---
title: Rebuilding an Equity Volatility Surface from Public Data: Reliability and the Variance Risk Premium
url: https://www.ml-quant.com/papers/ssrn/7664478/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-30
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7664478
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7664478
featured: 2026-10-30
citations: unknown
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7664478
- Identifier: SSRN 7664478
- Released: 2026-10-28
- First featured: Quant Letter No. 137 (2026-10-30): https://www.ml-quant.com/issues/2026-10-30/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Yasanji Ratnaike

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