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I am thinking that the sharp ratio is not a valid performance metric for a long/short options book, because options are inherently nonlinear and the standard deviation simply cannot correctly capture the risk.

What do you think?

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    $\begingroup$ I think it is generally agreed that Sharpe Ratio is not appropriate for option portfolios. It can give misleading results. Will Goetzmann of Yale, among others, has written about this. $\endgroup$ – Alex C May 15 at 2:18
  • $\begingroup$ @AlexC do they suggest any alternative? I'm thinking about the Greeks etc but unsure. $\endgroup$ – Vim May 15 at 17:51

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