spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Predictive content of bucket-level Greeks by days to expiry.}4\label{tab:rq4}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrrr@{}}8\toprule9& & \multicolumn{2}{c}{$RV_{t+1}$} & \multicolumn{2}{c}{$r_{t+1}$} \\10\cmidrule(lr){3-4}\cmidrule(lr){5-6}11DTE bucket (days) & $N$ & $R^2$ (\%) & $t_{IV}$ & $R^2$ (\%) & $t_{IV}$ \\12\midrule131 week (1--7) & 34{,}660 & 3.77 & 33.1 & 0.00 & $-$0.13 \\142 weeks (8--14) & 31{,}912 & 6.70 & 31.8 & 0.03 & 1.98 \\151 month (15--30) & 33{,}715 & 6.85 & 32.0 & 0.02 & 1.87 \\162 months (31--60) & 36{,}449 & 7.52 & 34.0 & 0.05 & 2.55 \\173 months (61--90) & 31{,}354 & 9.47 & 35.1 & 0.17 & 2.28 \\186 months (91--180) & 36{,}719 & 8.18 & 35.9 & 0.04 & 2.04 \\19\bottomrule20\end{tabular}21\begin{tablenotes}[flushleft]\footnotesize22\item \textit{Notes.} Ten liquid underlyings (AAPL, MSFT, AMZN, GOOG, TSLA, NVDA, META, JPM, SPY, QQQ). Within each days-to-expiry bucket the next-day RV or return is regressed on the bucket's average gamma, vega, $|\Theta|$, IV and call/put gamma-weighted open interest (HC1). Only the $R^2$ and the IV $t$-statistic are reported: the Greeks are nearly collinear within a bucket and their individual $t$-statistics are not interpretable. Frozen output of \texttt{scripts/05} part~A (raw-dependent).23\end{tablenotes}24\end{threeparttable}25\end{table}26