Dataframe: P04:optionmetrics_spx_raw -#
Raw SPX options data pulled year-by-year from OptionMetrics IvyDB through WRDS. Includes European calls and puts on the S&P 500 index, bid/ask quotes, strike prices, implied volatility, Greeks, and maturity information.
DataFrame Glimpse#
Rows: 15911563
Columns: 15
$ date <datetime[ns]> 1996-01-04 00:00:00
$ exdate <datetime[ns]> 1996-06-22 00:00:00
$ cp_flag <str> 'C'
$ strike <f64> 400.0
$ best_bid <f64> 218.5
$ best_offer <f64> 219.5
$ impl_volatility <f64> None
$ delta <f64> None
$ gamma <f64> None
$ vega <f64> None
$ volume <f64> 0.0
$ open_interest <f64> 29.0
$ mid_price <f64> 219.0
$ days_to_maturity <i64> 170
$ year <i64> 1996
Dataframe Manifest#
Dataframe Name |
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|---|---|
Dataframe ID |
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Data Sources |
OptionMetrics IvyDB |
Data Providers |
WRDS |
Links to Providers |
|
Topic Tags |
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Type of Data Access |
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How is data pulled? |
Downloaded year-by-year using pull_spx_options_and_zero_coupon.py. |
Data available up to (min) |
N/A (large file) |
Data available up to (max) |
N/A (large file) |
Dataframe Path |
/Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/optionmetrics_spx_raw.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 |
|
Pipeline Web Page |
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Date of Last Code Update |
2026-03-16 00:21:10 |
OS Compatibility |
|
Linked Dataframes |
P04:crsp_sp500_daily |