variance premium, the prices of equity index options, and the prices of volatility related derivatives in a long-run risks … driven by the risk of a sudden increase in the overall level of uncertainty. Out-of-the-money equity index put options and … out-of-the-money call options on variance provide insurance against market crashes. Consistent with the data, these …

hedging. Using minute-by-minute data, we examine its price discovery and hedging effectiveness. We find that BitMEX …