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.
Tag Archives: implied volatility
Variance Risk Premium Signalling “Caution” Ahead of Fed Reply
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.
Variance Risk Premium Approaching “Worry” Zone Reply
The Variance Risk Premium for S&P 500 is fast approaching the “Worry” zone. For details check the report Variance Risk Premium.
