Victor Viner and Short Options Positions

Mr. Victor Viner, President/CIO/Co-Portfolio Manager, V2 Capital delivered a presentation at CBOE’s 29th Annual Risk Management Conference™ in California on Monday, March 4th.

Joining Mr. Viner on a panel were Mr. John Colville, Chief Investment Officer, City of Sacramento, and Mr. Scott Maidel, Senior Portfolio Manager/Trader, Equity Derivatives, Russell Investments. 

They spoke on a panel that covered the topics of Using Short Options Positions to Manage and Lower Volatility of an Equity Portfolio —

  • Pros and cons of using index options versus individual equity options
  • Creating a portfolio of staggered and laddered option positions to mitigate pin risk and lower overall volatility,
  • Different types of option contacts to use and benefits of each: traditional listed, flex, OTC, weeklys,
  • Using technical and volatility analysis for dynamic strike and tenor selection,
  • Implementing options-based programs in a pension plan.

Mr. Viner noted that there has been a “Volatility Risk Premium” – the difference between the implied volatility of certain index options and the subsequent realized volatility of that index during the life of the option. The difference in volatilities translates into certain index options being priced higher than their theoretical/realized value. The volatility risk premium is primarily due to investors’ willingness to overpay for portfolio downside protection (supply and demand imbalance) combined with the option pricing principle of put-call parity. Certain index option selling strategies have had strong risk-adjusted performance in light of the volatility risk premium.


Exhibit 12 of a 2012 paper by Hewitt EnnisKnupp – “The CBOE S&P 500 BuyWrite Index (BXM) – A Review of Performance” provides an illustration of the volatility risk premium for index options.

For links to white papers that cover the volatility risk premium and index options, please visit