102 papers on volatility risk premium as a systematic trading strategy. Harvesting the gap between implied and realised volatility: selling variance, VIX futures roll, option writing.
Also searched as: variance risk premium, VRP, selling volatility, VIX futures roll, short volatility strategies
Papers 102 2005–2026
Share of the family 100 % 102 of 102
Asset
All 102 Equities 46 Volatility and options 40 Bonds and credit 3 Commodities 2 Currencies 2 Multi-asset 2 Asset not named 7 Method
All 102 Classical time series 21 Linear factor models 11 Mathematical derivation 8 Tree ensembles 2 Bayesian 1 Neural networks 1 State-space models 1 Method not named 61 Papers by year Volatility risk premium
■ equities■ volatility and options■ bonds and credit■ commodities■ other assets2005 2010 9 2015 2020 23 2026 ■ equities■ volatility and options■ bonds and credit■ commodities■ other assets2005 2010 9 2015 2020 23 2026 Related families papers shared with this family
Latest additions asset Downside and Volatility Risk Premia in Derivatives Markets: Quantitative Strategies and Hedge-Fund Trading Behaviour by Abhinav Volatility and options Volatility and options 2026 One-Day Volatility Indices and the Variance Risk Premium in European Equity Markets by Wilkens Equities Equities 2026 The Variance Risk Premium: Model-Free Measurement, Term Structure, and the Economics of Selling Volatility by Amargos Volatility and options Volatility and options 2026 Compression of the Variance Risk Premium: Demand Pressure or a Repricing of Variance Carry? by Clark and Dickson Equities Equities 2026 The Implied-Realized Volatility Ratio and the Cross-Section of Put-Writing Returns by Ahn Volatility and options Volatility and options 2026
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Assets with their own page 86 papers
Volatility risk premium in bonds and credit 3 papers cited by method The Clock Matters: Time Measurement and the Ultra-Short Volatility Term Structure by Bondarenko 0 Mathematical derivation 2026 The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability by Li and Zinna 2 2014 Credit Default Swap Spreads and Variance Risk Premium by Wang et al. 0 2009
Volatility risk premium in commodities 2 papers
Volatility risk premium in currencies 2 papers cited by method Global Variance Risk Premium and Forex Return Predictability by Aloosh 10 Mathematical derivation 2012 The Volatility Risk Premium Embedded in Currency Options by Low and Zhang 64 2005
Volatility risk premium in multi-asset 2 papers cited by method Does Historical Volatility Term Structure Contain Valuable Information for Predicting Volatility and Index Futures? by Jabłecki et al. 1 2014 Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading by Guo and Zhou 0 2013
Volatility risk premium, no asset class named 7 papers cited by method Early Birds Get the Vol: Morning Volatility Uncertainty and Variance Risk Premium by Hizmeri and Bevilacqua 0 2026 Changes in Risk Factor Disclosures and the Variance Risk Premium by Lyle et al. 11 2022 Characterizing the Variance Risk Premium: The Role of the Leverage Effect by Hu et al. 9 2021 Asset Variance Risk Premium and Capital Structure by Lotfaliei 8 2020 Everybody's Doing it: Short Volatility Strategies and Shadow Financial Insurers by Bhansali and HARRIS 0 2017 Firm Characteristics and Common Factors in the Variance Risk Premia by Lian 0 2015 Tail Risk Premia and Return Predictability by Bollerslev et al. 447 2014
Papers on volatility risk premium from other families 3 papers filed under Dottin, Zekarias, Watson | Multi-Asset Commodities Volatility Portfolio by Dottin Options trading strategies 2026 The Fundamental, Speculative and Macroeconomic Determinants of Variance and Skew Risk Premia in Oil Market by Pirrong and Ebrahimi Options trading strategies 2018 Global Currency Misalignments, Crash Sensitivity, and Moment Risk Premia by Huang and MacDonald Carry trade 2014