Price & Market BehaviorExtended setlive in productionNew

risk-neutral skewness short

Updated dailyData needs: highshort onlylong onlylong short

2013

Conrad, J., Dittmar, R. F. & Ghysels, E. (2013). Ex Ante Skewness and Expected Stock Returns. Journal of Finance, 68(1), 85-124.

Citation only, paper link pending.

In plain terms

Stocks whose options make them look like lottery tickets with big upside tend to disappoint, so this strategy bets against them.

How it works

Ex-ante risk-neutral skewness is negatively related to subsequent returns: stocks whose options price in positive (call-side / lottery-like) skew subsequently underperform, while names with negative (put-side) risk-neutral skew earn higher returns. This is the lottery-demand premium.

Live results

0 times picked on its own · 44 times inside a blend (44 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 44 such blended picks (44 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Options surface daily
End-of-day OPRA option chains used by IV-skew family.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Shorts lottery-like names that the option market over-prices for upside, capturing the negative risk-neutral-skewness premium.

Related families

option-implied kurtosis butterflyPrice & Market Behavior

When options imply the stock could make a big jump in either direction (fat tails), it tends to earn higher returns than when the option market expects a tame, narrow range.

risk-neutral skew term structure spreadPrice & Market Behavior

When near-term options suddenly price in much more crash risk than longer-dated ones, the stock tends to fall as the market catches up.

implied volatility innovation driftPrice & Market Behavior

When traders rush to buy bullish call options on a stock, it often rises afterward; when they rush to buy protective puts, it often falls.

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