atm {ivol}R Documentation

S&P500 Implied Volatilities - ATM

Description

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.

Usage

atm

Format

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.

Source

Thomson Reuter's Datastream


[Package ivol version 0.1-5 Index]