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 […]

What Is the Volatility Risk Premium?

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Duration volatility risk premia

Volatility Risk Premium, Institutional Investors

Duration volatility risk premia

Gateway Investment Advisers on LinkedIn: #vrp

AGNC - AGNC Investment Corp. Stock - Stock Price, Institutional Ownership, Shareholders (NasdaqGS)

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The pricing of volatility risk in the US equity market - ScienceDirect

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

Volatility Risk Premium (VRP) 1.0 — Indicator by IQ-trading — TradingView

Strange behaviour in option markets - Ardea Investment Management

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