An Update on the Volatility Risk Premium (VRP) - Gateway Investment Advisers

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. The VRP average since […]

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An Update on the Volatility Risk Premium (VRP) - Gateway Investment Advisers

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Full article: The volatility risk premium in the oil market

Diving Deep: My Personal Approach to Equity and Volatility Risk Premia - Robot Wealth

JRFM, Free Full-Text

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Gateway Investment Advisers

Full article: The volatility risk premium in the oil market