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.
Python 66.5%
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Makefile 0.8%
1vix_regime,n_obs,pct_obs,mean_iv_atm,mean_rv,mean_skew,mean_ret_1d,std_ret_1d,mean_pc_ratio,mean_impl_skew2Very Low (<15),94470,35.732252,0.192254,0.00024,0.026553,0.000404,0.01332,1.241125,0.3650543Low (15-20),92574,35.015111,0.232462,0.000308,0.035432,0.000284,0.015661,1.314472,0.3760484Medium (20-25),41711,15.776733,0.274892,0.000446,0.044686,0.000875,0.018523,1.313131,0.3828345High (25-35),28987,10.964018,0.329495,0.000713,0.062176,-0.000369,0.023202,1.258578,0.4167516Crisis (>35),6641,2.511886,0.464711,0.002331,0.123523,0.00601,0.039669,1.36209,0.525667