Analysis

Sortino Ratio

By Ryan Silk & Lawrence Polatchek · Reviewed April 2026 · Options Trading Glossary

Risk-adjusted return penalizing only downside volatility

What is Sortino Ratio?

Sortino Ratio A variation of the Sharpe ratio that only penalizes downside volatility, not upside volatility. Calculated as excess return divided by downside deviation. The Sortino ratio is often more appropriate for options strategies because large upside moves should not be penalized as risk. Premium-selling strategies may have better Sortino ratios than Sharpe ratios.

Complete Definition

A variation of the Sharpe ratio that only penalizes downside volatility, not upside volatility. Calculated as excess return divided by downside deviation. The Sortino ratio is often more appropriate for options strategies because large upside moves should not be penalized as risk. Premium-selling strategies may have better Sortino ratios than Sharpe ratios.

Related Terms

Sharpe Ratio Max Drawdown Standard Deviation

Written by

ApexVol Research Team

Quantitative options research

All calculations use live ORATS institutional data — the same source used by professional volatility desks.

Technical reviewer

Ryan Silk, ApexVol Founder

Reviewed for technical accuracy

10+ years trading options. Built ApexVol's pricing engine, Greeks model, and IV-rank methodology.

This guide is updated as market conditions and ORATS data change. Last revised 2026-05-12. How we research →

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