Figure 1 Extension

Extended sample through the latest available month
Extended-sample version of Figure 1, showing how the relationship between the option-implied rate and the zero-curve benchmark changes after the end of the original paper sample.
Figure 1 Extension

Extension Summary Statistics

period avg_diff_bp rel_diff_pct paper_avg_diff_bp paper_rel_diff_pct
original_1996_2022 8.148503 3.135792 7.0 2.82
extended_2023_2024 -31.154284 -5.917720 NaN NaN
full_1996_2024 5.437966 1.954408 NaN NaN

Notes

The implied-minus-zero spread turns negative on average in 2023-2024.

These results are generated automatically from the updated pipeline inputs.