spb/wp7_uqo Public
UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.
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1variable,lag,avg_autocorr2iv_atm_30d,1,0.95927283654089053iv_atm_30d,5,0.8604904484429514iv_atm_30d,10,0.75255861828718065iv_atm_30d,22,0.53763315061271376iv_skew_25d,1,0.83202621033958557iv_skew_25d,5,0.71117348260395268iv_skew_25d,10,0.59303159737737969iv_skew_25d,22,0.4160223995523285610rv_daily,1,0.319736726785984111rv_daily,5,0.2109457975893900312rv_daily,10,0.1386783478017012413rv_daily,22,0.0572684629355101114daily_return,1,-0.0618402146754665415daily_return,5,-0.01043252802675898916daily_return,10,-0.00582532455255319517daily_return,22,-0.02988963385506391418pc_volume_ratio,1,0.299209415009812619pc_volume_ratio,5,0.2181676425388124320pc_volume_ratio,10,0.171719780508305121pc_volume_ratio,22,0.11798424204214322