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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1Group,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_ratio2Stocks,188093,49,2010-01-04,2025-12-31,0.26635484437446266,0.12001045805245089,0.0004863592952177116,0.03614561510932377,0.0005422781792618706,0.01901712817556674,0.8900540680738783ETFs,64256,17,2010-01-04,2025-12-31,0.17838701250486216,0.0738950556393931,0.00019979200172208882,0.04253964408090098,0.00034922540563498734,0.012498140766909539,2.34545802889656764Indices,12034,3,2010-01-04,2025-12-31,0.18227346379280654,0.07106732907176552,0.00013525566205162284,0.056216542666832216,0.00047203897814238716,0.01289727864086633,1.75448991289659635All,264383,69,2010-01-04,2025-12-31,0.24059665686005302,0.11546400261064191,0.00040073030571242783,0.03873144189798992,0.0004921612747391106,0.017402131346727637,1.28311912184363426