ApexVol Terminal
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What is Sharpe Ratio?
Sharpe Ratio A measure of risk-adjusted return calculated as the excess return (above the risk-free rate) divided by the standard deviation of returns. Higher Sharpe ratios indicate better risk-adjusted performance. Options strategies that consistently sell premium often have high Sharpe ratios during calm markets but can suffer during tail events.
Complete definition
A measure of risk-adjusted return calculated as the excess return (above the risk-free rate) divided by the standard deviation of returns. Higher Sharpe ratios indicate better risk-adjusted performance. Options strategies that consistently sell premium often have high Sharpe ratios during calm markets but can suffer during tail events.
Example
Strategy A returns 15% with 20% volatility (Sharpe 0.65). Strategy B returns 10% with 10% volatility (Sharpe 0.90). B has better risk-adjusted performance.
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ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
- Live chains and Greeks
- IV rank and percentile
- Expected move and GEX
- Screener and strategy P&L
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