(SVOL) Simplify Volatility Premium - Ratings and Ratios
Futures, Options, Collateral
| Risk via 10d forecast | |
|---|---|
| Volatility | 20.1% |
| Value at Risk 5%th | 33.3% |
| Relative Tail Risk | 0.54% |
| Reward TTM | |
|---|---|
| Sharpe Ratio | -0.04 |
| Alpha | -25.50 |
| Character TTM | |
|---|---|
| Hurst Exponent | 0.403 |
| Beta | 1.828 |
| Beta Downside | 1.562 |
| Drawdowns 3y | |
|---|---|
| Max DD | 33.50% |
| Mean DD | 3.60% |
| Median DD | 1.01% |
Description: SVOL Simplify Volatility Premium October 22, 2025
The Simplify Volatility Premium ETF (SVOL) seeks to capture the premium embedded in VIX futures by actively trading VIX futures contracts as well as buying and selling call and put options on those futures. To meet margin requirements and manage liquidity, the fund allocates the remainder of its assets to cash, cash-like instruments, or high-quality fixed-income securities, collectively referred to as “Collateral.”
Key operational metrics (as of the latest filing) include an expense ratio of 0.35% and roughly $250 million in assets under management, with an average daily trading volume of about 150,000 shares, indicating moderate liquidity. The fund’s performance is highly sensitive to the term structure of VIX futures-specifically, a steep contango environment tends to erode returns via roll-down, while backwardation can enhance the volatility premium capture. Macro-level drivers such as Federal Reserve policy shifts, inflation expectations, and geopolitical events that spike market uncertainty directly influence VIX levels and, consequently, SVOL’s risk-adjusted returns.
If you’re evaluating volatility-based strategies, a deeper dive into ValueRay’s analytics platform can help you quantify the expected roll yield and tail-risk profile of SVOL relative to other volatility-linked ETFs.
SVOL ETF Overview
| Market Cap in USD | 695m |
| Category | Large Blend |
| TER | 1.16% |
| IPO / Inception | 2021-05-12 |
| Return 12m vs S&P 500 | -16.9% |
| Analyst Rating | - |
SVOL Dividends
| Metric | Value |
|---|---|
| Dividend Yield | 18.01% |
| Yield on Cost 5y | 25.04% |
| Yield CAGR 5y | 40.62% |
| Payout Consistency | 95.4% |
| Payout Ratio | - |
SVOL Growth Ratios
| Metric | Value |
|---|---|
| CAGR 3y | 10.00% |
| CAGR/Max DD Calmar Ratio | 0.30 |
| CAGR/Mean DD Pain Ratio | 2.78 |
| Current Volume | 429.3k |
| Average Volume | 356.8k |
What is the price of SVOL shares?
Over the past week, the price has changed by -2.87%, over one month by +1.37%, over three months by +4.66% and over the past year by -4.79%.
Is SVOL a buy, sell or hold?
What are the forecasts/targets for the SVOL price?
| Issuer | Target | Up/Down from current |
|---|---|---|
| Wallstreet Target Price | - | - |
| Analysts Target Price | - | - |
| ValueRay Target Price | 22.6 | 30.9% |
SVOL Fundamental Data Overview November 04, 2025
Beta = 0.69
Revenue TTM = 0.0 USD
EBIT TTM = 0.0 USD
EBITDA TTM = 0.0 USD
Long Term Debt = unknown (none)
Short Term Debt = unknown (none)
Debt = unknown
Net Debt = unknown
Enterprise Value = 695.5m USD (695.5m + (null Debt) - (null CCE))
Interest Coverage Ratio = unknown (Ebit TTM 0.0 / Interest Expense TTM 0.0)
FCF Yield = 0.0% (FCF TTM 0.0 / Enterprise Value 695.5m)
FCF Margin = unknown (Revenue TTM is 0 or missing)
Net Margin = unknown
Gross Margin = unknown ((Revenue TTM 0.0 - Cost of Revenue TTM 0.0) / Revenue TTM)
Tobins Q-Ratio = unknown (Enterprise Value 695.5m / Total Assets none)
Interest Expense / Debt = unknown (Interest Expense 0.0 / Debt none)
Taxrate = 21.0% (US default 21%)
NOPAT = 0.0 (EBIT 0.0 * (1 - 21.00%))
Current Ratio = unknown (Total Current Assets none / Total Current Liabilities none)
Debt / Equity = unknown (Debt none)
Debt / EBITDA = unknown (Net Debt none / EBITDA 0.0)
Debt / FCF = unknown (Net Debt none / FCF TTM 0.0)
Total Stockholder Equity = 0.0 (from calculated bookValueOfEquity)
RoA = unknown (Net Income 0.0 / Total Assets none)
RoE = unknown (Net Income TTM 0.0 / Total Stockholder Equity 0.0)
RoCE = unknown (EBIT 0.0 / Capital Employed )
RoIC = unknown (NOPAT 0.0, Invested Capital 0.0, EBIT 0.0)
WACC = 12.75% (E(695.5m)/V(695.5m) * Re(12.75%) + (debt-free company))
Discount Rate = 12.75% (= CAPM, Blume Beta Adj.)
Fair Price DCF = unknown (Cash Flow 0.0)
Additional Sources for SVOL ETF
Tweets: X | Stocktwits
Fund Manager Positions: Dataroma | Stockcircle