14.6%/yr. Sharpe 3.18. And it’s not option momentum: it’s option factor momentum.

A Journal of Financial and Quantitative Analysis paper finds strong momentum across 28 equity option factors.

• Build 28 delta-hedged option factors (value-like, vol-risk-like, illiquidity-like, etc.).

• Run classic momentum on the factors (TSFM / CSFM), rebalanced monthly.

• You get ~6.5% to 14.6% annualized, with very high Sharpe ratios across formation windows.

The surprising part: it’s not just autocorrelation. The gains are mostly driven by persistent differences in mean factor returns—some option factors are “permanent winners.”

Thanks, QuantSeeker , for the great find!