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