spb/wp7_uqo Public

1sort_variable,return_horizon,quintile,mean_daily_bps,annualized_return_pct,annualized_vol_pct,sharpe_ratio,t_statistic,n_days,pct_positive,max_drawdown_pct2ATM IV (30d),1-Day,Q1,3.1655786125021326,7.977258103505375,12.965387404352487,0.6152734087087445,2.3819978650316136,3777,0.5411702409319565,-25.741264377287213ATM IV (30d),1-Day,Q2,3.6873736770561085,9.292181666181394,15.749604218738659,0.5899946142853346,2.284132373861591,3777,0.5401111993645751,-38.294423359180964ATM IV (30d),1-Day,Q3,4.499446829496948,11.338606010332311,18.096207541810696,0.6265736057753998,2.4257459693803773,3777,0.5390521577971935,-36.119073332484525ATM IV (30d),1-Day,Q4,6.017748072496828,15.164725142692006,21.28124300099886,0.7125864378307336,2.758740016288902,3777,0.5424940428911835,-46.127007436031976ATM IV (30d),1-Day,Q5,8.672541938636133,21.854805685363054,29.72560758006554,0.7352181322618023,2.846357402403459,3777,0.5459359279851734,-66.284594037966437ATM IV (30d),1-Day,L/S(5-1),5.506963326134,13.87754758185768,25.552488348717155,0.5430996540324963,2.102581060864931,3777,0.5316388668255229,-71.875835016061948ATM IV (30d),5-Day,Q1,29.29198398515538,15.231831672280796,11.823510817598113,1.288266396272902,10.979371980456447,3777,0.6078898596769923,-94.689009443075369ATM IV (30d),5-Day,Q2,27.470493545486523,14.284656643652994,15.048415907726007,0.9492465340700151,8.090043199811857,3777,0.6033889330156209,-156.842962890712110ATM IV (30d),5-Day,Q3,21.89562419449632,11.385724581138087,17.417083651355128,0.6537101623354852,5.571306571723571,3777,0.5740005295207837,-151.647456230843411ATM IV (30d),5-Day,Q4,17.873451256081033,9.294194653162137,20.848963351821702,0.445786895795471,3.799260903732077,3777,0.5766481334392375,-229.482614450467412ATM IV (30d),5-Day,Q5,25.900864265447343,13.468449418032618,29.530892070484306,0.4560800055035971,3.8869849029360624,3777,0.5745300503044745,-369.134658374353713ATM IV (30d),5-Day,L/S(5-1),-3.391119719708039,-1.7633822542481803,26.130106948087167,-0.06748469333675144,-0.5751446698251581,3777,0.5308445856499867,-487.6387016011243514Volatility Skew (25d),1-Day,Q1,4.909633131749299,12.372275492008232,18.360220169441902,0.67386313332997,2.6091701623212233,3778,0.5457914240338804,-35.2268023945664115Volatility Skew (25d),1-Day,Q2,4.352274787326383,10.967732464062486,17.21721535186998,0.6370212743416298,2.46652000913388,3778,0.5381154049761778,-30.71412869753843516Volatility Skew (25d),1-Day,Q3,5.730771782809848,14.441544892680817,18.775848529688066,0.7691553790416493,2.9781377937493514,3778,0.5447326627845421,-47.5789348704920417Volatility Skew (25d),1-Day,Q4,5.888756259614631,14.83966577422887,20.424694414069506,0.7265550942102027,2.8131912540279562,3778,0.5359978824775014,-43.2849592568363518Volatility Skew (25d),1-Day,Q5,6.1331084770730335,15.455433362224044,24.215475558037,0.6382461217902641,2.4712625677608515,3778,0.5494970884065643,-48.3191349787862819Volatility Skew (25d),1-Day,L/S(5-1),1.2234753453237353,3.0831578702158127,19.69935010184434,0.15651063889296296,0.6060027161114745,3778,0.5089994706193753,-53.8084168418032720Volatility Skew (25d),5-Day,Q1,62.39954554166372,32.44776368166514,17.736835811578825,1.8293997884607374,15.593296234639942,3778,0.6357861302276336,-134.5453954670620621Volatility Skew (25d),5-Day,Q2,33.23983991522568,17.284716755917355,16.367520260286877,1.0560375964742748,9.001371477470213,3778,0.6058761249338275,-126.1068449316339622Volatility Skew (25d),5-Day,Q3,22.984227923524813,11.951798520232904,18.061757451424693,0.6617184707731837,5.64030465280697,3778,0.5878771836950768,-159.8498453278469623Volatility Skew (25d),5-Day,Q4,14.247728659410713,7.408818902893572,19.624171785295665,0.37753536729865855,3.2180067246508957,3778,0.5629962943356274,-252.5017806319440324Volatility Skew (25d),5-Day,Q5,-9.778719358916328,-5.084934066636491,23.98440533231165,-0.21201001218012677,-1.8071145221985416,3778,0.5381154049761778,-597.341008269060125Volatility Skew (25d),5-Day,L/S(5-1),-72.17826490058003,-37.53269774830162,20.0977643732778,-1.8675061091971745,-15.918103940098042,3778,0.3967707781895183,-2753.542461826906726Implied Skewness,1-Day,Q1,7.67159767951261,19.332426152371777,24.363037134621372,0.7935146199362482,3.07204911476073,3777,0.5501720942546995,-47.8574293911240327Implied Skewness,1-Day,Q2,4.555788544784435,11.480587132856776,20.212741661664055,0.5679876250845832,2.198933500401454,3777,0.5382578766216574,-46.0168413762184228Implied Skewness,1-Day,Q3,4.922931518400179,12.40578742636845,18.48883481617134,0.6709880611577359,2.5976941413634558,3777,0.5438178448504104,-30.61324454871754629Implied Skewness,1-Day,Q4,4.98667692663672,12.566425855124535,17.74510782908165,0.7081628342956583,2.7416142734449043,3777,0.535875033095049,-41.0781981401089130Implied Skewness,1-Day,Q5,4.366275404527225,11.003014019408607,16.83729750644633,0.6534905031639426,2.5299532879565887,3777,0.5371988350542759,-36.646213286496631Implied Skewness,1-Day,L/S(5-1),-3.3053222749853854,-8.32941213296317,17.912979278647555,-0.46499312054092046,-1.8001958230364172,3777,0.46783161239078636,-153.8381369314251732Implied Skewness,5-Day,Q1,42.45414782733605,22.076156870214746,24.216489672781318,0.9116167193723269,7.76933955162476,3777,0.5890918718559703,-202.4456556940466833Implied Skewness,5-Day,Q2,15.434643886945246,8.026014821211527,19.58127624429597,0.4098821098828789,3.493258976216541,3777,0.5724119671697114,-224.5589980568417434Implied Skewness,5-Day,Q3,18.44374309726791,9.590746410579312,17.639855597990756,0.5436975579137808,4.633713764848223,3777,0.5729414879534022,-153.6740649464340235Implied Skewness,5-Day,Q4,18.925246659198717,9.841128262783332,16.97817759382411,0.5796339570840092,4.939985119336399,3777,0.5830023828435266,-179.5926131613611336Implied Skewness,5-Day,Q5,23.389756360504066,12.162673307462113,15.88062921219701,0.7658810708911115,6.5272937293340165,3777,0.6020651310563939,-170.4497032958459837Implied Skewness,5-Day,L/S(5-1),-19.064391466831974,-9.913483562752628,18.806554155930858,-0.52712918488719,-4.4925082415991575,3777,0.45909451945988883,-842.023099443479438Implied Kurtosis,1-Day,Q1,7.900432619661885,19.90909020154795,24.262124609085216,0.8205831320350558,3.176843401522218,3777,0.5552025416997617,-59.0279158425423239Implied Kurtosis,1-Day,Q2,4.792344174628643,12.07670732006418,20.674914482749358,0.584123689127744,2.261403403304437,3777,0.5374635954461212,-46.52036735468341540Implied Kurtosis,1-Day,Q3,4.16291379082682,10.490542752883586,18.7680012135633,0.5589589766917885,2.163979574404729,3777,0.535875033095049,-36.3860410730953841Implied Kurtosis,1-Day,Q4,4.225185779378482,10.647468164033777,17.33988379287723,0.6140449550421715,2.377241972822314,3777,0.5377283558379666,-36.3517577648048742Implied Kurtosis,1-Day,Q5,4.786528964000653,12.062052989281646,15.651492460755495,0.7706647158107128,2.983586941566167,3777,0.5377283558379666,-30.8161513053301343Implied Kurtosis,1-Day,L/S(5-1),-3.1139036556612303,-7.8470372122663,18.300397279621528,-0.4287905389356983,-1.6600394781144912,3777,0.47736298649722003,-141.7406956725800244Implied Kurtosis,5-Day,Q1,-24.350520797928095,-12.66227081492261,23.877899960761322,-0.5302924811533084,-4.519467732656741,3777,0.5131056393963463,-1042.951668114189745Implied Kurtosis,5-Day,Q2,10.81847991424171,5.625609555405689,20.215173932435164,0.2782864779797626,2.3717227800946747,3777,0.5562615832671433,-246.383777434104546Implied Kurtosis,5-Day,Q3,30.120609919711082,15.662717158249762,17.930980819326898,0.8735003018556413,7.444488784975231,3777,0.5951813608684141,-179.3102442910903847Implied Kurtosis,5-Day,Q4,47.43178183340775,24.664526553372028,16.32094339028247,1.5112194168908977,12.87951014645484,3777,0.6346306592533757,-150.2832202549251748Implied Kurtosis,5-Day,Q5,60.333849623094444,31.37360180400911,15.148811114969106,2.0710273278810423,17.650525916287144,3777,0.6695790309769658,-125.2104912027267149Implied Kurtosis,5-Day,L/S(5-1),84.68437042102255,44.03587261893173,18.913906695855363,2.3282272312668946,19.84253637373645,3777,0.6211278792692613,-109.3825476416888450Put-Call Volume Ratio,1-Day,Q1,2.9870005407367515,7.527241362656614,18.093963120502405,0.4160084395290627,1.6623821112992205,4024,0.5362823061630219,-38.0905493142635151Put-Call Volume Ratio,1-Day,Q2,6.0466735843228205,15.237617432493508,19.523630409214725,0.7804704920710694,3.118783325368585,4024,0.5519383697813122,-47.46961378749319552Put-Call Volume Ratio,1-Day,Q3,6.22293388219269,15.681793383125578,19.740736934075123,0.794387435256114,3.1743958447227008,4024,0.5494532803180915,-40.70419195702863453Put-Call Volume Ratio,1-Day,Q4,6.282523553715319,15.831959355362605,19.298697789629518,0.8203641265303495,3.278199476528625,4024,0.5410039761431411,-44.22767133327623454Put-Call Volume Ratio,1-Day,Q5,5.461441718807346,13.762833131394512,18.533004229106705,0.7426120968439387,2.9675000507808798,4024,0.5407554671968191,-41.2068399312415555Put-Call Volume Ratio,1-Day,L/S(5-1),2.474441178070595,6.235591768737899,12.035122043654784,0.5181162057285044,2.0704077853620584,4024,0.5233598409542743,-23.19648320189265856Put-Call Volume Ratio,5-Day,Q1,58.1940319772822,30.260896628186746,17.47372970670458,1.7317937919444748,15.234334693620722,4024,0.6570576540755467,-139.7876764030460257Put-Call Volume Ratio,5-Day,Q2,37.295684785904605,19.393756088670393,18.711691205346686,1.0364512686661276,9.117509020954989,4024,0.606858846918489,-176.8639771465226158Put-Call Volume Ratio,5-Day,Q3,26.603897527586334,13.834026714344894,19.31702705201899,0.7161571331391274,6.299928727204474,4024,0.5889662027833003,-193.0769335446874559Put-Call Volume Ratio,5-Day,Q4,12.213281578922274,6.350906421039582,18.660287277139563,0.3403434430947899,2.9939510968356258,4024,0.5683399602385686,-203.5833834019488860Put-Call Volume Ratio,5-Day,Q5,-0.053222099651141656,-0.02767549181859366,17.675453469268167,-0.0015657585174101638,-0.013773746859798533,4024,0.5357852882703777,-219.3655967437374861Put-Call Volume Ratio,5-Day,L/S(5-1),-58.247254076933345,-30.288572120005337,12.2244451508235,-2.4777052656631167,-21.79600796863729,4024,0.3605864811133201,-2343.48427359095562Put-Call OI Ratio,1-Day,Q1,4.715482709165023,11.883016427095857,18.649484210952693,0.6371766796701572,2.546176984341454,4024,0.5370278330019881,-45.7927917100729963Put-Call OI Ratio,1-Day,Q2,4.201105333984404,10.586785441640696,17.868212256930452,0.592492706568026,2.3676184973289107,4024,0.5472166998011928,-39.3519854069958564Put-Call OI Ratio,1-Day,Q3,4.534873123829001,11.427880272049084,19.008390751057615,0.601201880880592,2.4024206172036573,4024,0.5283300198807157,-35.90413418071790465Put-Call OI Ratio,1-Day,Q4,6.719476346910547,16.933080394214578,19.64310922888189,0.8620366662380177,3.444724186029366,4024,0.562375745526839,-45.927534031169266Put-Call OI Ratio,1-Day,Q5,6.751668685552591,17.01420508759253,20.12186468624968,0.8455580709286463,3.378875228511464,4024,0.5482107355864811,-39.1801311949355367Put-Call OI Ratio,1-Day,L/S(5-1),2.0361859763875683,5.131188660496671,13.284148089423589,0.38626403635035955,1.5435225905367975,4024,0.5129224652087475,-37.8677487646745468Put-Call OI Ratio,5-Day,Q1,24.256278852034058,12.61326500305771,18.302882508941224,0.6891409042753756,6.06227094451446,4024,0.5999005964214712,-209.615174059639469Put-Call OI Ratio,5-Day,Q2,18.545662380280827,9.643744437746031,17.37134436049582,0.5551524532365424,4.883594292767436,4024,0.5822564612326043,-178.7799180282452870Put-Call OI Ratio,5-Day,Q3,25.6534913731121,13.33981551401829,17.533253734087737,0.7608294339620111,6.692904372131451,4024,0.5859840954274353,-156.2653494190017871Put-Call OI Ratio,5-Day,Q4,31.82086588280227,16.54685025905718,19.014215244632798,0.8702357707730225,7.655335788813296,4024,0.5974155069582505,-205.404352117505772Put-Call OI Ratio,5-Day,Q5,34.382629546078704,17.878967363960925,19.444291868678288,0.9194969652127647,8.088679254411437,4024,0.5939363817097415,-181.5371406330688273Put-Call OI Ratio,5-Day,L/S(5-1),10.126350694044644,5.265702360903215,13.266792032405183,0.3969084876013223,3.4915454547669516,4024,0.5270874751491054,-147.9531651952514774IV Term Structure Slope,1-Day,Q1,7.721055136593458,19.457058944215515,25.807462137170116,0.7539315117774325,2.456827586180563,2676,0.5377428998505231,-44.1216377003070875IV Term Structure Slope,1-Day,Q2,1.8529810708297083,4.669512298490865,19.880246680812654,0.23488200993992836,0.7654071921698744,2676,0.5302690582959642,-51.95338872138590676IV Term Structure Slope,1-Day,Q3,2.4725302802839457,6.230776306315542,18.810495894862065,0.33123934324439736,1.0794056799570522,2676,0.5265321375186846,-49.22805692220947577IV Term Structure Slope,1-Day,Q4,4.158928968234807,10.480500999951715,18.14171092701101,0.5777019070647522,1.8825502843351078,2676,0.5291479820627802,-46.49349559854735578IV Term Structure Slope,1-Day,Q5,5.8060268593166775,14.631187685478029,20.14204854107331,0.7264001799837969,2.3671115650589236,2676,0.5497010463378177,-37.03313601232325479IV Term Structure Slope,1-Day,L/S(5-1),-1.9150282772767782,-4.8258712587374815,20.460466759541166,-0.23586320465964303,-0.7686045996494033,2676,0.5067264573991032,-65.146963493080880IV Term Structure Slope,5-Day,Q1,20.448102589217843,10.633013346393279,25.987576385980738,0.4091575600766436,2.9351612339346556,2676,0.5717488789237668,-263.501919544409681IV Term Structure Slope,5-Day,Q2,9.712203656224531,5.0503459012367555,20.02027177695885,0.25226160551172705,1.8096414622509738,2676,0.5590433482810164,-188.9268220837319682IV Term Structure Slope,5-Day,Q3,24.573632524402857,12.778288912689487,18.554064992791616,0.6887056242205651,4.9405467405424695,2676,0.5732436472346786,-116.3451662065659983IV Term Structure Slope,5-Day,Q4,34.50630383909705,17.943277996330465,17.716844168728233,1.01278070888053,7.265354389702951,2676,0.5833333333333334,-99.2801725602092284IV Term Structure Slope,5-Day,Q5,42.23436562508011,21.961870125041656,19.523690293003387,1.1248831442953195,8.069540245629742,2676,0.5881913303437967,-109.4771514825161885IV Term Structure Slope,5-Day,L/S(5-1),21.786263035862277,11.328856778648385,20.29619648729625,0.5581763452940217,4.004172793726316,2676,0.5213004484304933,-167.5766985026591386