Change in put vol minus change in call vol
✓ alivedCPVolSpreadOther· Options data
Take difference of dVolCall and dVolPut
IS Sharpe (1996–2013)
1.685
+14.2% p.a.
OOS Sharpe (2014–2023)
1.272
+8.3% p.a.
Sharpe decay
+24.5%
(IS − OOS) / |IS|
IS vol
8.4%
annualized
Cumulative return (last 40 years, monthly)
+2336%1996-032023-01
Publication details
AuthorsAn, Ang, Bali, Cakici
PaperAn, Ang, Bali, Cakici (2014)
JournalJournal of Finance
Publication year2014
Original sample1996–2011
IS T-statistic6.77
More Other anomalies
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