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%
TeX 32.7%
Makefile 0.8%
1crisis,pre_impl_corr,pre_real_corr,pre_divergence,post_impl_corr,post_real_corr,post_divergence,divergence_change,pre_vix,post_vix2Flash Crash (2010-05-06),0.22274111823476653,,,0.40397480335090574,,,,17.73,28.1199999999999973Euro Crisis (2011-08-05),0.31293397535822115,,,0.46846842965311036,,,,20.291999999999998,40.2820000000000044China Deval (2015-08-24),0.23087948366373237,,,0.4890957081112426,,,,14.306000000000001,30.643755Volmageddon (2018-02-05),0.1083633365548244,0.2567523415953064,-0.148389005040482,0.4358218572107293,0.637937595963062,-0.20211573875233266,-0.05372673371185066,11.880526315789474,28.4237500000000026COVID Crash (2020-03-16),0.4727631016226523,0.6110824551214713,-0.13831935349881896,0.6477989549594869,0.7878468351540882,-0.14004788019460124,-0.0017285266957822731,36.54263157894737,70.03757Meme Stocks (2021-01-27),0.22745918696370868,0.15975554962271596,0.06770363734099269,0.32597068609412533,0.348543166049957,-0.022572479955831656,-0.09027611729682435,23.154,27.73258Rate Shock (2022-06-13),0.4167670557527853,0.5528973786248663,-0.136130322872081,0.4471984750633315,0.61018100703949,-0.16298253197615856,-0.026852209104077568,26.90052631578947,31.3642857142857179SVB Crisis (2023-03-10),0.32789031448814016,0.32730777484729134,0.000582539640848871,0.37294088094818356,0.370926888173291,0.0020139927748925126,0.0014314531340436417,20.32095238095238,24.94833333333333410Aug VIX Spike (2024-08-05),0.1381696258025622,0.09255988497489984,0.04560974082766236,0.3160409800406513,0.2599876813373995,0.056053298703251805,0.010443557875589447,15.574999999999998,24.1637511