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1======================================================================2PORTFOLIO SORTS & ECONOMIC SIGNIFICANCE3======================================================================45LONG-SHORT (Q5-Q1), Newey-West t-statistics:6 sort_variable return_horizon annualized_return_pct sharpe_ratio t_statistic t_statistic_iid7 ATM IV (30d) 1-Day 13.878 0.543 2.103 2.1038 ATM IV (30d) 5-Day 14.514 0.570 2.706 4.8599 Volatility Skew (25d) 1-Day 3.083 0.157 0.606 0.60610 Volatility Skew (25d) 5-Day 5.864 0.305 1.542 2.59811 Implied Skewness 1-Day -8.329 -0.465 -1.800 -1.80012 Implied Skewness 5-Day -8.799 -0.488 -2.409 -4.16213 Implied Kurtosis 1-Day -7.847 -0.429 -1.660 -1.66014 Implied Kurtosis 5-Day -6.121 -0.334 -1.656 -2.84815 Put-Call Volume Ratio 1-Day 6.236 0.518 2.071 2.07016 Put-Call Volume Ratio 5-Day 5.060 0.416 2.643 3.66417 Put-Call OI Ratio 1-Day 5.131 0.386 1.544 1.54418 Put-Call OI Ratio 5-Day 5.482 0.416 2.035 3.66219IV Term Structure Slope 1-Day -4.826 -0.236 -0.769 -0.76920IV Term Structure Slope 5-Day -2.861 -0.145 -0.642 -1.0372122DOUBLE SORT ATM IV x implied skewness → 5-day return (bps, NW t):23q2 1 2 3 H-L24q1 251 12.2 13.7 18.8 5.3262 22.3 30.3 25.7 4.0273 40.1 33.0 34.0 -17.928H-L 23.1 20.1 15.7 NaN29q2 1 2 3 H-L30q1 311 1.70 2.52 3.56 1.00322 3.02 4.11 3.37 0.72333 3.55 3.31 2.59 -1.5234H-L 2.00 2.45 1.42 NaN3536CALENDAR-TIME OVERLAPPING-COHORT STRATEGIES (stocks, 252-day annualization)37 ATM IV (30d) h=1: ann.ret= 13.88% vol= 25.55% SR= 0.543 t_NW= 2.16 turnover/day=0.495 breakeven= 11.1 bps SR@10bps= 0.05538 ATM IV (30d) h=5: ann.ret= 13.59% vol= 25.06% SR= 0.542 t_NW= 2.19 turnover/day=0.200 breakeven= 27.0 bps SR@10bps= 0.34139 Volatility Skew (25d) h=1: ann.ret= 3.08% vol= 19.70% SR= 0.157 t_NW= 0.63 turnover/day=1.302 breakeven= 0.9 bps SR@10bps=-1.50840 Volatility Skew (25d) h=5: ann.ret= 4.92% vol= 18.01% SR= 0.273 t_NW= 1.12 turnover/day=0.389 breakeven= 5.0 bps SR@10bps=-0.27141 Implied Skewness h=1: ann.ret= -8.33% vol= 17.91% SR=-0.465 t_NW= -1.82 turnover/day=1.180 breakeven= -2.8 bps SR@10bps=-2.12742 Implied Skewness h=5: ann.ret= -8.72% vol= 16.86% SR=-0.517 t_NW= -2.09 turnover/day=0.348 breakeven= -10.0 bps SR@10bps=-1.03643 Implied Kurtosis h=1: ann.ret= -7.85% vol= 18.30% SR=-0.429 t_NW= -1.65 turnover/day=1.270 breakeven= -2.5 bps SR@10bps=-2.17544 Implied Kurtosis h=5: ann.ret= -6.01% vol= 17.03% SR=-0.353 t_NW= -1.41 turnover/day=0.388 breakeven= -6.1 bps SR@10bps=-0.92745 Put-Call Volume Ratio h=1: ann.ret= 6.24% vol= 12.04% SR= 0.518 t_NW= 2.09 turnover/day=2.317 breakeven= 1.1 bps SR@10bps=-4.32846 Put-Call Volume Ratio h=5: ann.ret= 4.91% vol= 8.62% SR= 0.569 t_NW= 2.29 turnover/day=0.513 breakeven= 3.8 bps SR@10bps=-0.93047 Put-Call OI Ratio h=1: ann.ret= 5.13% vol= 13.28% SR= 0.386 t_NW= 1.56 turnover/day=0.288 breakeven= 7.1 bps SR@10bps=-0.16048 Put-Call OI Ratio h=5: ann.ret= 5.22% vol= 12.66% SR= 0.413 t_NW= 1.66 turnover/day=0.142 breakeven= 14.6 bps SR@10bps= 0.13049 IV Term Structure Slope h=1: ann.ret= -4.83% vol= 20.46% SR=-0.236 t_NW= -0.79 turnover/day=1.045 breakeven= -1.8 bps SR@10bps=-1.52150 IV Term Structure Slope h=5: ann.ret= -3.31% vol= 18.54% SR=-0.179 t_NW= -0.69 turnover/day=0.448 breakeven= -2.9 bps SR@10bps=-0.7885152PORTFOLIO SORTS COMPLETE.53real 38,9954user 38,4955sys 0,5556