This is a summary of links featured on Quantocracy on Friday, 08/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Variance Risk Premium is Pervasive [Alpha Architect]The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility sellersthose willing to write volatility insurance options, collect the premiums and bear the risk that realized volatility will increase by more than implied volatility.