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%
1target,n_lags,variable,coefficient,nw_t_stat,sig_5pct21-Day,5,const,0.00041763446448038873,9.675788130572228,True31-Day,5,iv_atm_30d,0.000280103614679104,2.6174042782485727,True41-Day,5,iv_term_slope,8.13942413539805e-05,1.2359481704937565,False51-Day,5,iv_skew_25d,0.0005589362280265609,5.078282676726459,True61-Day,5,implied_skewness,-0.00027431955853834326,-2.7170843606410493,True71-Day,5,implied_kurtosis_proxy,3.198378790915095e-05,0.4883151818771706,False81-Day,5,pc_volume_ratio,-1.4646140356719655e-06,-0.031100452274136516,False91-Day,5,pc_oi_ratio,-6.372110421016961e-05,-1.1831671225309466,False101-Day,5,net_gamma_exposure,5.053427056373319e-06,0.11352309486312698,False111-Day,5,rv_daily,-0.0003205381939735506,-2.7936443681139584,True121-Day,5,rv_w,-4.7339039740472715e-05,-0.4138409388043216,False131-Day,10,const,0.00041763446448038873,9.78565088195995,True141-Day,10,iv_atm_30d,0.000280103614679104,2.687296384082095,True151-Day,10,iv_term_slope,8.13942413539805e-05,1.2585214616159557,False161-Day,10,iv_skew_25d,0.0005589362280265609,5.26383054933098,True171-Day,10,implied_skewness,-0.00027431955853834326,-2.770470232495979,True181-Day,10,implied_kurtosis_proxy,3.198378790915095e-05,0.49696217056489883,False191-Day,10,pc_volume_ratio,-1.4646140356719655e-06,-0.030794001794525704,False201-Day,10,pc_oi_ratio,-6.372110421016961e-05,-1.1854343979747173,False211-Day,10,net_gamma_exposure,5.053427056373319e-06,0.1159299646908982,False221-Day,10,rv_daily,-0.0003205381939735506,-2.7951057230470493,True231-Day,10,rv_w,-4.7339039740472715e-05,-0.41918060373069693,False241-Day,22,const,0.00041763446448038873,10.081479360832157,True251-Day,22,iv_atm_30d,0.000280103614679104,2.739315938553952,True261-Day,22,iv_term_slope,8.13942413539805e-05,1.265741089488286,False271-Day,22,iv_skew_25d,0.0005589362280265609,5.407077481085138,True281-Day,22,implied_skewness,-0.00027431955853834326,-2.812984500120854,True291-Day,22,implied_kurtosis_proxy,3.198378790915095e-05,0.5029627845452709,False301-Day,22,pc_volume_ratio,-1.4646140356719655e-06,-0.030802455941061936,False311-Day,22,pc_oi_ratio,-6.372110421016961e-05,-1.1830279845894662,False321-Day,22,net_gamma_exposure,5.053427056373319e-06,0.11842553681310698,False331-Day,22,rv_daily,-0.0003205381939735506,-2.794660440941982,True341-Day,22,rv_w,-4.7339039740472715e-05,-0.41350027509357284,False355-Day,5,const,0.002249473137649632,13.141841337935864,True365-Day,5,iv_atm_30d,0.0013216839369709678,3.3249773734758246,True375-Day,5,iv_term_slope,0.001133720205572446,4.590595207033885,True385-Day,5,iv_skew_25d,-0.0003731283791251577,-0.9272252693333577,False395-Day,5,implied_skewness,-0.004685263679195295,-13.656129975363415,True405-Day,5,implied_kurtosis_proxy,0.006342337908904511,25.642476250469922,True415-Day,5,pc_volume_ratio,-0.002132635195154358,-16.690798309685608,True425-Day,5,pc_oi_ratio,0.0026340423531046745,13.118584891448076,True435-Day,5,net_gamma_exposure,0.0030205764876359066,17.83024585466301,True445-Day,5,rv_daily,-0.005554035996188907,-17.871005028272663,True455-Day,5,rv_w,0.00348308295756233,7.951443801559899,True465-Day,10,const,0.002249473137649632,12.345960835919136,True475-Day,10,iv_atm_30d,0.0013216839369709678,3.170266253756691,True485-Day,10,iv_term_slope,0.001133720205572446,4.371021098518735,True495-Day,10,iv_skew_25d,-0.0003731283791251577,-0.8782292993058013,False505-Day,10,implied_skewness,-0.004685263679195295,-12.924840999749954,True515-Day,10,implied_kurtosis_proxy,0.006342337908904511,23.88681611849446,True525-Day,10,pc_volume_ratio,-0.002132635195154358,-15.921940838181772,True535-Day,10,pc_oi_ratio,0.0026340423531046745,12.158644093704863,True545-Day,10,net_gamma_exposure,0.0030205764876359066,16.67061163096755,True555-Day,10,rv_daily,-0.005554035996188907,-17.79332067036291,True565-Day,10,rv_w,0.00348308295756233,7.753799585964247,True575-Day,22,const,0.002249473137649632,12.11235710395085,True585-Day,22,iv_atm_30d,0.0013216839369709678,3.1218825994907817,True595-Day,22,iv_term_slope,0.001133720205572446,4.313392190023936,True605-Day,22,iv_skew_25d,-0.0003731283791251577,-0.8479097635525128,False615-Day,22,implied_skewness,-0.004685263679195295,-12.178883871711093,True625-Day,22,implied_kurtosis_proxy,0.006342337908904511,22.09484250127396,True635-Day,22,pc_volume_ratio,-0.002132635195154358,-15.335551032733035,True645-Day,22,pc_oi_ratio,0.0026340423531046745,11.336062946544525,True655-Day,22,net_gamma_exposure,0.0030205764876359066,15.477545452381397,True665-Day,22,rv_daily,-0.005554035996188907,-17.510791097020366,True675-Day,22,rv_w,0.00348308295756233,7.800655647519896,True68