spb/wp7_uqo Public

1======================================================================2RQ3: IMPLIED vs REALIZED CORRELATION DIVERGENCE3======================================================================45[Stage 1 skipped — raw stores unavailable]6Raw store 'options.duckdb' not found under /Users/simon-pierreboucher/Desktop/wp7_uqo/data/raw.7These 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/.89Loading shipped correlation_divergence.parquet instead.1011--- STRESS PREDICTION REGRESSIONS ---1213  5-day stress prediction: R²=0.2275, N=248614    const               : β=  0.3564, t= 42.154 **15    corr_divergence     : β=  0.0049, t=  0.000 16    corr_ratio          : β=  0.0604, t=  4.071 **17    implied_corr        : β=  0.0522, t=  0.000 18    realized_corr       : β=  0.0317, t=  0.000 19    spx_iv_atm          : β= -0.1313, t= -2.230 *20    vix_close           : β=  0.2780, t=  5.271 **2122  10-day stress prediction: R²=0.1555, N=248123    const               : β=  0.4929, t= 53.366 **24    corr_divergence     : β= -0.0197, t= -0.000 25    corr_ratio          : β=  0.1037, t=  8.219 **26    implied_corr        : β=  0.0250, t=  0.000 27    realized_corr       : β=  0.0317, t=  0.000 28    spx_iv_atm          : β= -0.2327, t= -4.066 **29    vix_close           : β=  0.3522, t=  6.686 **3031  20-day stress prediction: R²=0.0884, N=247132    const               : β=  0.6928, t= 78.082 **33    corr_divergence     : β=  0.0056, t=  0.000 34    corr_ratio          : β=  0.0438, t=  3.729 **35    implied_corr        : β=  0.0133, t=  0.000 36    realized_corr       : β=  0.0048, t=  0.000 37    spx_iv_atm          : β= -0.3619, t= -7.299 **38    vix_close           : β=  0.4487, t=  9.556 **3940--- CORRELATION DIVERGENCE AROUND CRISES ---41  Flash Crash (2010-05-06):42    Pre:  IC=0.2227, RC=nan, Div=nan43    Post: IC=0.4040, RC=nan, Div=nan44  Euro Crisis (2011-08-05):45    Pre:  IC=0.3129, RC=nan, Div=nan46    Post: IC=0.4685, RC=nan, Div=nan47  China Deval (2015-08-24):48    Pre:  IC=0.2309, RC=nan, Div=nan49    Post: IC=0.4891, RC=nan, Div=nan50  Volmageddon (2018-02-05):51    Pre:  IC=0.1084, RC=0.2568, Div=-0.148452    Post: IC=0.4358, RC=0.6379, Div=-0.202153  COVID Crash (2020-03-16):54    Pre:  IC=0.4728, RC=0.6111, Div=-0.138355    Post: IC=0.6478, RC=0.7878, Div=-0.140056  Meme Stocks (2021-01-27):57    Pre:  IC=0.2275, RC=0.1598, Div=0.067758    Post: IC=0.3260, RC=0.3485, Div=-0.022659  Rate Shock (2022-06-13):60    Pre:  IC=0.4168, RC=0.5529, Div=-0.136161    Post: IC=0.4472, RC=0.6102, Div=-0.163062  SVB Crisis (2023-03-10):63    Pre:  IC=0.3279, RC=0.3273, Div=0.000664    Post: IC=0.3729, RC=0.3709, Div=0.002065  Aug VIX Spike (2024-08-05):66    Pre:  IC=0.1382, RC=0.0926, Div=0.045667    Post: IC=0.3160, RC=0.2600, Div=0.05616869RQ3 COMPLETE.70