We provide non-parametric empirical evidence regarding negative volatility risk premium using LIFFE equity index options. In addition, we incorporate the moment-adjusted option delta hedge ratio to mitigate the effect of model misspecification. From the results, we observe several interesting phenomena. First, the delta-hedged gains are negative. Second, with a correction for model misspecification, higher-order moments measures show less significance and the volatility risk premium still plays a key role in affecting delta-hedged gains. All empirical evidence supports the existence of negative volatility risk premium in LIFFE equity index options.