Figure 2 Extension (Winsorized)

Extended sample with post-2022 strip-return clipping at ±0.50
Robustness version of the extended Figure 2 in which post-2022 strip log returns are winsorized at ±0.50 to reduce the influence of extreme observations likely driven by put-call parity violations.
Figure 2 Extension (Winsorized)

Winsorized Extended Terminal Values

Series Terminal Value End Date
Panel A - Strip 41.702504 2024-12-31
Panel A - Market 13.793868 2024-12-31
Panel B - Strip-rf 22.152740 2024-12-31
Panel B - Market-rf 7.327425 2024-12-31
Panel C - Strip-2y 17.721582 2024-12-31
Panel C - Market-10y 4.680406 2024-12-31

Notes

The market series is unchanged by this adjustment.

The winsorized figure is more interpretable than the raw extension.