TY - JOUR T1 - Still Not Cheap: <em>Portfolio Protection in Calm Markets</em> JF - The Journal of Portfolio Management SP - 108 LP - 120 DO - 10.3905/jpm.2015.41.4.108 VL - 41 IS - 4 AU - Roni Israelov AU - Lars N. Nielsen Y1 - 2015/07/31 UR - https://pm-research.com/content/41/4/108.abstract N2 - Recent equity volatility is near all-time lows. Option prices are also low. Many analysts suggest this represents a good opportunity to purchase put options for portfolio insurance. It is well-known that portfolio insurance is expensive on average, but what about in calm markets? History suggests it still is. The authors investigate the relationship between option richness and volatility across 10 global equity indexes. Option prices may be low, but their expected values tend to be even lower.TOPICS: Global, portfolio management/multi-asset allocation ER -