// STUDY RESULT · 2014-06 TO 2026-09

Inspired by Johnson and So: Option-to-Stock Volume

NO EDGE

Unusually heavy options trading relative to underlying-share trading can reveal negative private information when stock shorting is costly. The signal does not require classifying option trades as buys or sells.

How this run differs from the source: Long only, the low option-to-stock volume leg, monthly; the paper's result is a weekly low minus high spread.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	9.7%	13.5%
Sharpe ratio	0.64	0.94
Max drawdown	-29.3%	-23.9%

// GROWTH OF $1, LOG SCALE

AMBER: THE STRATEGY · GREY: $SPXTR BUY & HOLD

Out-of-sample (from the split): CAGR 10.1% against 14.0% for the benchmark; Sharpe -- in-sample, 0.66 out-of-sample.

After 25 bps of trading costs: 5.6% a year. WITHIN RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
2010s	12.0%	11.6%
2020s	7.9%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

2014*3.5%6.1%

20158.8%1.4%

201635.6%12.0%

201713.8%21.8%

2018-12.2%-4.4%

201926.8%31.5%

2020-4.8%18.4%

202132.6%28.7%

2022-12.5%-18.1%

20235.8%26.3%

202410.9%25.0%

20254.6%17.9%

2026*20.2%11.8%

Losing years: 2018 (-12.2%), 2020 (-4.8%), 2022 (-12.5%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Travis L. Johnson & Eric C. So (2012), The Option to Stock Volume Ratio and Future Returns, Journal of Financial Economics · 2012

Weekly O/S = total option contract volume / share volume for each optionable stock
Sort into deciles by O/S
Long the lowest-O/S decile, short the highest
Hold one week, then re-sort

RUN IT YOURSELF ▸ IN THE LIBRARY

A real computation on the QuantGPT warehouse, walk-forward. A study across the whole market includes only part of the companies that later delisted from 1998 (survivors only before); a study on your own list of tickers is not affected. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-11-06 12:02 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE ONLY PARTLY IN THIS UNIVERSE (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE. PRIVACY