Rebuilding an Equity Volatility Surface from Public Data: Reliability and the Variance Risk Premium
A pipeline reconstructs equity volatility surfaces from free options data and assesses reliability; a short delta-hedged straddle harvests the variance risk premium, profitable in pre-registered tests but with realistic frictions limiting the edge.
Featured in No. 137 on 30 Oct 2026 · 2 days after release
- Released
- 28 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7664478
- Authors
- Yasanji Ratnaike
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).