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Chart: Figure 3: Volatility Across Holding Periods

Replication of Figure 3 showing annualized volatility across holding periods from 1 to 36 months.

Extension of the holding-period volatility analysis through 2024.

Replication of Figure 2 showing cumulative strip and market returns over 1996-2022.

Robustness version of the extended cumulative return figure with post-2022 strip return winsorization.

Tags
Derived from implied_rates
Derived from strip_prices
all_strip_prices
and crsp_treasury_returns
clean_crsp_sp500_monthly
fama_french_monthly

Extension of cumulative strip and market return paths through 2024.

Replication of Figure 1 comparing option-implied rates, zero curve rates, and Treasury rates over 1996-2022.

Descriptive statistics and implied-zero spread chart for Figure 1.

Extension of Figure 1 through 2024.