Price & Market BehaviorExtended setexperimental liveNew

Single Name Volatility Of Volatility Short

Updated dailyData needs: mediumshort onlylong onlylong short

2018

Baltussen, G., van Bekkum, S., & van der Grient, B. (2018). Unknown Unknowns: Uncertainty About Risk and Stock Returns. JFQA, 53(4), 1615-1651.

Read the paper →

In plain terms

Baltussen, van Bekkum & van der Grient (2018): single-stock uncertainty-about-risk (vol-of-vol = rolling stdev of a name's ATM IV) forecasts LOW returns (~10%/yr spread), distinct from idio-vol and the lottery/MAX effect, driven by investor Backtest uses pre-2023 options history while the live options feed is being rebuilt.

How it works

Baltussen, van Bekkum & van der Grient (2018): single-stock uncertainty-about-risk (vol-of-vol = rolling stdev of a name's ATM IV) forecasts LOW returns (~10%/yr spread), distinct from idio-vol and the lottery/MAX effect, driven by investors overpaying for uncertainty-about-risk. Compute per-ticker vol-of-vol as trailing 21-30d stdev of atm_iv divided by its mean (coeff of variation), z-score over

Live results

33 times picked on its own · 48 times inside a blend (42 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 48 such blended picks (42 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)

Loading substrate evidence…

Data dependencies

Options chain daily
End-of-day OPRA option chains used by IV-skew family.

Expected edge

Tested over: Modern daily equity data

behavioral premium; decay risk 3/5.

Example tickers where this is likely to fire

SPY AAPL NVDA TSLA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Volatility Of Volatility SignalEconomy & Policy

When the market's 'fear gauge' (VIX) is itself swinging wildly -- high vol-of-vol -- that uncertainty-about-risk predicts weak forward returns, so the strategy leans short; when VIX is calm and steady, it leans long. It applies the academic vol-of-vol effect (high vol-of-vol underperforms) to single stocks using VIX as a live stand-in for per-stock options data.

Explore Single Name Volatility Of Volatility Short on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 572 families