OptionVolume2 · Volume · Johnson and So (2012)

Option volume to average

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

Expected return · posterior mean, % per quarter

Next quarter

0.25%

95% interval −0.48% to 1.19%

Next year

0.31%

95% interval −0.45% to 1.20%

Next five years

0.50%

95% interval −0.37% to 1.30%

Next quarter

−0.14%

95% interval −1.05% to 1.03%

Next year

−0.04%

95% interval −0.98% to 1.04%

Next five years

0.25%

95% interval −0.82% to 1.23%

Next quarter

0.32%

95% interval −0.33% to 1.21%

Next year

0.38%

95% interval −0.32% to 1.22%

Next five years

0.55%

95% interval −0.30% to 1.34%

Next quarter

0.17%

95% interval −0.85% to 1.31%

Next year

0.22%

95% interval −0.85% to 1.32%

Next five years

0.35%

95% interval −0.85% to 1.46%

Cumulative market-adjusted return

+178% since 1996Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1996Q2–2023Q3	4.01%	7.41%	0.54	2.84
2018Q4–2023Q3	−0.22%	6.85%	−0.03	−0.07
2022Q4–2023Q3	−1.34%	6.40%	−0.21	−0.21
1996Q2–2023Q3	2.66%	9.64%	0.28	1.45
2018Q4–2023Q3	−5.44%	5.58%	−0.97	−2.18
2022Q4–2023Q3	−4.21%	6.25%	−0.67	−0.67
1996Q2–2023Q3	4.48%	7.12%	0.63	3.30
2018Q4–2023Q3	1.48%	4.86%	0.30	0.68
2022Q4–2023Q3	−2.02%	4.93%	−0.41	−0.41
1996Q2–2023Q3	2.52%	11.67%	0.22	1.13
2018Q4–2023Q3	−2.96%	6.39%	−0.46	−1.04
2022Q4–2023Q3	−4.16%	9.11%	−0.46	−0.46

Horizon	Mean	95% interval	P(neg)
Next quarter	0.067	−0.131 – 0.322	0.33
Next year	0.084	−0.122 – 0.324	0.25
Next five years	0.135	−0.101 – 0.350	0.13
Next quarter	−0.031	−0.221 – 0.213	0.64
Next year	−0.010	−0.207 – 0.216	0.56
Next five years	0.051	−0.170 – 0.255	0.31
Next quarter	0.090	−0.094 – 0.339	0.22
Next year	0.107	−0.091 – 0.343	0.17
Next five years	0.154	−0.085 – 0.376	0.10
Next quarter	0.029	−0.147 – 0.225	0.40
Next year	0.037	−0.147 – 0.227	0.36
Next five years	0.060	−0.145 – 0.250	0.27