Variance Risk Premiums of Commodity ETFs

摘要: We propose a model-independent method to account for the early exercise premiums in American options on non-dividend paying stocks. find that our estimates of premium are generally larger than by existing methods. Given Exchange-Traded Funds (ETFs) gold, silver, natural gas, and crude oil, we strong empirical evidence variance risk these commodities, over volatility term structure up 18 months. Furthermore, show indexes constructed using methods tend overestimate risk-neutral variance, consequently magnitude premium. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:452–472, 2017