Dataframe: P04:clean_options -#
Cleaned SPX options dataset used for implied-rate and strip-price estimation. Adds the S&P 500 index level, applies minimum bid and ask filters, enforces a minimum maturity of 90 days, and restricts moneyness to the interval [0.5, 1.5].
DataFrame Glimpse#
Rows: 625615
Columns: 17
$ date <datetime[ns]> 2024-12-31 00:00:00
$ exdate <datetime[ns]> 2029-12-21 00:00:00
$ cp_flag <str> 'P'
$ strike <f64> 8800.0
$ best_bid <f64> 1642.4
$ best_offer <f64> 1685.9
$ impl_volatility <f64> 0.133519
$ delta <f64> -0.695044
$ gamma <f64> 0.00018
$ vega <f64> 4128.391
$ volume <f64> 0.0
$ open_interest <f64> 1.0
$ mid_price <f64> 1664.15
$ days_to_maturity <i64> 1816
$ year <i64> 2024
$ spindx <f64> 5881.63
$ moneyness <f64> 1.4961838809989747
Dataframe Manifest#
Dataframe Name |
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Dataframe ID |
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Data Sources |
Derived from optionmetrics_spx_monthly and crsp_sp500_daily |
Data Providers |
Internal pipeline |
Links to Providers |
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Topic Tags |
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Type of Data Access |
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How is data pulled? |
Constructed by clean_data.py. |
Data available up to (min) |
2024-12-31 00:00:00 |
Data available up to (max) |
2024-12-31 00:00:00 |
Dataframe Path |
/Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/clean_options.parquet |
Linked Charts:
None
Pipeline Manifest#
Pipeline Name |
Holding Period Effects in Dividend Strip Returns |
|---|---|
Pipeline ID |
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Lead Pipeline Developer |
Jie Lin and Zimeng Yi |
Contributors |
Jie Lin, Zimeng Yi |
Git Repo URL |
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Pipeline Web Page |
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Date of Last Code Update |
2026-03-16 00:21:10 |
OS Compatibility |
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Linked Dataframes |
P04:crsp_sp500_daily |