Figure 1: 12-Month Interest Rates

Replication sample: January 1996 to December 2022
Replicated Figure 1 comparing the option-implied 1-year interest rate, the OptionMetrics zero-curve 1-year rate, and the 1-year constant maturity Treasury rate from FRED.
Figure 1: 12-Month Interest Rates

Summary Statistics

statistic value paper_value
avg_diff_bp 8.148503 7.00
rel_full_pct 3.135792 2.82
rel_first_half_pct 0.936166 0.64
rel_second_half_pct 12.437461 11.80

Notes

The option-implied rate is estimated from SPX put-call parity pairs.

The figure is part of the fully automated replication pipeline.