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%
TeX 32.7%
Makefile 0.8%
1year,iv_atm_cs_std,skew_cs_std,rv_cs_std,ret_cs_std,n_tickers22010,0.097143,0.042235,0.002386,0.017329,6232011,0.124911,0.043633,0.001675,0.020206,6242012,0.107011,0.039278,0.000837,0.014915,6252013,0.104272,0.031329,0.000649,0.013839,6362014,0.084579,0.016429,0.001486,0.012904,6472015,0.091141,0.033292,0.001129,0.015066,6582016,0.100822,0.040095,0.001939,0.015395,6692017,0.083544,0.050258,0.001778,0.011458,66102018,0.104781,0.024853,0.002981,0.017526,68112019,0.091634,0.018423,0.001202,0.015218,68122020,0.164618,0.064908,0.002091,0.027671,68132021,0.101447,0.065147,0.0005,0.015757,69142022,0.110083,0.031943,0.000858,0.021792,69152023,0.094717,0.023991,0.000595,0.015617,69162024,0.101824,0.018979,0.000735,0.016418,69172025,0.110374,0.027993,0.001025,0.019689,6918