Highlights

  • The Volatility Risk Premium (VRP) is the difference between the standard deviation of daily returns for the S&P 500® Index and the average closing price of the Cboe® Volatility Index (the VIX®).
  • The VRP has remained persistently high during the strong equity market recovery of the past 18 months.
  • This means that S&P 500® Index options buyers continue to overpay by an above-average amount.
  • Index option strategies that seek to maintain equity market correlation while delivering consistently lower risk may be an appealing way to maintain equity exposure during a period of uncertainty.

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