OptionVolume1 · Volume · Johnson and So (2012)

Option to stock volume

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1996Q2 to 2023Q3.

Expected return · posterior mean, % per quarter

Next quarter

−0.44%

95% interval −1.43% to 1.01%

Next year

−0.29%

95% interval −1.38% to 1.06%

Next five years

0.13%

95% interval −1.26% to 1.46%

Next quarter

1.20%

95% interval 0.21% to 2.38%

Next year

1.20%

95% interval 0.10% to 2.42%

Next five years

1.22%

95% interval −0.25% to 2.57%

Next quarter

−0.34%

95% interval −1.78% to 1.63%

Next year

−0.17%

95% interval −1.67% to 1.66%

Next five years

0.33%

95% interval −1.41% to 1.95%

Next quarter

1.65%

95% interval 0.35% to 3.09%

Next year

1.66%

95% interval 0.25% to 3.09%

Next five years

1.70%

95% interval −0.02% to 3.20%

Cumulative market-adjusted return

+102% since 1996Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1996Q2–2023Q3	3.30%	12.29%	0.27	1.41
2018Q4–2023Q3	−4.56%	10.47%	−0.44	−0.98
2022Q4–2023Q3	−10.81%	10.80%	−1.00	−1.00
1996Q2–2023Q3	7.75%	13.13%	0.59	3.09
2018Q4–2023Q3	1.29%	11.83%	0.11	0.24
2022Q4–2023Q3	−0.31%	7.00%	−0.04	−0.04
1996Q2–2023Q3	4.66%	15.06%	0.31	1.62
2018Q4–2023Q3	−5.35%	14.35%	−0.37	−0.83
2022Q4–2023Q3	−16.94%	15.84%	−1.07	−1.07
1996Q2–2023Q3	9.73%	15.67%	0.62	3.26
2018Q4–2023Q3	2.20%	14.75%	0.15	0.33
2022Q4–2023Q3	−3.34%	8.54%	−0.39	−0.39

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.073	−0.239 – 0.164	0.79
Next year	−0.049	−0.228 – 0.173	0.71
Next five years	0.021	−0.205 – 0.237	0.42
Next quarter	0.184	0.033 – 0.363	0.01
Next year	0.184	0.015 – 0.368	0.02
Next five years	0.186	−0.038 – 0.391	0.05
Next quarter	−0.046	−0.243 – 0.217	0.68
Next year	−0.023	−0.226 – 0.221	0.60
Next five years	0.044	−0.187 – 0.260	0.34
Next quarter	0.211	0.045 – 0.395	0.01
Next year	0.212	0.032 – 0.396	0.01
Next five years	0.217	−0.002 – 0.409	0.03