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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1<!--2Author: Simon-Pierre Boucher3Contact: contact@spboucher.ai4-->56# Raw data (external — not shipped)78The extraction step (`scripts/01_extract_data.py`) and a few raw-dependent9analysis sections read four DuckDB stores that are **too large to live in10this repository** (~3.83 billion option records and ~11.5 billion intraday11OHLCV bars):1213| File | Contents |14|---|---|15| `options.duckdb` | End-of-day option chains (`option_chain` table): 11,077 underlyings, 2010–2025, quotes, IVs, Greeks, volume, OI |16| `stock_5min.duckdb` | 5-minute OHLCV bars, US equities (`ohlcv` table) |17| `etf_5min.duckdb` | 5-minute OHLCV bars, ETFs (`ohlcv` table) |18| `index_5min.duckdb` | 5-minute OHLCV bars, indices incl. SPX/VIX (`ohlcv` table) |1920Place them in this directory — or point the `WP7_RAW_DATA_DIR` environment21variable at the directory that contains them:2223```bash24export WP7_RAW_DATA_DIR=/path/to/duckdb/stores25```2627**Without the raw stores** the pipeline still reproduces every analysis that28feeds the paper's tables from the derived datasets in `data/processed/`29(shipped with the repository). Raw-dependent steps detect the missing stores30and skip themselves with an explanatory message. See `AUDIT.md` §6.1 for the31exact reproducibility map.3233> ⚠️ As of 2026-08-05 the original stores no longer exist on the author's34> machine; `data/processed/` is the authoritative surviving copy of the data.35