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Omega ratio

The ratio of probability-weighted gains above a threshold to probability-weighted losses below it, using the whole return distribution.

Omega divides the area of the return distribution above a chosen threshold by the area below it. At a zero threshold, a strategy whose gains sum to 180 units and whose losses sum to 100 has an omega of 1.8.

Its appeal is that it uses every moment of the distribution - mean, variance, skew, kurtosis - rather than just the first two, so it does not assume normality. It also changes with the threshold you pick, which is a feature: plotting omega across thresholds shows how a strategy performs for investors with different requirements, and two strategies can swap ranking as the bar rises.

In practice it is close to a generalised profit-factor on returns rather than trades, and it inherits the same limitation as every historical measure: rare large losses that have not occurred yet contribute nothing to the denominator.

Related: profit-factor, gain-to-pain-ratio, return-skew, sortino-ratio

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

The volatility smile across strikesImplied volatility plotted against strike, dipping near the money and turning up at both ends, more steeply on the downside.Implied volatility32%28%24%20%8090110120Puts below the money cost moreFar calls cost more tooLowest IV near the moneyATM 100Strike price
The volatility smile. Options on the same stock and the same expiry are not priced off one volatility. Strikes near the money carry the lowest implied volatility, and it rises towards both ends — usually faster on the downside, which tilts the smile into a skew.

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