====================================================================== EXTENDED DESCRIPTIVE STATISTICS ====================================================================== --- PANEL A: SUMMARY STATISTICS --- count mean std 1% 50% 99% skewness kurtosis pct_missing iv_atm_30d 236475.0 2.406000e-01 1.155000e-01 0.0973 0.2125 6.548000e-01 2.2136 10.9243 10.5559 iv_atm_90d 131476.0 2.438000e-01 1.036000e-01 0.1066 0.2196 6.097000e-01 1.8267 5.6194 50.2706 iv_term_slope 124270.0 2.200000e-03 3.640000e-02 -0.1173 0.0077 7.010000e-02 -1.7042 49.6048 52.9962 iv_skew_25d 228312.0 3.870000e-02 4.040000e-02 -0.0171 0.0343 1.447000e-01 16.0977 788.0617 13.6435 implied_skewness 229856.0 3.812000e-01 2.965000e-01 -0.1329 0.3604 1.006400e+00 10.6375 386.8267 13.0595 implied_kurtosis_proxy 236436.0 1.261300e+00 2.720000e-01 0.9974 1.2160 1.977700e+00 14.6684 469.4937 10.5706 pc_volume_ratio 264365.0 1.283100e+00 4.314400e+00 0.1184 0.8453 7.682400e+00 117.6654 22206.9121 0.0068 pc_oi_ratio 264360.0 1.155700e+00 7.231000e-01 0.3912 0.9838 3.463100e+00 41.6377 7371.4505 0.0087 net_gamma_exposure 264383.0 -6.003201e+37 3.836201e+40 -78811.6665 624.4674 9.660499e+04 -33.7103 76626.1345 0.0000 avg_vega_30d 244920.0 -1.941540e+31 8.519509e+33 0.0023 0.0464 2.601100e+00 -297.5322 99056.5173 7.3617 avg_theta_30d 244919.0 -1.452216e+31 5.567072e+33 -1.0364 -0.0188 -1.300000e-03 -137.4559 75055.4690 7.3620 total_option_volume 264383.0 9.984811e+04 2.668014e+05 542.0000 21782.0000 1.411186e+06 6.1936 55.5443 0.0000 total_oi 264383.0 1.131088e+06 2.393080e+06 17757.1000 326245.0000 1.376502e+07 4.3150 21.7829 0.0000 rv_daily 264383.0 4.000000e-04 1.500000e-03 0.0000 0.0002 3.800000e-03 65.0192 8080.4902 0.0000 rvol_daily 264383.0 1.610000e-02 1.200000e-02 0.0040 0.0131 6.160000e-02 5.2504 78.3677 0.0000 rv_weekly 264376.0 2.000000e-03 4.500000e-03 0.0001 0.0010 1.630000e-02 18.2732 687.8067 0.0026 daily_return 264383.0 5.000000e-04 1.740000e-02 -0.0486 0.0006 4.850000e-02 -0.1369 16.5941 0.0000 realized_skew 264383.0 1.047000e-01 1.760400e+00 -4.8883 0.0428 5.533800e+00 0.2373 3.9964 0.0000 realized_kurt 264383.0 1.141450e+01 1.081380e+01 2.9512 7.7880 5.530910e+01 3.6147 21.0752 0.0000 ret_1d 264383.0 5.000000e-04 1.740000e-02 -0.0486 0.0006 4.850000e-02 -0.1369 16.5894 0.0000 ret_5d 264376.0 2.500000e-03 3.760000e-02 -0.1073 0.0035 1.035000e-01 -0.3666 11.4935 0.0026 rv_fwd_1d 264383.0 4.000000e-04 1.500000e-03 0.0000 0.0002 3.800000e-03 65.0343 8083.1092 0.0000 rv_fwd_5d 264376.0 2.000000e-03 4.500000e-03 0.0001 0.0010 1.630000e-02 18.2834 688.6317 0.0026 --- PANEL B: COVERAGE BY YEAR --- n_obs n_tickers avg_iv_atm avg_rv avg_skew avg_ret std_ret year 2010 15218 62 0.264696 0.000547 0.049470 0.000471 0.017329 2011 15569 62 0.282896 0.000563 0.061525 -0.000004 0.020206 2012 15500 62 0.228746 0.000326 0.040406 0.000533 0.014915 2013 15874 63 0.200215 0.000254 0.028301 0.001190 0.013839 2014 16065 64 0.185413 0.000254 0.026055 0.000407 0.012904 2015 16099 65 0.212680 0.000339 0.038343 0.000207 0.015066 2016 16466 66 0.215971 0.000344 0.041839 0.000490 0.015395 2017 16566 66 0.173390 0.000209 0.025553 0.000868 0.011458 2018 16654 68 0.225917 0.000464 0.036186 -0.000083 0.017526 2019 16882 68 0.216182 0.000276 0.040292 0.000988 0.015218 2020 17125 68 0.346799 0.000966 0.061179 0.000695 0.027671 2021 17254 69 0.245828 0.000301 0.033569 0.000899 0.015757 2022 17229 69 0.312147 0.000542 0.056636 -0.000773 0.021792 2023 17246 69 0.237981 0.000285 0.037973 0.000841 0.015617 2024 17386 69 0.232136 0.000313 0.021159 0.000597 0.016418 2025 17250 69 0.264178 0.000422 0.033779 0.000551 0.019689 --- PANEL C: BY ASSET GROUP --- Group N_obs N_tickers Date_min Date_max Mean_IV_ATM Std_IV_ATM Mean_RV Mean_Skew Mean_Ret_1d Std_Ret_1d Mean_PC_ratio Stocks 188093 49 2010-01-04 2025-12-31 0.266355 0.120010 0.000486 0.036146 0.000542 0.019017 0.890054 ETFs 64256 17 2010-01-04 2025-12-31 0.178387 0.073895 0.000200 0.042540 0.000349 0.012498 2.345458 Indices 12034 3 2010-01-04 2025-12-31 0.182273 0.071067 0.000135 0.056217 0.000472 0.012897 1.754490 All 264383 69 2010-01-04 2025-12-31 0.240597 0.115464 0.000401 0.038731 0.000492 0.017402 1.283119 --- PANEL D: CORRELATION MATRIX --- iv_atm_30d iv_term_slope iv_skew_25d implied_skewness implied_kurtosis_proxy pc_volume_ratio pc_oi_ratio rv_daily rv_weekly ret_1d ret_5d iv_atm_30d 1.000 -0.535 0.279 -0.228 -0.243 -0.067 -0.153 0.330 0.503 0.021 -0.072 iv_term_slope -0.535 1.000 -0.257 0.065 0.157 0.010 0.064 -0.230 -0.317 -0.002 0.102 iv_skew_25d 0.279 -0.257 1.000 0.484 0.162 0.059 0.126 0.160 0.249 0.010 -0.109 implied_skewness -0.228 0.065 0.484 1.000 0.693 0.100 0.265 -0.034 -0.052 -0.004 -0.027 implied_kurtosis_proxy -0.243 0.157 0.162 0.693 1.000 0.050 0.134 -0.057 -0.080 -0.008 0.071 pc_volume_ratio -0.067 0.010 0.059 0.100 0.050 1.000 0.149 -0.013 -0.021 -0.002 -0.016 pc_oi_ratio -0.153 0.064 0.126 0.265 0.134 0.149 1.000 -0.038 -0.069 -0.003 -0.009 rv_daily 0.330 -0.230 0.160 -0.034 -0.057 -0.013 -0.038 1.000 0.567 0.006 -0.073 rv_weekly 0.503 -0.317 0.249 -0.052 -0.080 -0.021 -0.069 0.567 1.000 0.009 -0.052 ret_1d 0.021 -0.002 0.010 -0.004 -0.008 -0.002 -0.003 0.006 0.009 1.000 0.438 ret_5d -0.072 0.102 -0.109 -0.027 0.071 -0.016 -0.009 -0.073 -0.052 0.438 1.000 --- PANEL E: AUTOCORRELATION STRUCTURE --- lag 1 5 10 22 variable daily_return -0.0618 -0.0104 -0.0058 -0.0299 iv_atm_30d 0.9593 0.8605 0.7526 0.5376 iv_skew_25d 0.8320 0.7112 0.5930 0.4160 pc_volume_ratio 0.2992 0.2182 0.1717 0.1180 rv_daily 0.3197 0.2109 0.1387 0.0573 --- PANEL G: CROSS-SECTIONAL DISPERSION --- iv_atm_cs_std skew_cs_std rv_cs_std ret_cs_std n_tickers year 2010 0.097143 0.042235 0.002386 0.017329 62 2011 0.124911 0.043633 0.001675 0.020206 62 2012 0.107011 0.039278 0.000837 0.014915 62 2013 0.104272 0.031329 0.000649 0.013839 63 2014 0.084579 0.016429 0.001486 0.012904 64 2015 0.091141 0.033292 0.001129 0.015066 65 2016 0.100822 0.040095 0.001939 0.015395 66 2017 0.083544 0.050258 0.001778 0.011458 66 2018 0.104781 0.024853 0.002981 0.017526 68 2019 0.091634 0.018423 0.001202 0.015218 68 2020 0.164618 0.064908 0.002091 0.027671 68 2021 0.101447 0.065147 0.000500 0.015757 69 2022 0.110083 0.031943 0.000858 0.021792 69 2023 0.094717 0.023991 0.000595 0.015617 69 2024 0.101824 0.018979 0.000735 0.016418 69 2025 0.110374 0.027993 0.001025 0.019689 69 --- PANEL F: STATISTICS BY VIX REGIME --- [Panel F skipped — raw stores unavailable] Raw store 'index_5min.duckdb' not found under /Users/simon-pierreboucher/Desktop/wp7_uqo/data/raw. These stores (~3.8B option records / 11.5B intraday bars) are kept outside the repository. Point WP7_RAW_DATA_DIR to the directory that contains them, or skip the raw-dependent steps — every downstream analysis runs from the processed parquets in data/processed/. --- PANEL H: OPTIONS DATA QUALITY --- [Panel H skipped — raw stores unavailable] Raw store 'options.duckdb' not found under /Users/simon-pierreboucher/Desktop/wp7_uqo/data/raw. These stores (~3.8B option records / 11.5B intraday bars) are kept outside the repository. Point WP7_RAW_DATA_DIR to the directory that contains them, or skip the raw-dependent steps — every downstream analysis runs from the processed parquets in data/processed/. DESCRIPTIVE STATISTICS COMPLETE.