{"id":"https://openalex.org/W2152467124","doi":"https://doi.org/10.3905/jpm.2012.38.3.143","title":"Quantifying the Variance Risk Premium in VIX Options","display_name":"Quantifying the Variance Risk Premium in VIX Options","publication_year":2012,"publication_date":"2012-04-30","ids":{"openalex":"https://openalex.org/W2152467124","doi":"https://doi.org/10.3905/jpm.2012.38.3.143","mag":"2152467124"},"language":"en","primary_location":{"id":"doi:10.3905/jpm.2012.38.3.143","doi":"https://doi.org/10.3905/jpm.2012.38.3.143","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jpm.2012.38.3.143","pdf_url":null,"source":{"id":"https://openalex.org/S143806524","display_name":"The Journal of Portfolio Management","issn_l":"0095-4918","issn":["0095-4918","2168-8656"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Portfolio Management","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5113650695","display_name":"Amir Barnea","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I108192572","display_name":"HEC Montr\u00e9al","ror":"https://ror.org/05ww3wq27","country_code":"CA","type":"education","lineage":["https://openalex.org/I108192572"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Amir Barnea","raw_affiliation_strings":["is an assistant professor of finance at HEC Montr\u00e9al in Montr\u00e9al, QC, Canada. amir.barnea@hec.ca"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is an assistant professor of finance at HEC Montr\u00e9al in Montr\u00e9al, QC, Canada. amir.barnea@hec.ca","institution_ids":["https://openalex.org/I108192572"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111967342","display_name":"Reed Hogan","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I106107269","display_name":"Claremont McKenna College","ror":"https://ror.org/04n1me355","country_code":"US","type":"education","lineage":["https://openalex.org/I106107269"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Reed Hogan","raw_affiliation_strings":["is a student in the Robert Day School of Economics and Finance at Claremont McKenna College in Claremont, CA. rhogan11@students.claremontmckenna.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is a student in the Robert Day School of Economics and Finance at Claremont McKenna College in Claremont, CA. rhogan11@students.claremontmckenna.edu","institution_ids":["https://openalex.org/I106107269"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.0635,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.85808614,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"38","issue":"3","first_page":"143","last_page":"148"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7041000127792358,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7041000127792358,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.20720000565052032,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.049400001764297485,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/variance-risk-premium","display_name":"variance risk premium","score":0.9980000257492065},{"id":"https://openalex.org/keywords/vix-options","display_name":"VIX options","score":0.9950000047683716},{"id":"https://openalex.org/keywords/variance-swaps","display_name":"variance swaps","score":0.7979999780654907},{"id":"https://openalex.org/keywords/vix-futures","display_name":"VIX futures","score":0.972000002861023},{"id":"https://openalex.org/keywords/implied-variance","display_name":"implied variance","score":0.7789999842643738},{"id":"https://openalex.org/keywords/realized-variance","display_name":"realized variance","score":0.9509999752044678},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.503000020980835},{"id":"https://openalex.org/keywords/volatility-derivatives","display_name":"volatility derivatives","score":0.4259999990463257}],"concepts":[{"id":"https://openalex.org/C17483445","wikidata":"https://www.wikidata.org/wiki/Q7915765","display_name":"Variance risk premium","level":5,"score":0.8304388523101807},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.8031059503555298},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7475475668907166},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.647580623626709},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.6021186709403992},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5886510610580444},{"id":"https://openalex.org/C99821215","wikidata":"https://www.wikidata.org/wiki/Q1136583","display_name":"Swap (finance)","level":2,"score":0.5159669518470764},{"id":"https://openalex.org/C99560960","wikidata":"https://www.wikidata.org/wiki/Q205258","display_name":"Interest rate swap","level":3,"score":0.5134516954421997},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4869438409805298},{"id":"https://openalex.org/C190896228","wikidata":"https://www.wikidata.org/wiki/Q6557509","display_name":"Liquidity premium","level":4,"score":0.4457976520061493},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4088220000267029},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.3435075283050537},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.21534046530723572},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1252823770046234},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.12033498287200928},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.11307665705680847},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.09195679426193237},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.06523257493972778},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3905/jpm.2012.38.3.143","doi":"https://doi.org/10.3905/jpm.2012.38.3.143","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jpm.2012.38.3.143","pdf_url":null,"source":{"id":"https://openalex.org/S143806524","display_name":"The Journal of Portfolio Management","issn_l":"0095-4918","issn":["0095-4918","2168-8656"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Portfolio Management","raw_type":"journal-article"},{"id":"pmh:oai:scholarship.claremont.edu:cmc_theses-1157","doi":null,"is_oa":false,"landing_page_url":"https://scholarship.claremont.edu/cmc_theses/147","pdf_url":null,"source":{"id":"https://openalex.org/S4306401604","display_name":"Scholarship @ Claremont (The Claremont Colleges)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I872248612","host_organization_name":"Claremont Colleges","host_organization_lineage":["https://openalex.org/I872248612"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"CMC Senior Theses","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17","score":0.5799999833106995}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W297795963","https://openalex.org/W1558455027","https://openalex.org/W2068456731","https://openalex.org/W2117178635","https://openalex.org/W2155923387","https://openalex.org/W2159879678","https://openalex.org/W3023906401","https://openalex.org/W3121459779","https://openalex.org/W3123332101","https://openalex.org/W3125018527","https://openalex.org/W4252571060"],"related_works":["https://openalex.org/W2593372122","https://openalex.org/W2159879678","https://openalex.org/W1751500752","https://openalex.org/W7095411363","https://openalex.org/W7197402913","https://openalex.org/W2905051118","https://openalex.org/W3124368627","https://openalex.org/W3184742731","https://openalex.org/W42060377","https://openalex.org/W7061517369"],"abstract_inverted_index":{"Barnea":[0],"and":[1,88],"Hogan":[2],"use":[3],"synthetically":[4],"created":[5],"variance":[6,13,33,42],"swaps":[7],"onVIX":[8,34],"futures":[9,35],"to":[10],"quantify":[11],"the":[12,25,31,41,45,56,59],"risk":[14,72],"premium":[15,27,49,73],"inVIX":[16],"options.":[17],"The":[18],"results":[19],"of":[20,58],"this":[21],"methodology":[22],"suggest":[23],"that":[24,30,75,79],"average":[26],"is":[28],"-3.26%,meaning":[29],"realized":[32],"is,":[36],"on":[37],"average,":[38],"less":[39],"than":[40],"implied":[43],"by":[44],"swap":[46,60],"rate.":[47],"This":[48],"does":[50],"not":[51],"vary":[52],"with":[53],"time":[54],"or":[55],"level":[57],"rate":[61],"as":[62,64],"much":[63],"premiums":[65],"in":[66],"other":[67],"asset":[68],"classes.":[69],"A":[70],"negative":[71],"implies":[74],"VIX":[76],"option":[77],"strategies":[78],"are":[80],"net":[81],"credit":[82],"should":[83],"be":[84],"profitable.":[85],"TOPICS:Exchanges/markets/clearinghouses,":[86],"interest-rate":[87],"currency":[89],"swaps,":[90],"statistical":[91],"methods":[92]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}
