The idea worth investigating
FPM monthly SPY adaptation, 169 complete cycles entered from June 2012 to June 2026 and settled through July 17, 2026. The figure is twelve times mean monthly option P&L divided by the previous-session SPY close, using 15:55 asks and $0.65 entry commission per contract. It is not a portfolio CAGR. Its 95% six-month block-bootstrap interval is -5.77% to +0.68%, which includes zero. Financing, early exercise and delivery costs are excluded.
Scope: a completed post-2012 SPY house adaptation with all monthly cycles accounted for. It does not reproduce the paper's earlier sample, SPX instruments, delta hedges or CAPM-alpha tests.
An insurance premium can be fairly priced and still be an uncomfortable recurring expense. That distinction gets lost when a finding about risk-adjusted returns turns into a claim that protection has become free.
Ian Dew-Becker and Stefano Giglio's June 2, 2026 paper, The Decline of the S&P 500 Variance Risk Premium, finds a change in the historical behavior of S&P 500 option returns around 2012. We asked a narrower implementation question: what did later monthly SPY puts and straddles cost to carry at quoted asks? Original paper
Explore the FPM tail-risk research archive | Our research approach
Paid analysis on Substack
See what changes the investment case.
The headline is the starting point. The subscriber analysis takes you through:
- The put-versus-straddle results and their subperiod differences.
- What changes when returns are measured against premium instead of stock notional.
- The timing and calendar corrections, and what the test can say about the paper.
AI assists curation and drafting. The research status distinguishes paper reviews from house tests. Read our research approach.