The volatility risk premium, where implied volatility is higher than realized volatility, exists in various assets globally. Shorting delta hedged straddles in bonds, credits, commodities, currencies, and equity indices generates significant returns. Combining these portfolios creates a diversified global volatility risk premium factor with a Sharpe ratio of 1.45. The excess returns are not fully explained by downside risk, volatility risk, or factor exposures. A common risk component is identified, with drawdowns during recessions when volatility rises across all asset classes. Alternative hedging and weighting schemes can further enhance the premium.