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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1======================================================================2EXTENDED DESCRIPTIVE STATISTICS3======================================================================45--- PANEL A: SUMMARY STATISTICS ---6 count mean std 1% 50% 99% skewness kurtosis pct_missing7iv_atm_30d 236475.0 2.406000e-01 1.155000e-01 0.0973 0.2125 6.548000e-01 2.2136 10.9243 10.55598iv_atm_90d 131476.0 2.438000e-01 1.036000e-01 0.1066 0.2196 6.097000e-01 1.8267 5.6194 50.27069iv_term_slope 124270.0 2.200000e-03 3.640000e-02 -0.1173 0.0077 7.010000e-02 -1.7042 49.6048 52.996210iv_skew_25d 228312.0 3.870000e-02 4.040000e-02 -0.0171 0.0343 1.447000e-01 16.0977 788.0617 13.643511implied_skewness 229856.0 3.812000e-01 2.965000e-01 -0.1329 0.3604 1.006400e+00 10.6375 386.8267 13.059512implied_kurtosis_proxy 236436.0 1.261300e+00 2.720000e-01 0.9974 1.2160 1.977700e+00 14.6684 469.4937 10.570613pc_volume_ratio 264365.0 1.283100e+00 4.314400e+00 0.1184 0.8453 7.682400e+00 117.6654 22206.9121 0.006814pc_oi_ratio 264360.0 1.155700e+00 7.231000e-01 0.3912 0.9838 3.463100e+00 41.6377 7371.4505 0.008715net_gamma_exposure 264383.0 -6.003201e+37 3.836201e+40 -78811.6665 624.4674 9.660499e+04 -33.7103 76626.1345 0.000016avg_vega_30d 244920.0 -1.941540e+31 8.519509e+33 0.0023 0.0464 2.601100e+00 -297.5322 99056.5173 7.361717avg_theta_30d 244919.0 -1.452216e+31 5.567072e+33 -1.0364 -0.0188 -1.300000e-03 -137.4559 75055.4690 7.362018total_option_volume 264383.0 9.984811e+04 2.668014e+05 542.0000 21782.0000 1.411186e+06 6.1936 55.5443 0.000019total_oi 264383.0 1.131088e+06 2.393080e+06 17757.1000 326245.0000 1.376502e+07 4.3150 21.7829 0.000020rv_daily 264383.0 4.000000e-04 1.500000e-03 0.0000 0.0002 3.800000e-03 65.0192 8080.4902 0.000021rvol_daily 264383.0 1.610000e-02 1.200000e-02 0.0040 0.0131 6.160000e-02 5.2504 78.3677 0.000022rv_weekly 264376.0 2.000000e-03 4.500000e-03 0.0001 0.0010 1.630000e-02 18.2732 687.8067 0.002623daily_return 264383.0 5.000000e-04 1.740000e-02 -0.0486 0.0006 4.850000e-02 -0.1369 16.5941 0.000024realized_skew 264383.0 1.047000e-01 1.760400e+00 -4.8883 0.0428 5.533800e+00 0.2373 3.9964 0.000025realized_kurt 264383.0 1.141450e+01 1.081380e+01 2.9512 7.7880 5.530910e+01 3.6147 21.0752 0.000026ret_1d 264383.0 5.000000e-04 1.740000e-02 -0.0486 0.0006 4.850000e-02 -0.1369 16.5894 0.000027ret_5d 264376.0 2.500000e-03 3.760000e-02 -0.1073 0.0035 1.035000e-01 -0.3666 11.4935 0.002628rv_fwd_1d 264383.0 4.000000e-04 1.500000e-03 0.0000 0.0002 3.800000e-03 65.0343 8083.1092 0.000029rv_fwd_5d 264376.0 2.000000e-03 4.500000e-03 0.0001 0.0010 1.630000e-02 18.2834 688.6317 0.00263031--- PANEL B: COVERAGE BY YEAR ---32 n_obs n_tickers avg_iv_atm avg_rv avg_skew avg_ret std_ret33year 342010 15218 62 0.264696 0.000547 0.049470 0.000471 0.017329352011 15569 62 0.282896 0.000563 0.061525 -0.000004 0.020206362012 15500 62 0.228746 0.000326 0.040406 0.000533 0.014915372013 15874 63 0.200215 0.000254 0.028301 0.001190 0.013839382014 16065 64 0.185413 0.000254 0.026055 0.000407 0.012904392015 16099 65 0.212680 0.000339 0.038343 0.000207 0.015066402016 16466 66 0.215971 0.000344 0.041839 0.000490 0.015395412017 16566 66 0.173390 0.000209 0.025553 0.000868 0.011458422018 16654 68 0.225917 0.000464 0.036186 -0.000083 0.017526432019 16882 68 0.216182 0.000276 0.040292 0.000988 0.015218442020 17125 68 0.346799 0.000966 0.061179 0.000695 0.027671452021 17254 69 0.245828 0.000301 0.033569 0.000899 0.015757462022 17229 69 0.312147 0.000542 0.056636 -0.000773 0.021792472023 17246 69 0.237981 0.000285 0.037973 0.000841 0.015617482024 17386 69 0.232136 0.000313 0.021159 0.000597 0.016418492025 17250 69 0.264178 0.000422 0.033779 0.000551 0.0196895051--- PANEL C: BY ASSET GROUP ---52 Group N_obs N_tickers Date_min Date_max Mean_IV_ATM Std_IV_ATM Mean_RV Mean_Skew Mean_Ret_1d Std_Ret_1d Mean_PC_ratio53 Stocks 188093 49 2010-01-04 2025-12-31 0.266355 0.120010 0.000486 0.036146 0.000542 0.019017 0.89005454 ETFs 64256 17 2010-01-04 2025-12-31 0.178387 0.073895 0.000200 0.042540 0.000349 0.012498 2.34545855Indices 12034 3 2010-01-04 2025-12-31 0.182273 0.071067 0.000135 0.056217 0.000472 0.012897 1.75449056 All 264383 69 2010-01-04 2025-12-31 0.240597 0.115464 0.000401 0.038731 0.000492 0.017402 1.2831195758--- PANEL D: CORRELATION MATRIX ---59 iv_atm_30d iv_term_slope iv_skew_25d implied_skewness implied_kurtosis_proxy pc_volume_ratio pc_oi_ratio rv_daily rv_weekly ret_1d ret_5d60iv_atm_30d 1.000 -0.535 0.279 -0.228 -0.243 -0.067 -0.153 0.330 0.503 0.021 -0.07261iv_term_slope -0.535 1.000 -0.257 0.065 0.157 0.010 0.064 -0.230 -0.317 -0.002 0.10262iv_skew_25d 0.279 -0.257 1.000 0.484 0.162 0.059 0.126 0.160 0.249 0.010 -0.10963implied_skewness -0.228 0.065 0.484 1.000 0.693 0.100 0.265 -0.034 -0.052 -0.004 -0.02764implied_kurtosis_proxy -0.243 0.157 0.162 0.693 1.000 0.050 0.134 -0.057 -0.080 -0.008 0.07165pc_volume_ratio -0.067 0.010 0.059 0.100 0.050 1.000 0.149 -0.013 -0.021 -0.002 -0.01666pc_oi_ratio -0.153 0.064 0.126 0.265 0.134 0.149 1.000 -0.038 -0.069 -0.003 -0.00967rv_daily 0.330 -0.230 0.160 -0.034 -0.057 -0.013 -0.038 1.000 0.567 0.006 -0.07368rv_weekly 0.503 -0.317 0.249 -0.052 -0.080 -0.021 -0.069 0.567 1.000 0.009 -0.05269ret_1d 0.021 -0.002 0.010 -0.004 -0.008 -0.002 -0.003 0.006 0.009 1.000 0.43870ret_5d -0.072 0.102 -0.109 -0.027 0.071 -0.016 -0.009 -0.073 -0.052 0.438 1.0007172--- PANEL E: AUTOCORRELATION STRUCTURE ---73lag 1 5 10 2274variable 75daily_return -0.0618 -0.0104 -0.0058 -0.029976iv_atm_30d 0.9593 0.8605 0.7526 0.537677iv_skew_25d 0.8320 0.7112 0.5930 0.416078pc_volume_ratio 0.2992 0.2182 0.1717 0.118079rv_daily 0.3197 0.2109 0.1387 0.05738081--- PANEL G: CROSS-SECTIONAL DISPERSION ---82 iv_atm_cs_std skew_cs_std rv_cs_std ret_cs_std n_tickers83year 842010 0.097143 0.042235 0.002386 0.017329 62852011 0.124911 0.043633 0.001675 0.020206 62862012 0.107011 0.039278 0.000837 0.014915 62872013 0.104272 0.031329 0.000649 0.013839 63882014 0.084579 0.016429 0.001486 0.012904 64892015 0.091141 0.033292 0.001129 0.015066 65902016 0.100822 0.040095 0.001939 0.015395 66912017 0.083544 0.050258 0.001778 0.011458 66922018 0.104781 0.024853 0.002981 0.017526 68932019 0.091634 0.018423 0.001202 0.015218 68942020 0.164618 0.064908 0.002091 0.027671 68952021 0.101447 0.065147 0.000500 0.015757 69962022 0.110083 0.031943 0.000858 0.021792 69972023 0.094717 0.023991 0.000595 0.015617 69982024 0.101824 0.018979 0.000735 0.016418 69992025 0.110374 0.027993 0.001025 0.019689 69100101--- PANEL F: STATISTICS BY VIX REGIME ---102 [Panel F skipped — raw stores unavailable]103 Raw store 'index_5min.duckdb' not found under /Users/simon-pierreboucher/Desktop/wp7_uqo/data/raw.104These 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/.105106--- PANEL H: OPTIONS DATA QUALITY ---107 [Panel H skipped — raw stores unavailable]108 Raw store 'options.duckdb' not found under /Users/simon-pierreboucher/Desktop/wp7_uqo/data/raw.109These 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/.110111DESCRIPTIVE STATISTICS COMPLETE.112