ABSTRACT
This study investigates the existence of commonality of volatility risk premium in the index and individual stock options. Using data from the National Stock Exchange (NSE) India, the study finds that the commonality relationship is both economically and statistically significant. The commonality relationship is robust, even after including the market-specific and stock-specific factors.
Acknowledgments
The author gratefully acknowledges the seed-money research grant by the Indian Institute of Management Ranchi.
Disclosure statement
No potential conflict of interest was reported by the author.