Motivated by the global nature of financial risk, we propose a simple measure of global implied volatility (GIV) and show that it better describes international financial market dynamics than the VIX. Predictive evidence on both realized and implied volatilities around the world leads to the conclusion of truly global risk dynamics, not merely US spillovers. A direct global measure of variance risk premium based on GIV predicts expected excess returns in various international equity markets outperforming a previously proposed measure based on cross-market aggregation of local variance risk premia. We show that this is due to the international price of jump risk which is better captured by our global measure of variance risk premium. Foreign exchange markets confirm our findings. Currency portfolios based on our global variance risk premium generate significant value in excess of those based on aggregated local variance risk premia and the US variance risk premium.