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An Update on the Volatility Risk Premium (VRP)

Friday, May 29, 2020

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. [1] Equity and index option markets are open approximately 21 days per month, on average.
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April 2020 Market Perspective

Monday, May 25, 2020

Investment strategies that combine broad-based equity market exposure with index option writing offer the potential for a consistently lower risk profile and enhanced risk-adjusted return. In this type of strategy, the primary source of enhanced risk-adjusted return is the volatility risk premium (VRP). VRP derives from the phenomenon of the implied volatility component of index option prices frequently exceeding the realized volatility experienced by the underlying index.
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2020 Active PutWrite Commentary - Q1

Tuesday, May 12, 2020

Read our Q1 Active Putwrite Commentary for a review of strategy performance and positioning during the quarter.
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  • U.S. Market Recap
  • U.S. Market Perspective
  • Quick Takes
  • Flagship (Index/RA) Commentary
  • Active Overwrite Commentary
  • Active Putwrite Commentary



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