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arXiv · 2609.01183

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

Jilang Miao·Nonna Sorokina
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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.

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Jilang Miao, Nonna Sorokina. 2026-09-01. Harvesting the Variance Risk Premium in Nuclear and Energy Equities: A Short-Put Portfolio Derisking Strategy. https://arxiv.org/abs/2609.01183

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