spb/wp7_uqo Public

1======================================================================2ROBUSTNESS CHECKS3======================================================================45--- A. NEWEY-WEST HAC STANDARD ERRORS (lag=5) ---67  1-Day: R²=0.001027, N=119,0818  Significant (NW): iv_atm_30d, iv_skew_25d, implied_skewness, rv_daily9    const                    : β= 0.000418  t_NW=  9.676 **10    iv_atm_30d               : β= 0.000280  t_NW=  2.617 **11    iv_term_slope            : β= 0.000081  t_NW=  1.236 12    iv_skew_25d              : β= 0.000559  t_NW=  5.078 **13    implied_skewness         : β=-0.000274  t_NW= -2.717 **14    implied_kurtosis_proxy   : β= 0.000032  t_NW=  0.488 15    pc_volume_ratio          : β=-0.000001  t_NW= -0.031 16    pc_oi_ratio              : β=-0.000064  t_NW= -1.183 17    net_gamma_exposure       : β= 0.000005  t_NW=  0.114 18    rv_daily                 : β=-0.000321  t_NW= -2.794 **19    rv_w                     : β=-0.000047  t_NW= -0.414 2021  5-Day: R²=0.052916, N=119,08122  Significant (NW): iv_atm_30d, iv_term_slope, implied_skewness, implied_kurtosis_proxy, pc_volume_ratio, pc_oi_ratio, net_gamma_exposure, rv_daily, rv_w23    const                    : β= 0.002249  t_NW= 13.142 **24    iv_atm_30d               : β= 0.001322  t_NW=  3.325 **25    iv_term_slope            : β= 0.001134  t_NW=  4.591 **26    iv_skew_25d              : β=-0.000373  t_NW= -0.927 27    implied_skewness         : β=-0.004685  t_NW=-13.656 **28    implied_kurtosis_proxy   : β= 0.006342  t_NW= 25.642 **29    pc_volume_ratio          : β=-0.002133  t_NW=-16.691 **30    pc_oi_ratio              : β= 0.002634  t_NW= 13.119 **31    net_gamma_exposure       : β= 0.003021  t_NW= 17.830 **32    rv_daily                 : β=-0.005554  t_NW=-17.871 **33    rv_w                     : β= 0.003483  t_NW=  7.951 **3435--- B. DOUBLE-CLUSTERED SE (ticker + date) ---3637  1-Day: R²=0.001027, N=119,08138  Significant (DC): 39    const                    : β= 0.000418  t_DC=  2.187 *40    iv_atm_30d               : β= 0.000280  t_DC=  0.915 41    iv_term_slope            : β= 0.000081  t_DC=  0.434 42    iv_skew_25d              : β= 0.000559  t_DC=  1.800 43    implied_skewness         : β=-0.000274  t_DC= -1.273 44    implied_kurtosis_proxy   : β= 0.000032  t_DC=  0.198 45    pc_volume_ratio          : β=-0.000001  t_DC= -0.018 46    pc_oi_ratio              : β=-0.000064  t_DC= -0.843 47    net_gamma_exposure       : β= 0.000005  t_DC=  0.115 48    rv_daily                 : β=-0.000321  t_DC= -0.973 49    rv_w                     : β=-0.000047  t_DC= -0.118 5051  5-Day: R²=0.052916, N=119,08152  Significant (DC): iv_term_slope, implied_skewness, implied_kurtosis_proxy, pc_volume_ratio, pc_oi_ratio, net_gamma_exposure, rv_daily, rv_w53    const                    : β= 0.002249  t_DC=  3.924 **54    iv_atm_30d               : β= 0.001322  t_DC=  1.402 55    iv_term_slope            : β= 0.001134  t_DC=  2.123 *56    iv_skew_25d              : β=-0.000373  t_DC= -0.388 57    implied_skewness         : β=-0.004685  t_DC= -4.938 **58    implied_kurtosis_proxy   : β= 0.006342  t_DC=  9.024 **59    pc_volume_ratio          : β=-0.002133  t_DC= -7.960 **60    pc_oi_ratio              : β= 0.002634  t_DC=  4.609 **61    net_gamma_exposure       : β= 0.003021  t_DC=  5.395 **62    rv_daily                 : β=-0.005554  t_DC= -7.267 **63    rv_w                     : β= 0.003483  t_DC=  3.527 **6465--- C. WITH CONTROL VARIABLES (volume, log_oi, spread proxy) ---6667  1-Day with controls: R²=0.002293, N=119,07668    const                    : β= 0.000418  t=  9.333 **69    iv_atm_30d               : β= 0.000413  t=  3.627 **70    iv_term_slope            : β= 0.000097  t=  1.398 71    iv_skew_25d              : β= 0.000576  t=  4.795 **72    implied_skewness         : β=-0.000333  t= -3.031 **73    implied_kurtosis_proxy   : β= 0.000084  t=  1.190 74    pc_volume_ratio          : β=-0.000015  t= -0.301 75    pc_oi_ratio              : β=-0.000058  t= -0.979 76    net_gamma_exposure       : β= 0.000028  t=  0.591 77    rv_daily                 : β=-0.000123  t= -1.000 78    rv_w                     : β=-0.000099  t= -0.845 79    log_volume               : β= 0.000155  t=  1.375 80    log_oi                   : β=-0.000094  t= -0.848 81    abs_return               : β=-0.000516  t= -6.356 **82    ret_lag1                 : β= 0.000272  t=  3.898 **83    ret_lag5                 : β=-0.000408  t= -5.764 **8485  5-Day with controls: R²=0.380110, N=119,07686    const                    : β= 0.002249  t= 28.524 **87    iv_atm_30d               : β=-0.000562  t= -2.766 **88    iv_term_slope            : β= 0.000340  t=  2.765 **89    iv_skew_25d              : β= 0.000882  t=  4.115 **90    implied_skewness         : β=-0.002003  t=-10.442 **91    implied_kurtosis_proxy   : β= 0.002705  t= 21.948 **92    pc_volume_ratio          : β=-0.001791  t=-22.146 **93    pc_oi_ratio              : β= 0.001143  t= 11.161 **94    net_gamma_exposure       : β= 0.000966  t= 11.627 **95    rv_daily                 : β=-0.003108  t=-12.492 **96    rv_w                     : β= 0.003433  t= 14.190 **97    log_volume               : β= 0.001837  t=  9.351 **98    log_oi                   : β=-0.001716  t= -8.804 **99    abs_return               : β= 0.000024  t=  0.147 100    ret_lag1                 : β= 0.007347  t= 59.040 **101    ret_lag5                 : β= 0.016172  t=126.664 **102103--- D. QUANTILE REGRESSION (iterative reweighting) ---104105  5-Day | τ=0.1:106    const                    : β=-0.036443107    iv_atm_30d               : β=-0.010547108    iv_term_slope            : β= 0.000196109    iv_skew_25d              : β=-0.001291110    implied_skewness         : β=-0.001948111    implied_kurtosis_proxy   : β= 0.004509112    pc_volume_ratio          : β=-0.001223113    pc_oi_ratio              : β= 0.001985114    net_gamma_exposure       : β= 0.002942115    rv_daily                 : β=-0.007981116    rv_w                     : β=-0.003487117118  5-Day | τ=0.25:119    const                    : β=-0.018286120    iv_atm_30d               : β=-0.004897121    iv_term_slope            : β= 0.000676122    iv_skew_25d              : β=-0.000810123    implied_skewness         : β=-0.002419124    implied_kurtosis_proxy   : β= 0.004277125    pc_volume_ratio          : β=-0.001496126    pc_oi_ratio              : β= 0.001951127    net_gamma_exposure       : β= 0.002808128    rv_daily                 : β=-0.010143129    rv_w                     : β= 0.000953130131  5-Day | τ=0.5:132    const                    : β= 0.002161133    iv_atm_30d               : β= 0.001941134    iv_term_slope            : β= 0.001334135    iv_skew_25d              : β=-0.000464136    implied_skewness         : β=-0.003373137    implied_kurtosis_proxy   : β= 0.004838138    pc_volume_ratio          : β=-0.001685139    pc_oi_ratio              : β= 0.002010140    net_gamma_exposure       : β= 0.002399141    rv_daily                 : β=-0.007690142    rv_w                     : β= 0.004121143144  5-Day | τ=0.75:145    const                    : β= 0.023323146    iv_atm_30d               : β= 0.007600147    iv_term_slope            : β= 0.002057148    iv_skew_25d              : β=-0.000562149    implied_skewness         : β=-0.003865150    implied_kurtosis_proxy   : β= 0.005015151    pc_volume_ratio          : β=-0.001877152    pc_oi_ratio              : β= 0.002243153    net_gamma_exposure       : β= 0.002156154    rv_daily                 : β=-0.003220155    rv_w                     : β= 0.009848156157  5-Day | τ=0.9:158    const                    : β= 0.040952159    iv_atm_30d               : β= 0.013137160    iv_term_slope            : β= 0.003289161    iv_skew_25d              : β= 0.000189162    implied_skewness         : β=-0.005053163    implied_kurtosis_proxy   : β= 0.005233164    pc_volume_ratio          : β=-0.002135165    pc_oi_ratio              : β= 0.002180166    net_gamma_exposure       : β= 0.002046167    rv_daily                 : β=-0.000794168    rv_w                     : β= 0.010163169170--- E. EXCLUDING HIGH-VIX PERIODS (VIX < 30) ---171  [Section E skipped — raw stores unavailable]172  Raw store 'index_5min.duckdb' not found under /Users/simon-pierreboucher/Desktop/wp7_uqo/data/raw.173These 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/.174175--- F. TICKER-BY-TICKER R² DISTRIBUTION (5-Day returns) ---176  Distribution of R² across 69 tickers:177    Mean:   0.140170178    Median:   0.131901179    Std:   0.054948180    Min:   0.051515181    Max:   0.286874182    Q25:   0.100164183    Q75:   0.176140184185ROBUSTNESS CHECKS COMPLETE.186