spb/wp7_uqo Public

1variable,coefficient,std_error,t_stat,p_value,significant_5pct,significant_1pct,group,horizon,method,fm_coefficient,fm_std_error,fm_t_stat,fm_significant_5pct,fm_significant_1pct2const,0.000474932616763485,6.162181567921933e-05,7.707215562030999,1.9999999999998992,True,True,Stocks,1-Day,Pooled OLS,,,,,3iv_atm_30d,0.00035455189599640634,0.00014772580677565472,2.400067420412536,1.955218186198448,True,False,Stocks,1-Day,Pooled OLS,,,,,4iv_term_slope,0.0001337037724583662,9.031763495795387e-05,1.4803728255352362,1.7332766243587603,False,False,Stocks,1-Day,Pooled OLS,,,,,5iv_skew_25d,0.00046873042686361156,0.0001620729700748604,2.8920950029305206,1.9878192458998507,True,True,Stocks,1-Day,Pooled OLS,,,,,6implied_skewness,-0.00015858867442038435,0.00014143423994979204,-1.1212891197823243,1.5744768805728322,False,False,Stocks,1-Day,Pooled OLS,,,,,7implied_kurtosis_proxy,4.48979833319166e-05,9.23248524272986e-05,0.4863044148082621,1.2910975461061942,False,False,Stocks,1-Day,Pooled OLS,,,,,8pc_volume_ratio,0.00010182969163875522,6.138084275049604e-05,1.6589816476237986,1.7984870045690193,False,False,Stocks,1-Day,Pooled OLS,,,,,9pc_oi_ratio,-3.8676878325755606e-05,6.788058646276207e-05,-0.5697781993526672,1.321665636345357,False,False,Stocks,1-Day,Pooled OLS,,,,,10net_gamma_exposure,1.8752855129314922e-05,5.816636875875159e-05,0.3224003067321167,1.242523171522562,False,False,Stocks,1-Day,Pooled OLS,,,,,11rv_daily,-0.00028357991626498587,0.00014983861258386076,-1.8925690205938979,1.866906062290026,False,False,Stocks,1-Day,Pooled OLS,,,,,12rv_w,-0.00010427602066402549,0.0001475790120177198,-0.706577576569662,1.3783743948807272,False,False,Stocks,1-Day,Pooled OLS,,,,,13const,,,,,,,Stocks,1-Day,Fama-MacBeth,0.0005206125501497901,0.00020804551602204784,2.502397360463264,True,False14iv_atm_30d,,,,,,,Stocks,1-Day,Fama-MacBeth,0.0003251412661700667,0.0003840623039447049,0.846584689073986,False,False15iv_term_slope,,,,,,,Stocks,1-Day,Fama-MacBeth,0.00010238512746974467,0.0001989943963502724,0.5145126161719906,False,False16iv_skew_25d,,,,,,,Stocks,1-Day,Fama-MacBeth,0.0004206714326659521,0.0003747705436733475,1.12247731249821,False,False17implied_skewness,,,,,,,Stocks,1-Day,Fama-MacBeth,-0.00013551298475038956,0.00038248570078159937,-0.35429555790836725,False,False18implied_kurtosis_proxy,,,,,,,Stocks,1-Day,Fama-MacBeth,-0.00022594310047698103,0.0002379965138150703,-0.9493546642979187,False,False19pc_volume_ratio,,,,,,,Stocks,1-Day,Fama-MacBeth,0.00014033929167979575,0.00017860227653546188,0.7857642937262956,False,False20pc_oi_ratio,,,,,,,Stocks,1-Day,Fama-MacBeth,0.0001981586340207331,0.0002611521554982688,0.7587861323321405,False,False21net_gamma_exposure,,,,,,,Stocks,1-Day,Fama-MacBeth,0.00036414134612425156,0.0002031270329057981,1.792677916450073,False,False22rv_daily,,,,,,,Stocks,1-Day,Fama-MacBeth,0.0005762857353465481,0.0006180100527575335,0.9324860215059395,False,False23rv_w,,,,,,,Stocks,1-Day,Fama-MacBeth,-0.0013274298575132058,0.0007405214180403771,-1.7925610592411352,False,False24const,0.0027061188053752005,0.00013432330834326907,20.14630847581267,2.0,True,True,Stocks,5-Day,Pooled OLS,,,,,25iv_atm_30d,0.0005912653544219688,0.00031959915015051247,1.8500216729096979,1.855876030110964,False,False,Stocks,5-Day,Pooled OLS,,,,,26iv_term_slope,0.00027043383017297587,0.00019265202440833657,1.4037424781988093,1.7021120366838733,False,False,Stocks,5-Day,Pooled OLS,,,,,27iv_skew_25d,-0.0003691227931167262,0.0003470167292962963,-1.0637031645859207,1.5468461397520685,False,False,Stocks,5-Day,Pooled OLS,,,,,28implied_skewness,-0.004823247690304923,0.0003076099642172168,-15.67975115038542,2.0,True,True,Stocks,5-Day,Pooled OLS,,,,,29implied_kurtosis_proxy,0.00685030663037184,0.00020700965914978624,33.09172460119436,2.0,True,True,Stocks,5-Day,Pooled OLS,,,,,30pc_volume_ratio,-0.0022401638478081643,0.00012729944249734382,-17.597593546844532,2.0,True,True,Stocks,5-Day,Pooled OLS,,,,,31pc_oi_ratio,0.00200644595075205,0.00014790606790470687,13.565677048792654,2.0,True,True,Stocks,5-Day,Pooled OLS,,,,,32net_gamma_exposure,0.002748993885189219,0.00013224248226984198,20.787524840768434,2.0,True,True,Stocks,5-Day,Pooled OLS,,,,,33rv_daily,-0.005391455115447301,0.00036083936844073626,-14.941427091907755,2.0,True,True,Stocks,5-Day,Pooled OLS,,,,,34rv_w,0.0034757002401655753,0.00038693176700024497,8.982721338988368,2.0,True,True,Stocks,5-Day,Pooled OLS,,,,,35const,,,,,,,Stocks,5-Day,Fama-MacBeth,0.0026507805795847224,0.0004504778016310442,5.884375589622942,True,True36iv_atm_30d,,,,,,,Stocks,5-Day,Fama-MacBeth,0.00021234814973553797,0.0010326016107086292,0.2056438296564468,False,False37iv_term_slope,,,,,,,Stocks,5-Day,Fama-MacBeth,0.0007620600421148093,0.000659712884378851,1.1551389402259784,False,False38iv_skew_25d,,,,,,,Stocks,5-Day,Fama-MacBeth,0.0010283112083582571,0.0007593869106956063,1.3541334382710302,False,False39implied_skewness,,,,,,,Stocks,5-Day,Fama-MacBeth,-0.004076540006758636,0.000793511915806533,-5.137339371413474,True,True40implied_kurtosis_proxy,,,,,,,Stocks,5-Day,Fama-MacBeth,0.004970419343752162,0.00041118094828401113,12.088155748692403,True,True41pc_volume_ratio,,,,,,,Stocks,5-Day,Fama-MacBeth,-0.0013239231015417872,0.00031987969871793927,-4.138815644906508,True,True42pc_oi_ratio,,,,,,,Stocks,5-Day,Fama-MacBeth,0.0015882860087037634,0.00043227802342823437,3.6742233530811133,True,True43net_gamma_exposure,,,,,,,Stocks,5-Day,Fama-MacBeth,0.002346410924205401,0.00028655943225633834,8.188217382097712,True,True44rv_daily,,,,,,,Stocks,5-Day,Fama-MacBeth,-0.002665424305429692,0.0027846154779436684,-0.9571965416919989,False,False45rv_w,,,,,,,Stocks,5-Day,Fama-MacBeth,0.0015220864438043314,0.002348369736143261,0.648145996934904,False,False46const,0.00020662881302969998,6.452265041421152e-05,3.202422896505638,1.9952686634925516,True,True,ETFs,1-Day,Pooled OLS,,,,,47iv_atm_30d,-8.538059110035151e-05,0.00018727687437503155,-0.4559056818161782,1.280872313489378,False,False,ETFs,1-Day,Pooled OLS,,,,,48iv_term_slope,-0.00012595632511888948,0.00010708402144885775,-1.1762382792006456,1.6005072243318272,False,False,ETFs,1-Day,Pooled OLS,,,,,49iv_skew_25d,0.0007263652992749296,0.00021146693358568215,3.434888315437841,1.997812553117713,True,True,ETFs,1-Day,Pooled OLS,,,,,50implied_skewness,-0.0004639499027583751,0.0001611718369976396,-2.878604050192527,1.9873357471624093,True,True,ETFs,1-Day,Pooled OLS,,,,,51implied_kurtosis_proxy,4.204684792508878e-05,9.431583529850443e-05,0.4458089968880922,1.2775912636884144,False,False,ETFs,1-Day,Pooled OLS,,,,,52pc_volume_ratio,-0.00010369639795364441,7.007262267860164e-05,-1.479841826803931,1.7330669146942486,False,False,ETFs,1-Day,Pooled OLS,,,,,53pc_oi_ratio,-4.182733258083947e-05,8.252043710215951e-05,-0.5068724070021301,1.298301301238922,False,False,ETFs,1-Day,Pooled OLS,,,,,54net_gamma_exposure,-8.13966530104468e-05,7.84490449694536e-05,-1.037573536327191,1.5342334678113938,False,False,ETFs,1-Day,Pooled OLS,,,,,55rv_daily,-0.0002072757835089407,0.0001721376251345032,-1.2041282859977973,1.613550398733288,False,False,ETFs,1-Day,Pooled OLS,,,,,56rv_w,-0.00017838904042191916,0.00019082977493507455,-0.9348071624703846,1.484554430123175,False,False,ETFs,1-Day,Pooled OLS,,,,,57const,0.0010308927248672006,0.00013159892884786692,7.833595105161909,1.9999999999999623,True,True,ETFs,5-Day,Pooled OLS,,,,,58iv_atm_30d,-0.00036640376368043883,0.00038966390517105725,-0.940307169378679,1.4872055206015122,False,False,ETFs,5-Day,Pooled OLS,,,,,59iv_term_slope,0.004283241521837185,0.0002259919004448612,18.953075368655675,2.0,True,True,ETFs,5-Day,Pooled OLS,,,,,60iv_skew_25d,0.002480755191793038,0.00044204526589799266,5.611993574353769,1.9999998843881401,True,True,ETFs,5-Day,Pooled OLS,,,,,61implied_skewness,-0.004664820927670824,0.0003399744279015444,-13.721093543605411,2.0,True,True,ETFs,5-Day,Pooled OLS,,,,,62implied_kurtosis_proxy,0.0041012410958793976,0.00020577790096052312,19.930425360234327,2.0,True,True,ETFs,5-Day,Pooled OLS,,,,,63pc_volume_ratio,-0.0013799828658628117,0.00014133249273191607,-9.7640877846852,2.0,True,True,ETFs,5-Day,Pooled OLS,,,,,64pc_oi_ratio,0.002161714105211538,0.0001704957035500346,12.67899460338688,2.0,True,True,ETFs,5-Day,Pooled OLS,,,,,65net_gamma_exposure,0.003767604389154926,0.00015741482374876124,23.934241384840192,2.0,True,True,ETFs,5-Day,Pooled OLS,,,,,66rv_daily,-0.006848528775634996,0.0003721779427463065,-18.401221536933654,2.0,True,True,ETFs,5-Day,Pooled OLS,,,,,67rv_w,0.006252444500217706,0.000431762676693989,14.481206546366476,2.0,True,True,ETFs,5-Day,Pooled OLS,,,,,68const,0.0005333294384410453,0.00011906230226928457,4.479414796085566,1.9999649371997115,True,True,Indices,1-Day,Pooled OLS,,,,,69iv_atm_30d,8.421668977903808e-05,0.000592503352667127,0.14213706876077656,1.2101346774214155,False,False,Indices,1-Day,Pooled OLS,,,,,70iv_term_slope,-0.0002762448822661015,0.00021191705542886817,-1.3035519095291768,1.658843902688442,False,False,Indices,1-Day,Pooled OLS,,,,,71iv_skew_25d,0.0005634362016035403,0.0005654644728853093,0.9964130880381935,1.514322703040474,False,False,Indices,1-Day,Pooled OLS,,,,,72implied_skewness,-4.523812649431471e-05,0.0004652115596140649,-0.09724205162022162,1.2058789400818677,False,False,Indices,1-Day,Pooled OLS,,,,,73implied_kurtosis_proxy,-0.00027814493839385874,0.00029287232893186505,-0.9497139569596125,1.4917438126249247,False,False,Indices,1-Day,Pooled OLS,,,,,74pc_volume_ratio,-0.0002310689053383369,0.00013512828047038675,-1.7099966382608964,1.815080670188512,False,False,Indices,1-Day,Pooled OLS,,,,,75pc_oi_ratio,0.00010636959815468899,0.00014555432481376852,0.730789677948663,1.389097635822485,False,False,Indices,1-Day,Pooled OLS,,,,,76net_gamma_exposure,0.00017803134914497163,0.00014282155049038473,1.2465300126885077,1.6331161217052528,False,False,Indices,1-Day,Pooled OLS,,,,,77rv_daily,-0.00047865392149875924,0.0003135866340013785,-1.5263849590498015,1.7511031870552054,False,False,Indices,1-Day,Pooled OLS,,,,,78rv_w,-7.944179859493122e-05,0.00035635914879863893,-0.2229262216579709,1.22169702515993,False,False,Indices,1-Day,Pooled OLS,,,,,79const,0.002555193205189299,0.0002319015604420927,11.018439032139877,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,80iv_atm_30d,-0.010269678734085418,0.0011976008876859584,-8.575209687702229,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,81iv_term_slope,0.005261942797308747,0.0004296967117880226,12.245713436840452,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,82iv_skew_25d,0.011483100058852296,0.0011769604910730313,9.756572243460091,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,83implied_skewness,-0.018733318801635174,0.0009511367161098348,-19.695716172386618,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,84implied_kurtosis_proxy,0.013347061870456868,0.0005822158566772383,22.924593546163152,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,85pc_volume_ratio,-0.0025103995907148333,0.0002570545123851268,-9.766020317720303,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,86pc_oi_ratio,-0.001079734828077311,0.00027217034442134156,-3.9671288595857996,1.999694892702129,True,True,Indices,5-Day,Pooled OLS,,,,,87net_gamma_exposure,0.0001574589910413332,0.00024393074075834865,0.6455069605077812,1.3521725964645284,False,False,Indices,5-Day,Pooled OLS,,,,,88rv_daily,-0.006898841239676293,0.0007235393546656855,-9.534852797141811,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,89rv_w,0.008441113820457176,0.0007816760527470257,10.79873662598818,2.0,True,True,Indices,5-Day,Pooled OLS,,,,,90const,0.0004176344644803883,4.47995863539856e-05,9.322283942097902,2.0,True,True,All,1-Day,Pooled OLS,,,,,91iv_atm_30d,0.0002801047907919166,0.00011337197236012893,2.470670527828136,1.9622925571593284,True,False,All,1-Day,Pooled OLS,,,,,92iv_term_slope,8.139458311611633e-05,6.934094708787371e-05,1.1738314305538315,1.5993758072647923,False,False,All,1-Day,Pooled OLS,,,,,93iv_skew_25d,0.0005589385749154346,0.00011991456612637132,4.661139951308336,1.9999847190587423,True,True,All,1-Day,Pooled OLS,,,,,94implied_skewness,-0.0002743207103647737,0.00010918059267334453,-2.512540953001684,1.9660281273891782,True,False,All,1-Day,Pooled OLS,,,,,95implied_kurtosis_proxy,3.198392220424989e-05,7.05171069893689e-05,0.45356259735771287,1.2801056886264495,False,False,All,1-Day,Pooled OLS,,,,,96pc_volume_ratio,-1.4646201853654451e-06,4.806643969104855e-05,-0.030470744136229473,1.2024857576757706,False,False,All,1-Day,Pooled OLS,,,,,97pc_oi_ratio,-6.372137176547058e-05,5.574728819572048e-05,-1.1430398469205223,1.5848275896789725,False,False,All,1-Day,Pooled OLS,,,,,98net_gamma_exposure,5.053448274950564e-06,4.575733672819504e-05,0.11044017498152814,1.2069665437522432,False,False,All,1-Day,Pooled OLS,,,,,99rv_daily,-0.0003205395398650559,0.00011649992773262157,-2.751414066116201,1.981883479718538,True,True,All,1-Day,Pooled OLS,,,,,100rv_w,-4.733923850995692e-05,0.00011700280574635599,-0.4045991735666671,1.2648212398634209,False,False,All,1-Day,Pooled OLS,,,,,101const,,,,,,,All,1-Day,Fama-MacBeth,0.0004413041094819202,0.0001808697891170869,2.4398995080170076,True,False102iv_atm_30d,,,,,,,All,1-Day,Fama-MacBeth,0.0006181471672674394,0.00028381610833640007,2.1779847905417866,True,False103iv_term_slope,,,,,,,All,1-Day,Fama-MacBeth,-4.081336525737279e-07,0.00014294855969499375,-0.0028551085330594016,False,False104iv_skew_25d,,,,,,,All,1-Day,Fama-MacBeth,-0.0013001812251797235,0.0013075659278649022,-0.9943523286070652,False,False105implied_skewness,,,,,,,All,1-Day,Fama-MacBeth,0.0004697753320753678,0.0005765573956343808,0.81479369726665,False,False106implied_kurtosis_proxy,,,,,,,All,1-Day,Fama-MacBeth,0.00082315215920257,0.0007074854043177244,1.1634899521303776,False,False107pc_volume_ratio,,,,,,,All,1-Day,Fama-MacBeth,9.181748761099694e-05,0.00018024556909157158,0.5094021898776895,False,False108pc_oi_ratio,,,,,,,All,1-Day,Fama-MacBeth,-0.00041127183128026565,0.0004774786675521109,-0.861340745103299,False,False109net_gamma_exposure,,,,,,,All,1-Day,Fama-MacBeth,-1.3270592915753665e-05,0.00013772364267009075,-0.09635667964100125,False,False110rv_daily,,,,,,,All,1-Day,Fama-MacBeth,0.0005739521885663322,0.000870886727559515,0.6590434443463363,False,False111rv_w,,,,,,,All,1-Day,Fama-MacBeth,0.00016385563561749285,0.00033958429755600027,0.4825182930917814,False,False112const,0.0022494731376496314,9.744195685448007e-05,23.085262347604505,2.0,True,True,All,5-Day,Pooled OLS,,,,,113iv_atm_30d,0.0013216894865223886,0.000244859863518787,5.39773839423455,1.9999996239641074,True,True,All,5-Day,Pooled OLS,,,,,114iv_term_slope,0.0011337249658925099,0.0001494041142035314,7.588311553107903,1.99999999999975,True,True,All,5-Day,Pooled OLS,,,,,115iv_skew_25d,-0.00037312994583490734,0.0002595318279233912,-1.437703994999211,1.7161438664738873,False,False,All,5-Day,Pooled OLS,,,,,116implied_skewness,-0.004685283351910469,0.0002373842080273202,-19.73713159289537,2.0,True,True,All,5-Day,Pooled OLS,,,,,117implied_kurtosis_proxy,0.006342364539424329,0.00015829484255366755,40.06677941685967,2.0,True,True,All,5-Day,Pooled OLS,,,,,118pc_volume_ratio,-0.002132644149767726,9.927152874459024e-05,-21.48293852968335,2.0,True,True,All,5-Day,Pooled OLS,,,,,119pc_oi_ratio,0.0026340534130510273,0.00012007776063765929,21.936230314949132,2.0,True,True,All,5-Day,Pooled OLS,,,,,120net_gamma_exposure,0.003020589170580747,0.00010150654768395594,29.757579579845956,2.0,True,True,All,5-Day,Pooled OLS,,,,,121rv_daily,-0.005554059316747935,0.00028478073801420275,-19.502931818622297,2.0,True,True,All,5-Day,Pooled OLS,,,,,122rv_w,0.003483097582502059,0.00030310500997495795,11.491389016598,2.0,True,True,All,5-Day,Pooled 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