
| The Implied-Realized Volatility Ratio and the Cross-Section of Put-Writing Returns by Ahn | 0 | Classical time series | 2026 |
| The Variance Risk Premium Across Markets and Regimes A Downside, Crash-Conditional Risk Premium, Not Harvestable Carry by Ahmed | 0 | Classical time series | 2026 |
| The Variance Risk Premium: Model-Free Measurement, Term Structure, and the Economics of Selling Volatility by Amargos | 0 | 2026 | |
| Variance Risk Premium in Nifty 50 Weekly Expiry Cycles: VIX Calibration Bias and Regime Dependence by Sajjan | 0 | Classical time series | 2026 |
| Volatility as an Asset Class: Carry, Convexity, Crash Risk, and Hedge Fund Implementation by Verma | 0 | 2026 | |
| "A Review of ""The Volatility Risk Premium in the Oil Market""" by Till | 0 | 2025 | |
| Exploiting Overestimated Volatility Risk Premium: A Contrarian ETF Trading Strategy by Requejo | 0 | 2024 | |
| The Common Factor in Volatility Risk Premia by Babiak et al. | 0 | Classical time series | 2024 |
| Liquidity Guided Machine Learning: The Case of the Volatility Risk Premium by Ghysels et al. | 0 | 2021 | |
| Learning and Forecasts about Option Returns through the Volatility Risk Premium by Bernales et al. | 0 | Bayesian | 2019 |
| Transitory Fear: Explaining Changes in the VIX Futures Basis by Smales | 0 | 2019 | |
| Volatility Dependent Structured Products by Dyachenko et al. | 0 | 2019 | |
| Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options by Wysocki | Classical time series | 2025 | |
| Investing in VIX futures based on rolling GARCH models forecasts by Bilyk et al. | Classical time series | 2020 | |
| Predicting the VIX and the Volatility Risk Premium: The Role of Short-run Funding Spreads Volatility Factors by Andreou and Ghysels | Classical time series | 2020 | |
| Relative pricing and risk premia in equity volatility markets by Van Tassel | Mathematical derivation | 2018 | |
| Does historical volatility term structure contain valuable in-formation for predicting volatility index futures? | 2014 | ||
| Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market by Wang et al. | Classical time series | 2010 | |
| Volatility Exposure for Strategic Asset Allocation by Brière et al. | 2008 |
Papers on volatility risk premium in options from other families
15 papers| filed under | ||
|---|---|---|
| Convex Tail Risk Dominates Poor Man's Covered Call Outcomes Despite High Win Rates by Khan | Options trading strategies | 2026 |
| Profitability of Delta-Neutral Option Strategies on Nifty 50 and Constituent Stocks: Evidence from 2019-2024 by Pillai | Options trading strategies | 2026 |
| Effectiveness of Various Options Strategies for Exchange-Traded Funds by Mahadevan | Options trading strategies | 2023 |
| Measuring and trading volatility on the US stock market: A regime switching approach by Dapena et al. | Macro signals and regime strategies | 2018 |
| Trading VIX Futures under Mean Reversion with Regime Switching by Li | Macro signals and regime strategies | 2016 |
| Relative Risk Perception and the Puzzle of Covered Call Writing by Siddiqi | Options trading strategies | 2015 |
| The Performance of Equity Index Option Strategy Returns During the Financial Crisis by Schulte and Stamos | Options trading strategies | 2015 |
| Mental Accounting: A New Behavioral Explanation of Covered Call Performance by Siddiqi | Options trading strategies | 2014 |
| Long Memory in Volatility and Return Predictability by Wang and Clark | Pairs trading and statistical arbitrage | 2013 |
| What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? by Fan et al. | Market making | 2013 |
| Riding the Swaption Curve by Duyvesteyn and de Zwart | Options trading strategies | 2012 |
| Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability | Pairs trading and statistical arbitrage | 2011 |
| Improving Portfolio Performance with Option Strategies: Evidence from Switzerland by Isakov and Morard | Options trading strategies | 2006 |
| Option Spread and Combination Trading by Chaput and Ederington | Options trading strategies | 2002 |
| Delta-Hedged Gains and the Negative Market Volatility Risk Premium by Kapadia and Bakshi | Options trading strategies | 2001 |