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Harvesting the Variance Risk Premium in Nuclear and Energy Equities: A Short-Put Portfolio Derisking Strategy

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  • Jilang Miao
  • Nonna Sorokina

Abstract

We study whether nuclear and energy-adjacent equity options exhibit a harvestable variance risk premium. Using CRSP and OptionMetrics data for 2000-2024, we construct a systematic cash-secured short-put strategy on a curated universe of nuclear-related firms. The strategy compares at-the-money put implied volatility with GARCH-based realized volatility forecasts, then evaluates unconditional and IV/RV-filtered put-writing portfolios. The results show positive average option premia, high win rates, and substantially lower volatility than an equal-weight stock benchmark, though performance is measured before transaction costs and with a fixed universe.

Suggested Citation

  • Jilang Miao & Nonna Sorokina, 2026. "Harvesting the Variance Risk Premium in Nuclear and Energy Equities: A Short-Put Portfolio Derisking Strategy," Papers 2609.01183, arXiv.org.
    • Handle: RePEc:arx:papers:2609.01183
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    References listed on IDEAS

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    1. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
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    3. Weibezahn, Jens & Steigerwald, Björn, 2024. "Fission for funds: The financing of nuclear power plants," Energy Policy, Elsevier, vol. 195(C).
    4. Gurdip Bakshi & Nikunj Kapadia, 2003. "Delta-Hedged Gains and the Negative Market Volatility Risk Premium," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 527-566.
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