Options / Volatility#460tier 3experimental liveNew

`single name vol of vol short`

cadence: Dailydata: 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 →

What it checks

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.

Mechanism

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

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Loading substrate evidence…

Signal rule

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

Data dependencies

options_chain_daily
End-of-day OPRA option chains used by IV-skew family.

Expected edge

Paper window: 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

vol of vol signalMacro

Live-data proxy for the Baltussen-van Bekkum-van der Grient (2018 JFQA) vol-of-vol effect. The literal paper measures uncertainty-about-risk as the volatility of each stock's daily option-implied volatility and finds high vol-of-vol names underperform low vol-of-vol names by ~8%/yr (cross-sectional, monthly quintile sort, long low-VOV / short high-VOV). Per-stock implied-vol data is frozen (options_chain_daily stale at 2023-07-28; the literal version lives in the parked single_name_vol_of_vol_short family), so this family substitutes the realized volatility of VIX itself as a market-wide vol-of-vol proxy and trades single names in the paper's direction: short in high vol-of-vol regimes, long in low vol-of-vol regimes.

Explore `single name vol of vol 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 469 families

single name vol of vol short