The Shape of a Public-Data Volatility Surface: Term-Structure Carry, and the Limits of Measuring Skew
Tests term-structure and skew trading signals in equity volatility from free public data, showing term-structure carry lifts Sharpe ratio to 2.94 but skew lacks sufficient historical data.
Featured in No. 138 on 6 Nov 2026 · 6 days after release
- Released
- 31 Oct 2026
- First featured
- No. 138 · 6 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7670046
- Authors
- Yasanji Ratnaike
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).