Dataframe: P04:optionmetrics_spx_monthly -#
SPX options filtered to the last trading day of each month. This is the main raw options input used in the cleaning step and ultimately in implied-rate and strip-price estimation.
DataFrame Glimpse#
Rows: 760830
Columns: 16
$ date <datetime[ns]> 2025-08-29 00:00:00
$ exdate <datetime[ns]> 2030-12-20 00:00:00
$ cp_flag <str> 'P'
$ strike <f64> 12000.0
$ best_bid <f64> 3475.0
$ best_offer <f64> 3775.0
$ impl_volatility <f64> 0.120326
$ delta <f64> -0.893851
$ gamma <f64> 6.8e-05
$ vega <f64> 1816.845
$ volume <f64> 0.0
$ open_interest <f64> 4.0
$ mid_price <f64> 3625.0
$ days_to_maturity <i64> 1939
$ year <i64> 2025
$ __index_level_0__ <i64> 15911562
Dataframe Manifest#
Dataframe Name |
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Dataframe ID |
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Data Sources |
OptionMetrics IvyDB |
Data Providers |
WRDS |
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 in pull_spx_options_and_zero_coupon.py by filtering raw SPX options to the month-end date within each calendar month. |
Data available up to (min) |
2025-08-29 00:00:00 |
Data available up to (max) |
2025-08-29 00:00:00 |
Dataframe Path |
/Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/optionmetrics_spx_monthly.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 |