Call minus Put Vol
✓ aliveCPVolSpreadOther· Options data
ATM Call vol minus ATM put vol
IS Sharpe (1996–2008)
1.026
+10.3% p.a.
OOS Sharpe (2009–2023)
0.823
+5.3% p.a.
Sharpe decay
+19.8%
(IS − OOS) / |IS|
IS vol
10.0%
annualized
Cumulative return (last 40 years, monthly)
+621%1996-022023-01
Publication details
AuthorsBali and Hovakimian
PaperBali and Hovakimian (2009)
JournalManagement Science
Publication year2009
Original sample1996–2004
IS T-statistic4.20
More Other anomalies
Put volatility minus call volatility+1.70Earnings announcement return+1.39Change in put vol minus change in call vol+1.27Earnings surprise streak+1.25Patents to RD expenses-1.02Change in Taxes+0.78
See all Other anomalies →