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Estadísticas › Opciones, shorts y posicionamiento › The VRP decline

The variance risk premium declined, and the break is dated 2012, not 2018

1987 to 2001: -0.74-0.741987 to 2001After 2001: -0.09-0.09After 2001After 2012: 0.12+0.12After 2012

Sharpe ratio of a long S&P 500 straddle position. Monthly data from August 1987 to August 2025, 457 observations. A short straddle is the mirror of this, so the premium available to a seller fell from large to approximately zero and then changed sign over these three windows.

Formal break tests put the decline in the S&P 500 variance risk premium at August 2012, with alternative tests pointing to 2006, 2009 and 2010. None of them points to 2018. Long straddle Sharpe ratios went from minus 0.74 before 2001 to plus 0.12 after 2012.

-0.74Long straddle Sharpe ratio, 1987 to 2001
-0.09The same after 2001
+0.12The same after 2012
2.2 pointsDecline in the rolling ten year average VIX, first window to last

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