{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,28]],"date-time":"2026-10-28T08:34:12Z","timestamp":1793176452173,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>&lt;p&gt;&lt;span&gt;This paper rebuilds an equity volatility surface from free, public option data, asks how far it can be trusted, and trades the variance risk premium against it as a worked example. From raw quotes through cleaning, forward extraction, implied-volatility inversion and SVI calibration, the pipeline recovers a known surface exactly on synthetic inputs, so the errors that matter in practice are the data's, concentrated in the wings and the short end. The premium is visible without any model: over 2005 to 2026, VIX exceeded subsequent realised volatility on 85% of days. A short delta-hedged straddle harvests it, with the daily profit and loss attributed to the greeks. The strategy is profitable in a pre-registered development and hold-out split, but the figures are an upper bound, not an edge, resting on VIX as the implied level, a daily rehedge, and costs that omit the real frictions. The components are all established; the contribution is the reliability audit and the honest, pre-registered accounting.&lt;\/span&gt;&lt;\/p&gt;<\/jats:p>","DOI":"10.2139\/ssrn.7664478","type":"posted-content","created":{"date-parts":[[2026,10,28]],"date-time":"2026-10-28T07:46:10Z","timestamp":1793173570000},"source":"Crossref","is-referenced-by-count":0,"title":["Rebuilding an Equity Volatility Surface from Public Data: Reliability and the Variance Risk Premium"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-4042-2514","authenticated-orcid":true,"given":"Yasanji","family":"Ratnaike","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,28]],"date-time":"2026-10-28T07:46:10Z","timestamp":1793173570000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7664478"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7664478","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}