Does the volatility risk premium exist in commodities?
Yes. Measured the same way as the equity premium — implied volatility from a CBOE index minus the realized volatility that actually followed — both crude oil and gold have run consistently rich, and by more than the S&P 500 does in oil’s case.
The numbers
Crude oil, measured off OVX against USO since 2007, has averaged a VRP of about +5.8 points, positive on 78% of days. Gold, measured off GVZ against GLD since 2008, has averaged about +2.6 points, positive on 79% of days. Both are comfortably above zero, and both sit alongside the S&P 500’s +3.7 and the Nasdaq-100’s +4.0 on the same measure.
It’s not just an in-sample fluke
Splitting each series in 2016 into an earlier and a later half, oil’s premium actually strengthened out-of-sample (5.3 → 6.1 points) while gold’s softened but stayed clearly positive (3.5 → 2.0 points). Non-overlapping t-tests put both at t > 6.8 with p-values below 1×10⁻¹⁰ — this isn’t noise from a handful of good years.
But the shape is different from equities
The S&P 500’s premium is the textbook “calm most of the time, catastrophic occasionally” distribution — skewness around −3.2. Oil’s is milder, around −0.3, and noisier day to day instead: its VRP standard deviation is roughly 13 points versus the S&P’s 7. Gold lands in between on both counts. Worst single-day readings are comparable in absolute terms across all four markets, roughly −22 to −24 points, despite oil and gold running at much higher average implied-volatility levels to begin with.
Compare all four markets side by side
The cross-asset table lines up the premium, its confidence interval, skew, worst days, and a “right now” reading for the S&P 500, Nasdaq-100, crude oil and gold.
Open the cross-asset view →Common questions
Which commodity has the bigger volatility risk premium, oil or gold?
Crude oil, by a wide margin — an average of about 5.8 points versus gold's 2.6, measured off OVX and GVZ. But oil's premium is also much noisier: its VRP has a standard deviation near 13 points versus gold's roughly 6, so the bigger average comes with a bigger range of outcomes.
Does the commodities premium survive out-of-sample?
Yes for both, though not equally. Crude oil's average VRP actually rose from 5.3 points in-sample to 6.1 points after the 2016 split. Gold's fell from 3.5 to 2.0 points out-of-sample — a real decline, but still solidly positive and highly significant (t ≈ 6.85).
Is the commodities premium riskier to collect than the equity one?
Differently risky. Oil's VRP distribution is far choppier day to day (std ≈ 13.3 vs ≈ 7.0 for the S&P) but its skew is much milder (−0.33 vs −3.2), meaning it lacks the S&P's extreme quiet-then-catastrophe shape. Gold sits in between, with skew around −1.7.
Research and education only — not investment advice. Figures are historical averages over each market’s available history and are not a forecast of the current premium.