====================================================================== ROBUSTNESS CHECKS ====================================================================== --- A. NEWEY-WEST HAC STANDARD ERRORS (lag=5) --- 1-Day: R²=0.001027, N=119,081 Significant (NW): iv_atm_30d, iv_skew_25d, implied_skewness, rv_daily const : β= 0.000418 t_NW= 9.676 ** iv_atm_30d : β= 0.000280 t_NW= 2.617 ** iv_term_slope : β= 0.000081 t_NW= 1.236 iv_skew_25d : β= 0.000559 t_NW= 5.078 ** implied_skewness : β=-0.000274 t_NW= -2.717 ** implied_kurtosis_proxy : β= 0.000032 t_NW= 0.488 pc_volume_ratio : β=-0.000001 t_NW= -0.031 pc_oi_ratio : β=-0.000064 t_NW= -1.183 net_gamma_exposure : β= 0.000005 t_NW= 0.114 rv_daily : β=-0.000321 t_NW= -2.794 ** rv_w : β=-0.000047 t_NW= -0.414 5-Day: R²=0.052916, N=119,081 Significant (NW): iv_atm_30d, iv_term_slope, implied_skewness, implied_kurtosis_proxy, pc_volume_ratio, pc_oi_ratio, net_gamma_exposure, rv_daily, rv_w const : β= 0.002249 t_NW= 13.142 ** iv_atm_30d : β= 0.001322 t_NW= 3.325 ** iv_term_slope : β= 0.001134 t_NW= 4.591 ** iv_skew_25d : β=-0.000373 t_NW= -0.927 implied_skewness : β=-0.004685 t_NW=-13.656 ** implied_kurtosis_proxy : β= 0.006342 t_NW= 25.642 ** pc_volume_ratio : β=-0.002133 t_NW=-16.691 ** pc_oi_ratio : β= 0.002634 t_NW= 13.119 ** net_gamma_exposure : β= 0.003021 t_NW= 17.830 ** rv_daily : β=-0.005554 t_NW=-17.871 ** rv_w : β= 0.003483 t_NW= 7.951 ** --- B. DOUBLE-CLUSTERED SE (ticker + date) --- 1-Day: R²=0.001027, N=119,081 Significant (DC): const : β= 0.000418 t_DC= 2.187 * iv_atm_30d : β= 0.000280 t_DC= 0.915 iv_term_slope : β= 0.000081 t_DC= 0.434 iv_skew_25d : β= 0.000559 t_DC= 1.800 implied_skewness : β=-0.000274 t_DC= -1.273 implied_kurtosis_proxy : β= 0.000032 t_DC= 0.198 pc_volume_ratio : β=-0.000001 t_DC= -0.018 pc_oi_ratio : β=-0.000064 t_DC= -0.843 net_gamma_exposure : β= 0.000005 t_DC= 0.115 rv_daily : β=-0.000321 t_DC= -0.973 rv_w : β=-0.000047 t_DC= -0.118 5-Day: R²=0.052916, N=119,081 Significant (DC): iv_term_slope, implied_skewness, implied_kurtosis_proxy, pc_volume_ratio, pc_oi_ratio, net_gamma_exposure, rv_daily, rv_w const : β= 0.002249 t_DC= 3.924 ** iv_atm_30d : β= 0.001322 t_DC= 1.402 iv_term_slope : β= 0.001134 t_DC= 2.123 * iv_skew_25d : β=-0.000373 t_DC= -0.388 implied_skewness : β=-0.004685 t_DC= -4.938 ** implied_kurtosis_proxy : β= 0.006342 t_DC= 9.024 ** pc_volume_ratio : β=-0.002133 t_DC= -7.960 ** pc_oi_ratio : β= 0.002634 t_DC= 4.609 ** net_gamma_exposure : β= 0.003021 t_DC= 5.395 ** rv_daily : β=-0.005554 t_DC= -7.267 ** rv_w : β= 0.003483 t_DC= 3.527 ** --- C. WITH CONTROL VARIABLES (volume, log_oi, spread proxy) --- 1-Day with controls: R²=0.002293, N=119,076 const : β= 0.000418 t= 9.333 ** iv_atm_30d : β= 0.000413 t= 3.627 ** iv_term_slope : β= 0.000097 t= 1.398 iv_skew_25d : β= 0.000576 t= 4.795 ** implied_skewness : β=-0.000333 t= -3.031 ** implied_kurtosis_proxy : β= 0.000084 t= 1.190 pc_volume_ratio : β=-0.000015 t= -0.301 pc_oi_ratio : β=-0.000058 t= -0.979 net_gamma_exposure : β= 0.000028 t= 0.591 rv_daily : β=-0.000123 t= -1.000 rv_w : β=-0.000099 t= -0.845 log_volume : β= 0.000155 t= 1.375 log_oi : β=-0.000094 t= -0.848 abs_return : β=-0.000516 t= -6.356 ** ret_lag1 : β= 0.000272 t= 3.898 ** ret_lag5 : β=-0.000408 t= -5.764 ** 5-Day with controls: R²=0.380110, N=119,076 const : β= 0.002249 t= 28.524 ** iv_atm_30d : β=-0.000562 t= -2.766 ** iv_term_slope : β= 0.000340 t= 2.765 ** iv_skew_25d : β= 0.000882 t= 4.115 ** implied_skewness : β=-0.002003 t=-10.442 ** implied_kurtosis_proxy : β= 0.002705 t= 21.948 ** pc_volume_ratio : β=-0.001791 t=-22.146 ** pc_oi_ratio : β= 0.001143 t= 11.161 ** net_gamma_exposure : β= 0.000966 t= 11.627 ** rv_daily : β=-0.003108 t=-12.492 ** rv_w : β= 0.003433 t= 14.190 ** log_volume : β= 0.001837 t= 9.351 ** log_oi : β=-0.001716 t= -8.804 ** abs_return : β= 0.000024 t= 0.147 ret_lag1 : β= 0.007347 t= 59.040 ** ret_lag5 : β= 0.016172 t=126.664 ** --- D. QUANTILE REGRESSION (iterative reweighting) --- 5-Day | τ=0.1: const : β=-0.036443 iv_atm_30d : β=-0.010547 iv_term_slope : β= 0.000196 iv_skew_25d : β=-0.001291 implied_skewness : β=-0.001948 implied_kurtosis_proxy : β= 0.004509 pc_volume_ratio : β=-0.001223 pc_oi_ratio : β= 0.001985 net_gamma_exposure : β= 0.002942 rv_daily : β=-0.007981 rv_w : β=-0.003487 5-Day | τ=0.25: const : β=-0.018286 iv_atm_30d : β=-0.004897 iv_term_slope : β= 0.000676 iv_skew_25d : β=-0.000810 implied_skewness : β=-0.002419 implied_kurtosis_proxy : β= 0.004277 pc_volume_ratio : β=-0.001496 pc_oi_ratio : β= 0.001951 net_gamma_exposure : β= 0.002808 rv_daily : β=-0.010143 rv_w : β= 0.000953 5-Day | τ=0.5: const : β= 0.002161 iv_atm_30d : β= 0.001941 iv_term_slope : β= 0.001334 iv_skew_25d : β=-0.000464 implied_skewness : β=-0.003373 implied_kurtosis_proxy : β= 0.004838 pc_volume_ratio : β=-0.001685 pc_oi_ratio : β= 0.002010 net_gamma_exposure : β= 0.002399 rv_daily : β=-0.007690 rv_w : β= 0.004121 5-Day | τ=0.75: const : β= 0.023323 iv_atm_30d : β= 0.007600 iv_term_slope : β= 0.002057 iv_skew_25d : β=-0.000562 implied_skewness : β=-0.003865 implied_kurtosis_proxy : β= 0.005015 pc_volume_ratio : β=-0.001877 pc_oi_ratio : β= 0.002243 net_gamma_exposure : β= 0.002156 rv_daily : β=-0.003220 rv_w : β= 0.009848 5-Day | τ=0.9: const : β= 0.040952 iv_atm_30d : β= 0.013137 iv_term_slope : β= 0.003289 iv_skew_25d : β= 0.000189 implied_skewness : β=-0.005053 implied_kurtosis_proxy : β= 0.005233 pc_volume_ratio : β=-0.002135 pc_oi_ratio : β= 0.002180 net_gamma_exposure : β= 0.002046 rv_daily : β=-0.000794 rv_w : β= 0.010163 --- E. EXCLUDING HIGH-VIX PERIODS (VIX < 30) --- [Section E 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/. --- F. TICKER-BY-TICKER R² DISTRIBUTION (5-Day returns) --- Distribution of R² across 69 tickers: Mean: 0.140170 Median: 0.131901 Std: 0.054948 Min: 0.051515 Max: 0.286874 Q25: 0.100164 Q75: 0.176140 ROBUSTNESS CHECKS COMPLETE.