New eBook Short: Options and the Volatility Risk Premium
Tue, Mar 1, 2011 | Jared Woodard
I’m excited to announce the publication of Options and the Volatility Risk Premium, a short eBook (about 4500 words) published by FT Press. I have written about the volatility risk premium (VRP) before on this blog, and published a feature article in Expiring Monthly last year on the presence of the VRP in commodity options.
- The first part of the text explains the concept of the volatility risk premium and gives a rationale for why it exists.
- The second part reviews the evidence – including the most current academic research – for the presence of a VRP in every major asset class.
- Part three presents some techniques for estimating, predicting, and trading the VRP – including discussion of volatility selling strategies like short variance swaps.
An excerpt is available at the blog of the New York Society of Security Analysts. The text is available as a PDF as well as in other proprietary formats:
- PDF (FT Press)
- Kindle (Amazon, UK)
- Nook (Barnes & Noble)
- Safari Books Online
Tags: commodities, options, Volatility, volatility risk premium
March 2nd, 2011 at 8:12 pm
From the excerpts I can read at Safari Books, this looks like an excellent piece of analysis. I’ll be purchasing up a copy shortly.