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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1year,n_records,n_tickers,pct_valid_iv,pct_with_volume,pct_with_oi,pct_valid_greeks,avg_spread22010,80141522,3689,0.5603211903063183,0.16325479818064847,0.6192144441679058,0.9414304235449883,7.37895693546236632011,106313698,4045,0.5092654570251145,0.14820284023983438,0.5571225450176702,0.9445874886225856,2.01815093977571342012,123399540,4145,0.4399998492701026,0.11949846814663977,0.49635518090261926,0.9269507406591629,1.34034107395717852013,138304024,4340,0.47034534584474563,0.126063013177404,0.48718350378583347,0.9222798897015462,0.951077012618279662014,180534512,4499,0.4547097011567517,0.19188912200898187,0.4711852268999957,0.9234711200260701,1.204351902584869772015,209738612,4851,0.45550458300925534,0.3945907489842643,0.4480767852130155,0.9204094666174295,1.345595405672550882016,214308632,4833,0.4446692329219851,0.4282370156699988,0.4254115858478346,0.9201519097000255,1.47330634427989392017,209603286,4681,0.4536221249890138,0.4447706988715816,0.43654774572570393,0.9108871174853623,1.2906537205225985102018,222096650,4602,0.5103315876218755,0.48262537053125293,0.49362306905574665,0.9245985475242423,1.3641033015528778112019,226701222,4495,0.49573939217672147,0.18052890777977368,0.4830654552007664,0.9255218130231341,1.2576883668472407122020,283505430,4653,0.5386446566473171,0.17397140153541327,0.5190977929417436,0.9370349696653076,2.1674455496524665132021,337724820,5869,0.5522790329712812,0.2618721745117815,0.5322301393187507,0.9446724051847892,2.2560009053046075142022,356820973,6282,0.5258082349324237,0.4377349310125893,0.490288383356883,0.9422986916186679,2.3632679057766173152023,348825377,6317,0.4416207081172308,0.14041610854476336,0.4470494673900976,0.9304564271996759,2.067275052161795162024,384669738,6083,0.44969850994621263,0.1456652095673822,0.4689129041910752,0.9428944706848762,2.5207759389496385172025,409219452,6274,0.47065785621549583,0.16657771195099494,0.5077653859914752,0.9499853565123292,3.296892328952478718