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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1year,n_obs,n_tickers,avg_iv_atm,avg_rv,avg_skew,avg_ret,std_ret22010,15218,62,0.264696,0.000547,0.04947,0.000471,0.01732932011,15569,62,0.282896,0.000563,0.061525,-4e-06,0.02020642012,15500,62,0.228746,0.000326,0.040406,0.000533,0.01491552013,15874,63,0.200215,0.000254,0.028301,0.00119,0.01383962014,16065,64,0.185413,0.000254,0.026055,0.000407,0.01290472015,16099,65,0.21268,0.000339,0.038343,0.000207,0.01506682016,16466,66,0.215971,0.000344,0.041839,0.00049,0.01539592017,16566,66,0.17339,0.000209,0.025553,0.000868,0.011458102018,16654,68,0.225917,0.000464,0.036186,-8.3e-05,0.017526112019,16882,68,0.216182,0.000276,0.040292,0.000988,0.015218122020,17125,68,0.346799,0.000966,0.061179,0.000695,0.027671132021,17254,69,0.245828,0.000301,0.033569,0.000899,0.015757142022,17229,69,0.312147,0.000542,0.056636,-0.000773,0.021792152023,17246,69,0.237981,0.000285,0.037973,0.000841,0.015617162024,17386,69,0.232136,0.000313,0.021159,0.000597,0.016418172025,17250,69,0.264178,0.000422,0.033779,0.000551,0.01968918