Using exchange-traded fund (ETF) options data, we examine return predictability of variance risk premium in four commodity markets: crude oil, natural gas, gold and silver. We also analyze return predictability of upside and downside variance risk premiums using a decomposition model conditional...

Given the exponential growth in ETF trading over the past decade, we consider the proposition that trading in ETFs transmits volatility to their largest component stocks and thus to the stock market in general. We find empirical support for this proposition, since volatility spillovers from ETFs...