Volatility risk premium is an important statistic for options traders. It is a single number that estimates premium that is priced in to the options due to volatility of volatility, or jumps. Jared Woodard wrote an excellent research brief on it Options and the Volatility Risk Premium
and I wrote earlier about VRP in stocks and VIX options.
Below I compare realized volatility of different stock indexes with their implied volatility indexes, and find considerable dispersion in VRP values. Perhaps this is because there are slight differences in methods used for volatility indexes.
And same data in the raw table form.
and I wrote earlier about VRP in stocks and VIX options.
Below I compare realized volatility of different stock indexes with their implied volatility indexes, and find considerable dispersion in VRP values. Perhaps this is because there are slight differences in methods used for volatility indexes.
And same data in the raw table form.
| Average Implied Volatility Index vs Realized Volatility for the last 5 years | |||
|---|---|---|---|
| Stock/Volatility Index | Realized | Implied | VRP |
| NIFTY/INVIXN | 30.3801 | 30.1993 | 0.10953 |
| RTSI$/RTSVX | 42.104 | 43.0253 | -0.78427 |
| RTY/RVX | 33.5548 | 32.4393 | 0.73617 |
| TOP40/SAVIT40 | 26.7024 | 27.2037 | -0.2702 |
| ASX/SPAVIX | 24.7419 | 26.1983 | -0.7419 |
| DAX/V1X | 27.0265 | 27.349 | -0.17533 |
| SX5E/V2X | 28.2234 | 29.1638 | -0.53966 |
| SMI/V3X | 22.3754 | 23.1146 | -0.33629 |
| AEX/VAEX | 27.3087 | 27.2267 | 0.044695 |
| CAC/VCAC | 28.3253 | 27.245 | 0.60033 |
| UKX/VFTSE | 24.5219 | 25.0541 | -0.26384 |
| HSI/VHSI | 32.7383 | 31.5557 | 0.76034 |
| SPX/VIX | 26.6402 | 25.9783 | 0.3483 |
| SPTSX60/VIXC | 15.7155 | 19.3213 | -1.2634 |
| KOSPI/VKOSPI | 26.781 | 27.3645 | -0.31593 |
| NKY/VNKY | 29.227 | 29.5678 | -0.20037 |
| INDU/VXD | 24.1924 | 23.4958 | 0.33221 |
| NDX/VXN | 27.4897 | 27.3807 | 0.059849 |
No comments:
Post a Comment