otm {ivol} | R Documentation |
This dataset covers daily time-series of Black-Scholes implied volatilities from out-of-money Options on the S&P500 Equity Index with a target maturity of 1 month.
otm
A data.frame
with 2845 observations and 9 different levels of moneyness. Column names indicate degrees of moneyness: e.g. M80 means Option data of 80% moneyness. Row names represent date of observation.
Thomson Reuter's Datastream