spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Average autocorrelation structure.}4\label{tab:autocorr}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrr@{}}8\toprule9Variable & Lag 1 & Lag 5 & Lag 10 & Lag 22 \\10\midrule11ATM IV (30d) & 0.959 & 0.860 & 0.753 & 0.538 \\12Skew (25$\delta$) & 0.832 & 0.711 & 0.593 & 0.416 \\13Realized variance & 0.320 & 0.211 & 0.139 & 0.057 \\14Daily return & $-$0.062 & $-$0.010 & $-$0.006 & $-$0.030 \\15PC volume ratio & 0.299 & 0.218 & 0.172 & 0.118 \\16\bottomrule17\end{tabular}18\begin{tablenotes}[flushleft]\footnotesize19\item \textit{Notes.} Cross-sectional average of within-ticker autocorrelations.20\end{tablenotes}21\end{threeparttable}22\end{table}23