Options
EdgeOptions9 min read

The Variance Risk Premium: Being Paid to Insure

Implied volatility exceeds realised volatility most of the time. Most is not always, and the exception is the entire risk.

The premium and why it exists

Options buyers are, in aggregate, buying protection, and protection is worth paying above fair value for. The seller earns that excess as compensation for accepting losses that arrive suddenly and correlate with everything else falling. It is an insurance business, and it should be understood as one.

The return profile, stated plainly

Frequent small premium collection punctuated by rare large losses. An account that sells volatility with insufficient capital will show excellent statistics right up until the single event that ends it. The statistics are not wrong; they are describing the calm period.

What automation contributes

Options are the most parameter-heavy instruments retail can access — strike, expiry, delta, sizing, roll rules, adjustment triggers. Encoding all of it removes the discretionary drift that destroys most manual sellers, who widen their rules after a loss. The machine's contribution is that it does not negotiate with itself.

The limit of automation

Deciding how much of this to run at all is a capital-structure decision, not a signal. No amount of automation makes an under-capitalised short-volatility book safe.

Educational, not directive. This is analysis of how a market behaves, not a recommendation to act in it. Strategy detail with conviction scoring and live sample sizes lives in the vault.
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