spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Implied and realized correlation around major market events.}4\label{tab:app_crises}5\begin{threeparttable}6\footnotesize7\begin{tabular}{@{}lrrrrrrr@{}}8\toprule9& \multicolumn{3}{c}{Implied correlation} & \multicolumn{2}{c}{Realized corr.} & \multicolumn{2}{c}{VIX} \\10\cmidrule(lr){2-4}\cmidrule(lr){5-6}\cmidrule(lr){7-8}11Event & Pre & Post & $\Delta$ & Pre & Post & Pre & Post \\12\midrule13Flash Crash (May 2010) & 0.223 & 0.404 & +0.181 & -- & -- & 17.7 & 28.1 \\14Euro crisis (Aug.\ 2011) & 0.313 & 0.468 & +0.156 & -- & -- & 20.3 & 40.3 \\15China devaluation (Aug.\ 2015) & 0.231 & 0.489 & +0.258 & -- & -- & 14.3 & 30.6 \\16Volmageddon (Feb.\ 2018) & 0.108 & 0.436 & +0.327 & 0.257 & 0.638 & 11.9 & 28.4 \\17COVID-19 (Mar.\ 2020) & 0.473 & 0.648 & +0.175 & 0.611 & 0.788 & 36.5 & 70.0 \\18Meme stocks (Jan.\ 2021) & 0.227 & 0.326 & +0.099 & 0.160 & 0.349 & 23.2 & 27.7 \\19Rate shock (June 2022) & 0.417 & 0.447 & +0.030 & 0.553 & 0.610 & 26.9 & 31.4 \\20SVB (Mar.\ 2023) & 0.328 & 0.373 & +0.045 & 0.327 & 0.371 & 20.3 & 24.9 \\21VIX spike (Aug.\ 2024) & 0.138 & 0.316 & +0.178 & 0.093 & 0.260 & 15.6 & 24.2 \\22\bottomrule23\end{tabular}24\begin{tablenotes}[flushleft]\footnotesize25\item \textit{Notes.} Pre: mean over the 30 calendar days before the event date; Post: mean over the 10 calendar days from the event date. The realized-correlation series starts in February 2016, hence the missing entries for earlier events.26\end{tablenotes}27\end{threeparttable}28\end{table}29