If the evolution of equity index volatility and the pricing kernel were to be absent of risks unspanned by index futures, it would counterfactually imply that (i) the expected excess return of OTM calls on futures is positive, (ii) the expected excess return of straddles is approximately zero,...

The VIX futures curve is most often in contango but displays backwardation during unfavorable market conditions. We construct an explanation based on the notion of stochastic orders of volatility uncertainty – meaning that investors view short-dated volatility uncertainty as being less likely...

We examine the pricing of variance swaps and some generalizations and variants such as self-quantoed variance swaps, gamma swaps, skewness swaps and proportional variance swaps.We consider the pricing of both discretely monitored and continuously monitored versions of these swaps when the...