OptionVolume2 · Volume · Johnson and So (2012)

Option volume to average

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

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

1.91%

95% interval −1.04% to 5.13%

Next year

2026Q4–2027Q3

1.93%

95% interval −1.07% to 5.15%

Next five years

2026Q4–2031Q3

2.03%

95% interval −1.20% to 5.27%

Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2023Q3. The 12 quarters between then and 2026Q4 are unobserved and are integrated out under the model.

Cumulative market-adjusted return

+219% since 1996Q2 · log scale

Past performance, annualized

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

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.19	−0.24 – 0.66	0.23
2026Q4–2027Q3	0.19	−0.22 – 0.65	0.22
2026Q4–2031Q3	0.19	−0.16 – 0.64	0.20
2026Q4	−0.02	−0.44 – 0.44	0.55
2026Q4–2027Q3	−0.01	−0.39 – 0.44	0.54
2026Q4–2031Q3	0.03	−0.28 – 0.43	0.48
2026Q4	0.27	−0.15 – 0.72	0.12
2026Q4–2027Q3	0.26	−0.13 – 0.71	0.12
2026Q4–2031Q3	0.24	−0.11 – 0.70	0.12
2026Q4	0.08	−0.30 – 0.46	0.34
2026Q4–2027Q3	0.08	−0.28 – 0.46	0.34
2026Q4–2031Q3	0.09	−0.23 – 0.46	0.32