otm {ivol}R Documentation

S&P500 Implied Volatilities - OTM

Description

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.

Usage

otm

Format

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.

Source

Thomson Reuter's Datastream


[Package ivol version 0.1-5 Index]