atm {ivol} | R Documentation |
This dataset covers daily time-series of Black-Scholes implied volatilities from at-the-money Options on the S&P500 Equity Index, aka implied volatility term-structure.
atm
A data.frame
with 2845 observations and 8 different maturities. Column names indicate different maturities: e.g. T30 means ATM implied volatility for the 30-day horizon. Row names represent date of observation.
Thomson Reuter's Datastream