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Tag Archives: implied volatility

January 27, 2014

Variance Risk Premium In Light Of VIX Soaring 31 Percent Reply

Variance Risk Premium • Tags: implied volatility, realized volatility, VIX

Market participants rushed to purchase protection, with VIX soaring to above 18 from below 13 a few days ago. What is the impact of this increase on the Variance Risk Premium? Result – not massive – the implied volatility rose pretty much in line with the realized.

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December 17, 2013

Variance Risk Premium Signalling “Caution” Ahead of Fed Reply

Variance Risk Premium • Tags: implied volatility, realized volatility, S&P 500, variance risk premium

The Variance Risk Premium for S&P 500 has surged ahead of the Fed-meeting. The cost of protection has increased without an increase in the realized volatility. For details see the report Variance Risk Premium.

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December 6, 2013

Variance Risk Premium Approaching “Worry” Zone Reply

Variance Risk Premium • Tags: implied volatility, realized volatility, S&P 500, variance risk premium

The Variance Risk Premium for S&P 500 is fast approaching the “Worry” zone. For details check the report Variance Risk Premium.

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