dVolCall · Informed trading · An, Ang, Bali, Cakici (2014)

Change in call vol

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1996Q2 to 2022Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.47%

95% interval −0.71% to 1.83%

Next year

0.52%

95% interval −0.78% to 1.90%

Next five years

0.67%

95% interval −1.00% to 2.24%

Next quarter

1.18%

95% interval 0.31% to 2.11%

Next year

1.16%

95% interval 0.21% to 2.15%

Next five years

1.12%

95% interval −0.15% to 2.30%

Next quarter

1.46%

95% interval −0.01% to 2.80%

Next year

1.37%

95% interval −0.15% to 2.85%

Next five years

1.11%

95% interval −0.79% to 2.99%

Next quarter

1.26%

95% interval 0.30% to 2.30%

Next year

1.24%

95% interval 0.15% to 2.38%

Next five years

1.17%

95% interval −0.34% to 2.62%

Cumulative market-adjusted return

+141% since 1996Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1996Q2–2022Q4	4.50%	15.73%	0.29	1.48
2018Q1–2022Q4	−1.04%	8.61%	−0.12	−0.27
2022Q1–2022Q4	−3.98%	5.42%	−0.73	−0.73
1996Q2–2022Q4	6.58%	11.83%	0.56	2.88
2018Q1–2022Q4	5.22%	6.67%	0.78	1.75
2022Q1–2022Q4	6.29%	6.13%	1.03	1.03
1996Q2–2022Q4	5.78%	18.45%	0.31	1.62
2018Q1–2022Q4	5.50%	11.49%	0.48	1.07
2022Q1–2022Q4	24.47%	5.47%	4.47	4.47
1996Q2–2022Q4	7.42%	13.81%	0.54	2.78
2018Q1–2022Q4	6.99%	7.98%	0.88	1.96
2022Q1–2022Q4	6.98%	4.84%	1.44	1.44

Horizon	Mean	95% interval	P(neg)
Next quarter	0.060	−0.091 – 0.233	0.24
Next year	0.066	−0.100 – 0.242	0.23
Next five years	0.085	−0.127 – 0.285	0.21
Next quarter	0.201	0.053 – 0.357	0.00
Next year	0.197	0.035 – 0.364	0.01
Next five years	0.189	−0.026 – 0.388	0.04
Next quarter	0.161	−0.001 – 0.308	0.03
Next year	0.150	−0.016 – 0.312	0.04
Next five years	0.120	−0.086 – 0.325	0.12
Next quarter	0.185	0.045 – 0.336	0.00
Next year	0.181	0.022 – 0.346	0.01
Next five years	0.170	−0.050 – 0.379	0.06