Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates of marginal pricing kernels of the market return and...

Using both S&P 500 option and recently introduced VIX option prices, we study pricing kernels and their dependence on multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and the slope of the variance swap term structure. Our...

We dissect the fine structure of volatility risks, as an important component of time-varying investment opportunities, by studying returns on VIX option portfolios. In particular, we provide model-free evidence regarding the two leading channels in modeling volatility risks: stochastic...