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.

research finance options volatility uqo

Python 66.5% TeX 32.7% Makefile 0.8%

911 B · 8 lines csv

Raw Blame History

1sort_variable,scheme,mean_daily_bps,annualized_return_pct,annualized_vol_pct,sharpe_ratio,t_statistic,n_days2Implied Kurtosis,Quintile (baseline),84.68437042102255,44.03587261893173,18.913906695855363,2.3282272312668946,19.84253637373645,37773Implied Kurtosis,Decile,100.14705511082843,52.076468657630784,23.836606425327652,2.1847266229263567,18.562760583578715,37544Put-Call Volume Ratio,Quintile (baseline),-58.247254076933345,-30.288572120005337,12.2244451508235,-2.4777052656631167,-21.79600796863729,40245Put-Call Volume Ratio,Decile,-64.16861741444349,-33.36768105551061,15.89336674663741,-2.099472162659952,-18.468747119129826,40246Volatility Skew (25d),Quintile (baseline),-72.17826490058003,-37.53269774830162,20.0977643732778,-1.8675061091971745,-15.918103940098042,37787Volatility Skew (25d),Decile,-100.97375105068923,-52.50635054635839,27.69009901622333,-1.8962138963676327,-16.11138171895377,37548