Volatility Premiums Are Currently at the All-Time Highs

In the chart below we show the 15-year percentile of various premiums across several asset classes (as of August 2021). Earnings, bond and credit yields are at their 15-year lows. Equity volatility premiums (IV-RV, Term Structure, Skew), on the other hand, are in the 90th percentile. This may be the right time to take a closer look at the equity volatility premiums and their added value in a balanced portfolio.

volatility premiums are currently at the all-time highs

Harold de Boer

Managing Director, Head of R&D


Harold is the architect of Transtrend’s Diversified Trend Program, responsible for R&D, portfolio management and trading. Harold was born and raised on a dairy farm in Drenthe. And from a young age, he has been intrigued by linking mathematics to the real world around us.

He graduated in 1990 with a Master’s degree in Applied Mathematics from the University of Twente in the Netherlands. In the final phase of his studies, while working on the project that would later become Transtrend, he became fascinated by the concept of leptokurtosis — or ‘fat tails’ — in probability distributions, a topic which has inspired him throughout his career.  

Harold’s approach to markets is best described as a combination of a farmer’s common sense and mathematics, never losing sight of the underlying fundamentals.