Stoxx
Stoxx ATM Vol (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 15.9400 17.4971 18.5610 19.3534 19.5231 19.7141
## 2016-12-07 15.1240 16.9986 18.2121 19.1448 19.4286 19.6900
## 2016-12-08 14.2071 16.6971 18.0745 19.0885 19.4277 19.7473
## 2016-12-09 14.6891 17.0550 18.3500 19.3130 19.6591 19.9416
## 2016-12-12 15.0674 17.2157 18.3816 19.3288 19.7039 20.0338
## 2016-12-13 15.4786 17.0143 18.2024 19.3105 19.7947 20.2310
## 2016-12-14 15.9220 17.4721 18.4493 19.4754 20.0469 20.3485
## 2016-12-15 14.9647 17.3702 18.2445 19.2222 19.7404 20.1607
## 2016-12-16 14.3700 16.7700 17.8700 19.0937 19.6522 20.0589
## 2016-12-19 14.1497 16.5910 17.8850 19.0957 19.6231 20.0444
## 2016-12-20 13.6400 16.2320 17.6156 18.9976 19.5214 19.9377
## 2016-12-21 13.4300 16.3142 17.6345 18.9543 19.5546 20.0000
## 2016-12-22 13.3996 16.4223 17.7781 19.0661 19.6159 20.0310
## 2016-12-23 13.6500 16.6954 17.8938 19.1060 19.5874 19.9822
## 2016-12-26 13.8600 16.7363 17.9169 19.1158 19.5939 19.9855
## 2016-12-27 14.8443 17.1442 18.2010 19.3627 19.7667 20.1648
## 2016-12-28 15.1750 17.2232 18.1870 19.4054 19.8027 20.1165
## 2016-12-29 15.8886 17.6357 18.4743 19.5047 19.9652 20.2853
## 2016-12-30 16.0361 17.6331 18.4038 19.4376 19.9002 20.2557
## 2017-01-02 15.9086 17.4481 18.2940 19.3114 19.7971 20.1605
## [1] "SX5E ATM Vols"
Stoxx ATM Vol (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 15.9400 17.4971 18.5610 19.3534 19.5231 19.7141
## 2016-12-07 15.1240 16.9986 18.2121 19.1448 19.4286 19.6900
## 2016-12-08 14.2071 16.6971 18.0745 19.0885 19.4277 19.7473
## 2016-12-09 14.6891 17.0550 18.3500 19.3130 19.6591 19.9416
## 2016-12-12 15.0674 17.2157 18.3816 19.3288 19.7039 20.0338
## 2016-12-13 15.4786 17.0143 18.2024 19.3105 19.7947 20.2310
## 2016-12-14 15.9220 17.4721 18.4493 19.4754 20.0469 20.3485
## 2016-12-15 14.9647 17.3702 18.2445 19.2222 19.7404 20.1607
## 2016-12-16 14.3700 16.7700 17.8700 19.0937 19.6522 20.0589
## 2016-12-19 14.1497 16.5910 17.8850 19.0957 19.6231 20.0444
## 2016-12-20 13.6400 16.2320 17.6156 18.9976 19.5214 19.9377
## 2016-12-21 13.4300 16.3142 17.6345 18.9543 19.5546 20.0000
## 2016-12-22 13.3996 16.4223 17.7781 19.0661 19.6159 20.0310
## 2016-12-23 13.6500 16.6954 17.8938 19.1060 19.5874 19.9822
## 2016-12-26 13.8600 16.7363 17.9169 19.1158 19.5939 19.9855
## 2016-12-27 14.8443 17.1442 18.2010 19.3627 19.7667 20.1648
## 2016-12-28 15.1750 17.2232 18.1870 19.4054 19.8027 20.1165
## 2016-12-29 15.8886 17.6357 18.4743 19.5047 19.9652 20.2853
## 2016-12-30 16.0361 17.6331 18.4038 19.4376 19.9002 20.2557
## 2017-01-02 15.9086 17.4481 18.2940 19.3114 19.7971 20.1605
## [1] "SX5E ATM Vols"
Stoxx ATM Vol vs. Price (182)
## S X30.Days X91.Days X182.Days X365.Days X547.Days
## 2016-12-07 3142.24 15.1240 16.9986 18.2121 19.1448 19.4286
## 2016-12-08 3185.79 14.2071 16.6971 18.0745 19.0885 19.4277
## 2016-12-09 3197.54 14.6891 17.0550 18.3500 19.3130 19.6591
## 2016-12-12 3199.11 15.0674 17.2157 18.3816 19.3288 19.7039
## 2016-12-13 3236.71 15.4786 17.0143 18.2024 19.3105 19.7947
## 2016-12-14 3211.71 15.9220 17.4721 18.4493 19.4754 20.0469
## 2016-12-15 3249.74 14.9647 17.3702 18.2445 19.2222 19.7404
## 2016-12-16 3259.24 14.3700 16.7700 17.8700 19.0937 19.6522
## 2016-12-19 3254.25 14.1497 16.5910 17.8850 19.0957 19.6231
## 2016-12-20 3279.41 13.6400 16.2320 17.6156 18.9976 19.5214
## 2016-12-21 3270.75 13.4300 16.3142 17.6345 18.9543 19.5546
## 2016-12-22 3269.51 13.3996 16.4223 17.7781 19.0661 19.6159
## 2016-12-23 3273.97 13.6500 16.6954 17.8938 19.1060 19.5874
## 2016-12-26 3273.97 13.8600 16.7363 17.9169 19.1158 19.5939
## 2016-12-27 3278.53 14.8443 17.1442 18.2010 19.3627 19.7667
## 2016-12-28 3278.72 15.1750 17.2232 18.1870 19.4054 19.8027
## 2016-12-29 3271.76 15.8886 17.6357 18.4743 19.5047 19.9652
## 2016-12-30 3290.52 16.0361 17.6331 18.4038 19.4376 19.9002
## 2017-01-02 3308.67 15.9086 17.4481 18.2940 19.3114 19.7971
## 2017-01-03 3315.02 15.9086 17.4481 18.2940 19.3114 19.7971
## X730.Days
## 2016-12-07 19.6900
## 2016-12-08 19.7473
## 2016-12-09 19.9416
## 2016-12-12 20.0338
## 2016-12-13 20.2310
## 2016-12-14 20.3485
## 2016-12-15 20.1607
## 2016-12-16 20.0589
## 2016-12-19 20.0444
## 2016-12-20 19.9377
## 2016-12-21 20.0000
## 2016-12-22 20.0310
## 2016-12-23 19.9822
## 2016-12-26 19.9855
## 2016-12-27 20.1648
## 2016-12-28 20.1165
## 2016-12-29 20.2853
## 2016-12-30 20.2557
## 2017-01-02 20.1605
## 2017-01-03 20.1605
## [1] "SX5E ATM Vols vs. Price"
Stoxx ATM Vol vs. Price (365)
## S X30.Days X91.Days X182.Days X365.Days X547.Days
## 2016-12-07 3142.24 15.1240 16.9986 18.2121 19.1448 19.4286
## 2016-12-08 3185.79 14.2071 16.6971 18.0745 19.0885 19.4277
## 2016-12-09 3197.54 14.6891 17.0550 18.3500 19.3130 19.6591
## 2016-12-12 3199.11 15.0674 17.2157 18.3816 19.3288 19.7039
## 2016-12-13 3236.71 15.4786 17.0143 18.2024 19.3105 19.7947
## 2016-12-14 3211.71 15.9220 17.4721 18.4493 19.4754 20.0469
## 2016-12-15 3249.74 14.9647 17.3702 18.2445 19.2222 19.7404
## 2016-12-16 3259.24 14.3700 16.7700 17.8700 19.0937 19.6522
## 2016-12-19 3254.25 14.1497 16.5910 17.8850 19.0957 19.6231
## 2016-12-20 3279.41 13.6400 16.2320 17.6156 18.9976 19.5214
## 2016-12-21 3270.75 13.4300 16.3142 17.6345 18.9543 19.5546
## 2016-12-22 3269.51 13.3996 16.4223 17.7781 19.0661 19.6159
## 2016-12-23 3273.97 13.6500 16.6954 17.8938 19.1060 19.5874
## 2016-12-26 3273.97 13.8600 16.7363 17.9169 19.1158 19.5939
## 2016-12-27 3278.53 14.8443 17.1442 18.2010 19.3627 19.7667
## 2016-12-28 3278.72 15.1750 17.2232 18.1870 19.4054 19.8027
## 2016-12-29 3271.76 15.8886 17.6357 18.4743 19.5047 19.9652
## 2016-12-30 3290.52 16.0361 17.6331 18.4038 19.4376 19.9002
## 2017-01-02 3308.67 15.9086 17.4481 18.2940 19.3114 19.7971
## 2017-01-03 3315.02 15.9086 17.4481 18.2940 19.3114 19.7971
## X730.Days
## 2016-12-07 19.6900
## 2016-12-08 19.7473
## 2016-12-09 19.9416
## 2016-12-12 20.0338
## 2016-12-13 20.2310
## 2016-12-14 20.3485
## 2016-12-15 20.1607
## 2016-12-16 20.0589
## 2016-12-19 20.0444
## 2016-12-20 19.9377
## 2016-12-21 20.0000
## 2016-12-22 20.0310
## 2016-12-23 19.9822
## 2016-12-26 19.9855
## 2016-12-27 20.1648
## 2016-12-28 20.1165
## 2016-12-29 20.2853
## 2016-12-30 20.2557
## 2017-01-02 20.1605
## 2017-01-03 20.1605
## [1] "SX5E ATM Vols vs. Price"
VStoxx (365)
## x1 x2 x3 x4 x5 x6
## 2016-12-06 18.12 17.56 19.14 20.53 23.65 25.14
## 2016-12-07 17.89 17.04 18.71 20.17 23.50 25.04
## 2016-12-08 15.05 16.27 18.13 19.58 23.29 25.06
## 2016-12-09 15.65 16.70 18.56 19.99 23.68 25.12
## 2016-12-12 17.42 16.92 18.76 20.24 23.80 25.42
## 2016-12-13 19.15 16.82 18.58 20.10 23.76 25.53
## 2016-12-14 21.93 17.05 18.93 20.36 23.92 25.73
## 2016-12-15 21.93 16.62 18.57 19.99 23.78 25.61
## 2016-12-16 21.93 16.01 18.32 19.75 23.52 25.41
## 2016-12-19 15.44 17.80 19.41 22.23 24.24 25.41
## 2016-12-20 15.01 17.35 18.99 21.93 24.11 25.53
## 2016-12-21 14.69 17.25 18.94 22.07 24.12 25.78
## 2016-12-22 14.64 17.29 19.05 22.22 24.35 25.78
## 2016-12-23 14.67 17.34 19.16 22.20 24.37 25.59
## 2016-12-27 15.83 18.05 19.73 22.55 24.76 25.85
## 2016-12-28 16.09 18.24 19.83 22.57 24.78 26.10
## 2016-12-29 16.79 18.75 20.27 22.92 25.04 26.15
## 2016-12-30 17.04 19.01 20.34 22.87 24.97 26.24
## 2017-01-02 16.69 18.56 19.98 22.64 24.79 26.26
## 2017-01-03 15.56 18.05 19.58 22.34 24.58 25.85
## [1] "Stoxx ATM Vols"
Stoxx K Vol
## X2017.06.16...3500 X2016.12.16...3200 X2017.06.16...3700
## 2016-12-06 16.0057 17.1065 16.0217
## 2016-12-07 16.0435 15.6826 16.0350
## 2016-12-08 16.0514 13.7750 15.8562
## 2016-12-09 16.3276 13.9819 16.0286
## 2016-12-12 16.3139 14.8337 16.0647
## 2016-12-13 16.3598 19.0652 15.9592
## 2016-12-14 16.4736 19.3045 16.1646
## 2016-12-15 16.4758 23.0591 16.0586
## 2016-12-16 16.1901 15.3515 15.8189
## 2016-12-19 16.1240 15.0489 15.7514
## 2016-12-20 16.0259 15.1510 15.6257
## 2016-12-21 15.9348 14.7755 15.5400
## 2016-12-22 16.0130 14.7077 15.6000
## 2016-12-23 16.1220 14.9108 15.6399
## 2016-12-26 16.1220 14.9108 15.6399
## 2016-12-27 16.3937 16.2106 15.8914
## 2016-12-28 16.3846 16.5299 15.8986
## 2016-12-29 16.6136 17.0734 16.1353
## 2016-12-30 16.6278 17.5416 16.0704
## 2017-01-02 16.6004 17.8045 16.0210
## X2017.06.16...3400
## 2016-12-06 16.2957
## 2016-12-07 16.3975
## 2016-12-08 16.5411
## 2016-12-09 16.8343
## 2016-12-12 16.8078
## 2016-12-13 16.8233
## 2016-12-14 16.9406
## 2016-12-15 16.9703
## 2016-12-16 16.6953
## 2016-12-19 16.6245
## 2016-12-20 16.5945
## 2016-12-21 16.4914
## 2016-12-22 16.5885
## 2016-12-23 16.7314
## 2016-12-26 16.7314
## 2016-12-27 17.0307
## 2016-12-28 17.0199
## 2016-12-29 17.2298
## 2016-12-30 17.3252
## 2017-01-02 17.3685
## [1] "SX5E Vols"
Stoxx Skew (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 7.1443 8.1043 6.4289 4.8985 3.5763 2.9392
## 2016-12-07 7.9260 7.6096 6.1673 4.7660 3.6688 2.9719
## 2016-12-08 7.4286 7.3757 6.0110 4.7192 3.6227 2.9933
## 2016-12-09 6.9677 7.2550 6.0546 4.7624 3.6086 2.9613
## 2016-12-12 7.5063 7.6500 6.1612 4.7358 3.6381 3.0105
## 2016-12-13 8.2289 7.5154 6.1388 4.8379 3.5937 2.9958
## 2016-12-14 8.8220 7.7071 6.0774 4.8646 3.7064 3.0644
## 2016-12-15 8.9839 7.3084 6.0211 4.8395 3.5942 2.9774
## 2016-12-16 5.3600 7.4000 5.9600 4.8618 3.6367 3.0267
## 2016-12-19 5.5645 7.4215 5.9540 4.8453 3.7282 3.0478
## 2016-12-20 6.1800 7.4948 5.8323 4.8870 3.6225 2.9835
## 2016-12-21 6.3100 7.5610 5.9943 4.8611 3.6684 3.0100
## 2016-12-22 6.4800 7.6265 6.1112 4.8821 3.6767 3.0671
## 2016-12-23 6.5221 7.6746 6.1108 4.8844 3.6929 3.0740
## 2016-12-26 6.6304 7.6209 6.0854 4.8598 3.6828 3.0649
## 2016-12-27 7.4221 7.8424 6.1657 4.8925 3.7230 3.0138
## 2016-12-28 7.6325 7.8760 6.1632 4.8808 3.6846 3.0513
## 2016-12-29 7.8529 8.0286 6.2171 4.8607 3.7467 3.0580
## 2016-12-30 7.6918 8.0123 6.1877 4.8405 3.7160 3.0628
## 2017-01-02 7.8614 7.9589 6.1393 4.8176 3.6400 3.0344
## [1] "SX5E Skews(90, 110)"
Stoxx Skew (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 7.1443 8.1043 6.4289 4.8985 3.5763 2.9392
## 2016-12-07 7.9260 7.6096 6.1673 4.7660 3.6688 2.9719
## 2016-12-08 7.4286 7.3757 6.0110 4.7192 3.6227 2.9933
## 2016-12-09 6.9677 7.2550 6.0546 4.7624 3.6086 2.9613
## 2016-12-12 7.5063 7.6500 6.1612 4.7358 3.6381 3.0105
## 2016-12-13 8.2289 7.5154 6.1388 4.8379 3.5937 2.9958
## 2016-12-14 8.8220 7.7071 6.0774 4.8646 3.7064 3.0644
## 2016-12-15 8.9839 7.3084 6.0211 4.8395 3.5942 2.9774
## 2016-12-16 5.3600 7.4000 5.9600 4.8618 3.6367 3.0267
## 2016-12-19 5.5645 7.4215 5.9540 4.8453 3.7282 3.0478
## 2016-12-20 6.1800 7.4948 5.8323 4.8870 3.6225 2.9835
## 2016-12-21 6.3100 7.5610 5.9943 4.8611 3.6684 3.0100
## 2016-12-22 6.4800 7.6265 6.1112 4.8821 3.6767 3.0671
## 2016-12-23 6.5221 7.6746 6.1108 4.8844 3.6929 3.0740
## 2016-12-26 6.6304 7.6209 6.0854 4.8598 3.6828 3.0649
## 2016-12-27 7.4221 7.8424 6.1657 4.8925 3.7230 3.0138
## 2016-12-28 7.6325 7.8760 6.1632 4.8808 3.6846 3.0513
## 2016-12-29 7.8529 8.0286 6.2171 4.8607 3.7467 3.0580
## 2016-12-30 7.6918 8.0123 6.1877 4.8405 3.7160 3.0628
## 2017-01-02 7.8614 7.9589 6.1393 4.8176 3.6400 3.0344
## [1] "SX5E Skews(90, 110)"
Stoxx Skew vs. Price (182)
Stoxx Skew vs. Price (365)
Stoxx Skew (K)
## X30.Days X91.Days X182.Days X365.Days
## 2016-12-06 15.7033 8.3185 6.4899 4.8839
## 2016-12-07 16.5328 8.2393 6.4701 4.8326
## 2016-12-08 18.1358 7.9883 6.3149 4.7522
## 2016-12-09 18.0857 7.9949 6.3325 4.7964
## 2016-12-12 20.3556 8.3428 6.4996 4.8024
## 2016-12-13 20.5801 8.5241 6.5524 4.8737
## 2016-12-14 19.2121 8.4829 6.4863 4.9180
## 2016-12-15 17.1020 8.3909 6.4703 4.9035
## 2016-12-16 11.9167 8.4587 6.5341 4.9175
## 2016-12-19 12.5398 8.5237 6.4615 4.8717
## 2016-12-20 13.3079 8.4205 6.4429 4.9035
## 2016-12-21 11.6089 8.4214 6.5120 4.9141
## 2016-12-22 12.6260 8.3871 6.5909 4.9392
## 2016-12-23 12.9271 8.1813 6.5170 4.9660
## 2016-12-26 12.4312 8.1245 6.4852 4.9471
## 2016-12-27 13.2423 8.4328 6.5616 4.9754
## 2016-12-28 13.3825 8.4549 6.5732 4.9213
## 2016-12-29 13.3197 8.5933 6.6233 5.0046
## 2016-12-30 12.6638 8.5064 6.5770 4.9992
## 2017-01-02 13.1672 8.2916 6.5819 4.9867
## [1] "SX5E Skews(2600, 3100)"
Stoxx Skew (Put)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 8.8414 5.1286 3.9353 2.9396 2.2061 1.8110
## 2016-12-07 9.9600 5.0911 3.9218 2.9125 2.2681 1.8233
## 2016-12-08 9.5237 4.9800 3.8293 2.8969 2.2546 1.8296
## 2016-12-09 9.3257 4.9375 3.8362 2.9231 2.2618 1.8092
## 2016-12-12 10.5240 5.1943 3.9367 2.9129 2.2804 1.8510
## 2016-12-13 11.1300 5.2782 3.9738 2.9975 2.2680 1.8482
## 2016-12-14 12.3840 5.2579 3.9197 3.0040 2.3038 1.8763
## 2016-12-15 14.8947 5.1459 3.9102 3.0159 2.2668 1.8299
## 2016-12-16 6.1200 5.2800 3.9300 3.0150 2.2679 1.8903
## 2016-12-19 6.1515 5.3310 3.8937 3.0032 2.3231 1.8779
## 2016-12-20 6.8500 5.3914 3.8771 3.0345 2.2784 1.8523
## 2016-12-21 6.7100 5.3598 3.9509 3.0305 2.3054 1.8600
## 2016-12-22 6.9093 5.3751 3.9937 3.0356 2.3141 1.8982
## 2016-12-23 6.6407 5.2923 3.9592 3.0602 2.3310 1.8965
## 2016-12-26 6.5368 5.2462 3.9418 3.0453 2.3238 1.8912
## 2016-12-27 7.2857 5.4402 3.9935 3.0704 2.3476 1.8608
## 2016-12-28 7.1700 5.4603 4.0022 3.0354 2.3190 1.8892
## 2016-12-29 7.0686 5.4729 4.0257 3.0612 2.3537 1.8873
## 2016-12-30 6.9654 5.4877 4.0092 3.0656 2.3527 1.9039
## 2017-01-02 7.1729 5.4799 4.0179 3.0743 2.3252 1.8796
## [1] "SX5E Skews(90, 100)"
Stoxx Skew (Call)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 -1.6971 2.9757 2.4936 1.9589 1.3702 1.1283
## 2016-12-07 -2.0340 2.5186 2.2455 1.8535 1.4007 1.1485
## 2016-12-08 -2.0951 2.3957 2.1816 1.8223 1.3681 1.1638
## 2016-12-09 -2.3580 2.3175 2.2185 1.8393 1.3468 1.1521
## 2016-12-12 -3.0177 2.4557 2.2245 1.8230 1.3577 1.1595
## 2016-12-13 -2.9011 2.2371 2.1649 1.8404 1.3257 1.1476
## 2016-12-14 -3.5620 2.4493 2.1577 1.8607 1.4025 1.1881
## 2016-12-15 -5.9107 2.1624 2.1109 1.8236 1.3275 1.1475
## 2016-12-16 -0.7600 2.1200 2.0300 1.8468 1.3687 1.1363
## 2016-12-19 -0.5870 2.0905 2.0603 1.8422 1.4051 1.1699
## 2016-12-20 -0.6700 2.1034 1.9552 1.8525 1.3442 1.1312
## 2016-12-21 -0.4000 2.2012 2.0434 1.8306 1.3630 1.1500
## 2016-12-22 -0.4293 2.2514 2.1175 1.8464 1.3626 1.1689
## 2016-12-23 -0.1186 2.3823 2.1515 1.8242 1.3620 1.1775
## 2016-12-26 0.0936 2.3747 2.1436 1.8145 1.3589 1.1737
## 2016-12-27 0.1364 2.4022 2.1722 1.8221 1.3754 1.1531
## 2016-12-28 0.4625 2.4157 2.1610 1.8454 1.3656 1.1621
## 2016-12-29 0.7843 2.5557 2.1914 1.7995 1.3930 1.1708
## 2016-12-30 0.7264 2.5246 2.1785 1.7749 1.3633 1.1589
## 2017-01-02 0.6886 2.4790 2.1214 1.7433 1.3148 1.1548
## [1] "SX5E Skews(100, 110)"
Stoxx Calendar (182)
## X30...91 X91...182 X91...365 X91...547
## 2016-12-06 -1.5571 -1.0638 -1.8563 -2.0259
## 2016-12-07 -1.8746 -1.2135 -2.1463 -2.4300
## 2016-12-08 -2.4900 -1.3774 -2.3913 -2.7305
## 2016-12-09 -2.3659 -1.2950 -2.2580 -2.6041
## 2016-12-12 -2.1483 -1.1659 -2.1131 -2.4882
## 2016-12-13 -1.5357 -1.1881 -2.2963 -2.7804
## 2016-12-14 -1.5501 -0.9772 -2.0032 -2.5747
## 2016-12-15 -2.4055 -0.8743 -1.8521 -2.3703
## 2016-12-16 -2.4000 -1.1000 -2.3237 -2.8822
## 2016-12-19 -2.4413 -1.2940 -2.5048 -3.0321
## 2016-12-20 -2.5920 -1.3836 -2.7656 -3.2894
## 2016-12-21 -2.8842 -1.3203 -2.6402 -3.2404
## 2016-12-22 -3.0227 -1.3558 -2.6437 -3.1936
## 2016-12-23 -3.0454 -1.1985 -2.4107 -2.8920
## 2016-12-26 -2.8763 -1.1807 -2.3795 -2.8576
## 2016-12-27 -2.2999 -1.0568 -2.2185 -2.6225
## 2016-12-28 -2.0482 -0.9638 -2.1823 -2.5795
## 2016-12-29 -1.7471 -0.8386 -1.8690 -2.3295
## 2016-12-30 -1.5970 -0.7708 -1.8045 -2.2671
## 2017-01-02 -1.5396 -0.8458 -1.8633 -2.3490
## [1] "SX5E ATM Calendar"
Stoxx Calendar (365)
## X30...91 X91...182 X91...365 X91...547
## 2016-12-06 -1.5571 -1.0638 -1.8563 -2.0259
## 2016-12-07 -1.8746 -1.2135 -2.1463 -2.4300
## 2016-12-08 -2.4900 -1.3774 -2.3913 -2.7305
## 2016-12-09 -2.3659 -1.2950 -2.2580 -2.6041
## 2016-12-12 -2.1483 -1.1659 -2.1131 -2.4882
## 2016-12-13 -1.5357 -1.1881 -2.2963 -2.7804
## 2016-12-14 -1.5501 -0.9772 -2.0032 -2.5747
## 2016-12-15 -2.4055 -0.8743 -1.8521 -2.3703
## 2016-12-16 -2.4000 -1.1000 -2.3237 -2.8822
## 2016-12-19 -2.4413 -1.2940 -2.5048 -3.0321
## 2016-12-20 -2.5920 -1.3836 -2.7656 -3.2894
## 2016-12-21 -2.8842 -1.3203 -2.6402 -3.2404
## 2016-12-22 -3.0227 -1.3558 -2.6437 -3.1936
## 2016-12-23 -3.0454 -1.1985 -2.4107 -2.8920
## 2016-12-26 -2.8763 -1.1807 -2.3795 -2.8576
## 2016-12-27 -2.2999 -1.0568 -2.2185 -2.6225
## 2016-12-28 -2.0482 -0.9638 -2.1823 -2.5795
## 2016-12-29 -1.7471 -0.8386 -1.8690 -2.3295
## 2016-12-30 -1.5970 -0.7708 -1.8045 -2.2671
## 2017-01-02 -1.5396 -0.8458 -1.8633 -2.3490
## [1] "SX5E ATM Calendar"
Stoxx Calendar K (182)
## X30...91 X91...182 X91...365 X91...547
## 2016-12-06 0.4433 -0.2749 -0.4232 -0.1153
## 2016-12-07 1.7881 -0.3025 -0.4623 -0.2455
## 2016-12-08 1.4538 -0.3423 -0.5215 -0.2846
## 2016-12-09 1.6394 -0.2685 -0.3834 -0.1131
## 2016-12-12 2.7495 0.0125 0.0215 0.2371
## 2016-12-13 4.6830 0.1728 0.0789 0.3507
## 2016-12-14 5.3229 0.3222 0.1841 0.2927
## 2016-12-15 7.6584 0.4649 0.4484 0.7306
## 2016-12-16 -1.3412 0.3931 0.1748 0.4367
## 2016-12-19 -1.4023 0.2750 0.0342 0.2430
## 2016-12-20 -0.6833 0.3656 -0.0390 0.3016
## 2016-12-21 -1.3069 0.2769 -0.0055 0.2112
## 2016-12-22 -1.1667 0.1984 -0.0100 0.2509
## 2016-12-23 -1.3055 0.3169 0.1251 0.4731
## 2016-12-26 -1.2288 0.3025 0.1207 0.4633
## 2016-12-27 -0.0088 0.6120 0.5109 0.9345
## 2016-12-28 0.1028 0.7166 0.6073 1.0255
## 2016-12-29 0.2449 0.7997 0.8569 1.1983
## 2016-12-30 0.3017 0.9747 1.0487 1.4280
## 2017-01-02 0.7742 0.9417 1.0776 1.5059
## [1] "SX5E ATM Calendar"
KOSPI200
KOSPI200 ATM Vol
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 11.7140 12.0050 12.9214 14.5802 15.3591 15.7456
## 2016-12-07 9.2899 11.7125 12.8824 14.5523 15.3521 15.7377
## 2016-12-08 8.2200 11.0800 12.4600 14.3054 15.1568 15.5608
## 2016-12-09 9.0900 11.6337 12.8293 14.5238 15.2667 15.6235
## 2016-12-12 7.7000 11.5343 13.0067 14.6035 15.3250 15.6684
## 2016-12-13 7.7600 11.5986 12.7982 14.6020 15.2761 15.6000
## 2016-12-14 8.1304 11.6397 12.9324 14.6300 15.2779 15.5918
## 2016-12-15 8.2921 11.4160 12.8629 14.5847 15.2835 15.6235
## 2016-12-16 8.3854 11.4889 12.8441 14.6092 15.2817 15.6053
## 2016-12-19 9.2643 11.7109 13.0357 14.7417 15.3676 15.6797
## 2016-12-20 9.3400 11.6917 12.9969 14.7881 15.4602 15.7867
## 2016-12-21 9.4671 11.7809 13.0224 14.7667 15.3200 15.5965
## 2016-12-22 9.2771 11.8440 13.0357 14.8596 15.5647 15.9038
## 2016-12-23 9.5416 11.9746 13.2881 14.9140 15.5639 15.8993
## 2016-12-26 9.3393 11.9454 13.1878 14.8963 15.5528 15.8804
## 2016-12-27 9.3000 11.8426 13.0901 14.8246 15.5156 15.8523
## 2016-12-28 10.1125 12.2471 13.3606 14.9824 15.6986 16.0398
## 2016-12-29 9.2500 11.9540 13.3171 15.0184 15.6482 15.9633
## 2016-12-30 9.2825 11.9709 13.3294 15.0230 15.6503 15.9648
## 2017-01-02 9.7200 12.2686 13.4589 15.1726 15.7637 16.0575
## [1] "KOSPI200 ATM Vols"
KOSPI200 ATM Vol vs. Price (182)
## S X30.Days X91.Days X182.Days X365.Days X547.Days
## 2016-12-07 256.34 9.2899 11.7125 12.8824 14.5523 15.3521
## 2016-12-08 262.00 8.2200 11.0800 12.4600 14.3054 15.1568
## 2016-12-09 260.91 9.0900 11.6337 12.8293 14.5238 15.2667
## 2016-12-12 260.72 7.7000 11.5343 13.0067 14.6035 15.3250
## 2016-12-13 261.63 7.7600 11.5986 12.7982 14.6020 15.2761
## 2016-12-14 262.00 8.1304 11.6397 12.9324 14.6300 15.2779
## 2016-12-15 261.45 8.2921 11.4160 12.8629 14.5847 15.2835
## 2016-12-16 262.56 8.3854 11.4889 12.8441 14.6092 15.2817
## 2016-12-19 261.93 9.2643 11.7109 13.0357 14.7417 15.3676
## 2016-12-20 262.59 9.3400 11.6917 12.9969 14.7881 15.4602
## 2016-12-21 262.10 9.4671 11.7809 13.0224 14.7667 15.3200
## 2016-12-22 261.97 9.2771 11.8440 13.0357 14.8596 15.5647
## 2016-12-23 261.61 9.5416 11.9746 13.2881 14.9140 15.5639
## 2016-12-26 261.90 9.3393 11.9454 13.1878 14.8963 15.5528
## 2016-12-27 262.49 9.3000 11.8426 13.0901 14.8246 15.5156
## 2016-12-28 259.70 10.1125 12.2471 13.3606 14.9824 15.6986
## 2016-12-29 260.01 9.2500 11.9540 13.3171 15.0184 15.6482
## 2016-12-30 260.01 9.2825 11.9709 13.3294 15.0230 15.6503
## 2017-01-02 260.36 9.7200 12.2686 13.4589 15.1726 15.7637
## 2017-01-03 262.97 9.7200 12.2686 13.4589 15.1726 15.7637
## X730.Days
## 2016-12-07 15.7377
## 2016-12-08 15.5608
## 2016-12-09 15.6235
## 2016-12-12 15.6684
## 2016-12-13 15.6000
## 2016-12-14 15.5918
## 2016-12-15 15.6235
## 2016-12-16 15.6053
## 2016-12-19 15.6797
## 2016-12-20 15.7867
## 2016-12-21 15.5965
## 2016-12-22 15.9038
## 2016-12-23 15.8993
## 2016-12-26 15.8804
## 2016-12-27 15.8523
## 2016-12-28 16.0398
## 2016-12-29 15.9633
## 2016-12-30 15.9648
## 2017-01-02 16.0575
## 2017-01-03 16.0575
## [1] "KOSPI200 ATM Vols vs. Price"
KOSPI200 ATM Vol vs. Price (365)
## S X30.Days X91.Days X182.Days X365.Days X547.Days
## 2016-12-07 256.34 9.2899 11.7125 12.8824 14.5523 15.3521
## 2016-12-08 262.00 8.2200 11.0800 12.4600 14.3054 15.1568
## 2016-12-09 260.91 9.0900 11.6337 12.8293 14.5238 15.2667
## 2016-12-12 260.72 7.7000 11.5343 13.0067 14.6035 15.3250
## 2016-12-13 261.63 7.7600 11.5986 12.7982 14.6020 15.2761
## 2016-12-14 262.00 8.1304 11.6397 12.9324 14.6300 15.2779
## 2016-12-15 261.45 8.2921 11.4160 12.8629 14.5847 15.2835
## 2016-12-16 262.56 8.3854 11.4889 12.8441 14.6092 15.2817
## 2016-12-19 261.93 9.2643 11.7109 13.0357 14.7417 15.3676
## 2016-12-20 262.59 9.3400 11.6917 12.9969 14.7881 15.4602
## 2016-12-21 262.10 9.4671 11.7809 13.0224 14.7667 15.3200
## 2016-12-22 261.97 9.2771 11.8440 13.0357 14.8596 15.5647
## 2016-12-23 261.61 9.5416 11.9746 13.2881 14.9140 15.5639
## 2016-12-26 261.90 9.3393 11.9454 13.1878 14.8963 15.5528
## 2016-12-27 262.49 9.3000 11.8426 13.0901 14.8246 15.5156
## 2016-12-28 259.70 10.1125 12.2471 13.3606 14.9824 15.6986
## 2016-12-29 260.01 9.2500 11.9540 13.3171 15.0184 15.6482
## 2016-12-30 260.01 9.2825 11.9709 13.3294 15.0230 15.6503
## 2017-01-02 260.36 9.7200 12.2686 13.4589 15.1726 15.7637
## 2017-01-03 262.97 9.7200 12.2686 13.4589 15.1726 15.7637
## X730.Days
## 2016-12-07 15.7377
## 2016-12-08 15.5608
## 2016-12-09 15.6235
## 2016-12-12 15.6684
## 2016-12-13 15.6000
## 2016-12-14 15.5918
## 2016-12-15 15.6235
## 2016-12-16 15.6053
## 2016-12-19 15.6797
## 2016-12-20 15.7867
## 2016-12-21 15.5965
## 2016-12-22 15.9038
## 2016-12-23 15.8993
## 2016-12-26 15.8804
## 2016-12-27 15.8523
## 2016-12-28 16.0398
## 2016-12-29 15.9633
## 2016-12-30 15.9648
## 2017-01-02 16.0575
## 2017-01-03 16.0575
## [1] "KOSPI200 ATM Vols vs. Price"
KOSPI200 Skew
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 7.7040 5.6243 4.3144 3.4379 2.6606 2.2647
## 2016-12-07 6.9981 5.3625 4.1622 3.2162 2.6007 2.2609
## 2016-12-08 6.6900 4.8600 3.7100 2.9638 2.3910 2.0869
## 2016-12-09 6.8400 4.6454 3.4749 2.9705 2.3764 2.0753
## 2016-12-12 7.4900 4.6494 3.5655 2.9704 2.3596 2.0713
## 2016-12-13 6.3300 4.4557 3.5214 3.2768 2.4283 2.0600
## 2016-12-14 6.4350 4.3723 3.5063 3.2200 2.4161 2.0590
## 2016-12-15 6.6257 4.4480 3.5300 3.1352 2.4350 2.0980
## 2016-12-16 6.6475 4.4514 3.5335 3.1205 2.4284 2.1069
## 2016-12-19 6.8536 4.3497 3.5561 3.0575 2.4121 2.0939
## 2016-12-20 6.8675 4.4669 3.6214 3.0526 2.4005 2.0931
## 2016-12-21 6.8857 4.6183 3.6537 3.3782 2.5248 2.1227
## 2016-12-22 6.7325 4.7360 3.6500 3.5677 2.6303 2.0923
## 2016-12-23 6.8431 4.8821 3.8583 3.6351 2.6441 2.1445
## 2016-12-26 6.7407 4.8249 3.8371 3.6449 2.6248 2.1371
## 2016-12-27 6.7550 4.8437 3.9259 3.6815 2.6315 2.1462
## 2016-12-28 7.1557 4.8686 3.9492 3.7221 2.7028 2.1352
## 2016-12-29 6.8743 5.0260 4.2957 3.5661 2.6150 2.1346
## 2016-12-30 6.8639 5.0006 4.2841 3.5598 2.6117 2.1337
## 2017-01-02 7.0671 5.1100 4.3351 3.5765 2.6135 2.1308
## [1] "KOSPI200 Skews(90, 110)"
KOSPI200 Skew vs. Price (182)
KOSPI200 Skew vs. Price (365)
KOSPI200 Calendar
## X30...91 X91...182 X91...365 X91...547
## 2016-12-06 -29.10 -91.64 -257.52 -335.41
## 2016-12-07 -242.26 -116.99 -283.98 -363.96
## 2016-12-08 -286.00 -138.00 -322.54 -407.68
## 2016-12-09 -254.37 -119.56 -289.01 -363.30
## 2016-12-12 -383.43 -147.24 -306.92 -379.08
## 2016-12-13 -383.86 -119.96 -300.34 -367.75
## 2016-12-14 -350.94 -129.27 -299.03 -363.82
## 2016-12-15 -312.39 -144.69 -316.87 -386.75
## 2016-12-16 -310.35 -135.52 -312.04 -379.28
## 2016-12-19 -244.66 -132.49 -303.08 -365.67
## 2016-12-20 -235.17 -130.52 -309.64 -376.84
## 2016-12-21 -231.37 -124.16 -298.59 -353.91
## 2016-12-22 -256.69 -119.17 -301.56 -372.07
## 2016-12-23 -243.29 -131.36 -293.94 -358.93
## 2016-12-26 -260.61 -124.23 -295.09 -360.74
## 2016-12-27 -254.26 -124.75 -298.20 -367.30
## 2016-12-28 -213.46 -111.35 -273.53 -345.14
## 2016-12-29 -270.40 -136.31 -306.44 -369.42
## 2016-12-30 -268.84 -135.85 -305.21 -367.94
## 2017-01-02 -254.86 -119.03 -290.40 -349.51
## [1] "KOSPI200 ATM Calendar"
SPX
SPX ATM Vol (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 9.6105 12.3342 14.1546 15.9100 16.8347 17.4050
## 2016-12-07 9.8944 12.1767 14.0144 15.7475 16.6342 17.2937
## 2016-12-08 10.5452 12.5915 14.3182 15.9996 16.8928 17.5328
## 2016-12-09 9.8713 12.1595 14.0287 15.8303 16.8814 17.6001
## 2016-12-12 10.9918 12.6657 14.2902 16.0077 17.0620 17.8603
## 2016-12-13 11.3132 12.8118 14.3503 15.9462 16.9978 17.7471
## 2016-12-14 11.2279 12.7157 14.2094 15.9331 17.0352 17.7824
## 2016-12-15 10.2402 12.3879 14.0231 15.7706 16.9005 17.6750
## 2016-12-16 9.8846 12.1841 13.8953 15.7625 16.8814 17.6467
## 2016-12-19 9.5288 12.0230 13.7068 15.6838 16.7863 17.5610
## 2016-12-20 9.5380 11.8968 13.6504 15.6299 16.7487 17.4750
## 2016-12-21 9.4417 12.0121 13.6971 15.6885 16.7970 17.5909
## 2016-12-22 9.6143 12.1575 13.7823 15.7019 16.7861 17.5023
## 2016-12-23 9.4523 12.0834 13.7501 15.6288 16.7498 17.5231
## 2016-12-26 9.6022 12.1486 13.7874 15.6490 16.7625 17.5329
## 2016-12-27 9.7822 12.1087 13.7136 15.6580 16.8498 17.7740
## 2016-12-28 10.5316 12.7403 14.1253 15.8796 17.0214 17.9054
## 2016-12-29 11.0303 12.9839 14.4139 16.0597 17.1082 17.8707
## 2016-12-30 11.4822 13.4544 14.7574 16.3460 17.3582 18.0747
## 2017-01-02 11.5753 13.4979 14.7899 16.3631 17.3700 18.0838
## [1] "SPX ATM Vols"
SPX ATM Vol (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 9.6105 12.3342 14.1546 15.9100 16.8347 17.4050
## 2016-12-07 9.8944 12.1767 14.0144 15.7475 16.6342 17.2937
## 2016-12-08 10.5452 12.5915 14.3182 15.9996 16.8928 17.5328
## 2016-12-09 9.8713 12.1595 14.0287 15.8303 16.8814 17.6001
## 2016-12-12 10.9918 12.6657 14.2902 16.0077 17.0620 17.8603
## 2016-12-13 11.3132 12.8118 14.3503 15.9462 16.9978 17.7471
## 2016-12-14 11.2279 12.7157 14.2094 15.9331 17.0352 17.7824
## 2016-12-15 10.2402 12.3879 14.0231 15.7706 16.9005 17.6750
## 2016-12-16 9.8846 12.1841 13.8953 15.7625 16.8814 17.6467
## 2016-12-19 9.5288 12.0230 13.7068 15.6838 16.7863 17.5610
## 2016-12-20 9.5380 11.8968 13.6504 15.6299 16.7487 17.4750
## 2016-12-21 9.4417 12.0121 13.6971 15.6885 16.7970 17.5909
## 2016-12-22 9.6143 12.1575 13.7823 15.7019 16.7861 17.5023
## 2016-12-23 9.4523 12.0834 13.7501 15.6288 16.7498 17.5231
## 2016-12-26 9.6022 12.1486 13.7874 15.6490 16.7625 17.5329
## 2016-12-27 9.7822 12.1087 13.7136 15.6580 16.8498 17.7740
## 2016-12-28 10.5316 12.7403 14.1253 15.8796 17.0214 17.9054
## 2016-12-29 11.0303 12.9839 14.4139 16.0597 17.1082 17.8707
## 2016-12-30 11.4822 13.4544 14.7574 16.3460 17.3582 18.0747
## 2017-01-02 11.5753 13.4979 14.7899 16.3631 17.3700 18.0838
## [1] "SPX ATM Vols"
SPX ATM Vol vs. Price (182)
## S X30.Days X91.Days X182.Days X365.Days X547.Days
## 2016-12-07 2241.35 9.8944 12.1767 14.0144 15.7475 16.6342
## 2016-12-08 2246.19 10.5452 12.5915 14.3182 15.9996 16.8928
## 2016-12-09 2259.53 9.8713 12.1595 14.0287 15.8303 16.8814
## 2016-12-12 2256.96 10.9918 12.6657 14.2902 16.0077 17.0620
## 2016-12-13 2271.72 11.3132 12.8118 14.3503 15.9462 16.9978
## 2016-12-14 2253.28 11.2279 12.7157 14.2094 15.9331 17.0352
## 2016-12-15 2262.03 10.2402 12.3879 14.0231 15.7706 16.9005
## 2016-12-16 2258.07 9.8846 12.1841 13.8953 15.7625 16.8814
## 2016-12-19 2262.53 9.5288 12.0230 13.7068 15.6838 16.7863
## 2016-12-20 2270.76 9.5380 11.8968 13.6504 15.6299 16.7487
## 2016-12-21 2265.18 9.4417 12.0121 13.6971 15.6885 16.7970
## 2016-12-22 2260.96 9.6143 12.1575 13.7823 15.7019 16.7861
## 2016-12-23 2263.79 9.4523 12.0834 13.7501 15.6288 16.7498
## 2016-12-26 2263.79 9.6022 12.1486 13.7874 15.6490 16.7625
## 2016-12-27 2268.88 9.7822 12.1087 13.7136 15.6580 16.8498
## 2016-12-28 2249.92 10.5316 12.7403 14.1253 15.8796 17.0214
## 2016-12-29 2249.26 11.0303 12.9839 14.4139 16.0597 17.1082
## 2016-12-30 2238.83 11.4822 13.4544 14.7574 16.3460 17.3582
## 2017-01-02 2238.83 11.5753 13.4979 14.7899 16.3631 17.3700
## 2017-01-03 2257.83 11.5753 13.4979 14.7899 16.3631 17.3700
## X730.Days
## 2016-12-07 17.2937
## 2016-12-08 17.5328
## 2016-12-09 17.6001
## 2016-12-12 17.8603
## 2016-12-13 17.7471
## 2016-12-14 17.7824
## 2016-12-15 17.6750
## 2016-12-16 17.6467
## 2016-12-19 17.5610
## 2016-12-20 17.4750
## 2016-12-21 17.5909
## 2016-12-22 17.5023
## 2016-12-23 17.5231
## 2016-12-26 17.5329
## 2016-12-27 17.7740
## 2016-12-28 17.9054
## 2016-12-29 17.8707
## 2016-12-30 18.0747
## 2017-01-02 18.0838
## 2017-01-03 18.0838
## [1] "SPX ATM Vols vs. Price"
SPX ATM Vol vs. Price (365)
## S X30.Days X91.Days X182.Days X365.Days X547.Days
## 2016-12-07 2241.35 9.8944 12.1767 14.0144 15.7475 16.6342
## 2016-12-08 2246.19 10.5452 12.5915 14.3182 15.9996 16.8928
## 2016-12-09 2259.53 9.8713 12.1595 14.0287 15.8303 16.8814
## 2016-12-12 2256.96 10.9918 12.6657 14.2902 16.0077 17.0620
## 2016-12-13 2271.72 11.3132 12.8118 14.3503 15.9462 16.9978
## 2016-12-14 2253.28 11.2279 12.7157 14.2094 15.9331 17.0352
## 2016-12-15 2262.03 10.2402 12.3879 14.0231 15.7706 16.9005
## 2016-12-16 2258.07 9.8846 12.1841 13.8953 15.7625 16.8814
## 2016-12-19 2262.53 9.5288 12.0230 13.7068 15.6838 16.7863
## 2016-12-20 2270.76 9.5380 11.8968 13.6504 15.6299 16.7487
## 2016-12-21 2265.18 9.4417 12.0121 13.6971 15.6885 16.7970
## 2016-12-22 2260.96 9.6143 12.1575 13.7823 15.7019 16.7861
## 2016-12-23 2263.79 9.4523 12.0834 13.7501 15.6288 16.7498
## 2016-12-26 2263.79 9.6022 12.1486 13.7874 15.6490 16.7625
## 2016-12-27 2268.88 9.7822 12.1087 13.7136 15.6580 16.8498
## 2016-12-28 2249.92 10.5316 12.7403 14.1253 15.8796 17.0214
## 2016-12-29 2249.26 11.0303 12.9839 14.4139 16.0597 17.1082
## 2016-12-30 2238.83 11.4822 13.4544 14.7574 16.3460 17.3582
## 2017-01-02 2238.83 11.5753 13.4979 14.7899 16.3631 17.3700
## 2017-01-03 2257.83 11.5753 13.4979 14.7899 16.3631 17.3700
## X730.Days
## 2016-12-07 17.2937
## 2016-12-08 17.5328
## 2016-12-09 17.6001
## 2016-12-12 17.8603
## 2016-12-13 17.7471
## 2016-12-14 17.7824
## 2016-12-15 17.6750
## 2016-12-16 17.6467
## 2016-12-19 17.5610
## 2016-12-20 17.4750
## 2016-12-21 17.5909
## 2016-12-22 17.5023
## 2016-12-23 17.5231
## 2016-12-26 17.5329
## 2016-12-27 17.7740
## 2016-12-28 17.9054
## 2016-12-29 17.8707
## 2016-12-30 18.0747
## 2017-01-02 18.0838
## 2017-01-03 18.0838
## [1] "SPX ATM Vols vs. Price"
SPX K Vol
## X2016.09.16...2000 X2016.09.16...1850 X2016.09.16...1900
## 2016-12-06 23.8207 39.1602 33.4764
## 2016-12-07 26.9028 42.2267 36.4555
## 2016-12-08 28.9368 47.7018 40.4052
## 2016-12-09 33.3553 56.0014 49.2809
## 2016-12-12 43.1752 62.7442 58.3292
## 2016-12-13 49.2881 62.7613 60.5111
## 2016-12-14 58.4183 76.2122 73.7121
## 2016-12-15 72.3878 78.9605 78.4038
## 2016-12-16 20.5183 27.2307 24.8527
## 2016-12-19 20.5799 27.7760 25.2346
## 2016-12-20 20.5503 27.6005 25.1212
## 2016-12-21 19.9991 26.8416 24.4488
## 2016-12-22 20.1398 27.4953 24.8152
## 2016-12-23 20.4529 28.0709 25.3194
## 2016-12-26 20.4529 28.0709 25.3194
## 2016-12-27 21.3149 29.3936 26.4718
## 2016-12-28 21.6947 29.9425 26.8895
## 2016-12-29 22.2462 31.0417 27.7075
## 2016-12-30 22.9426 31.1954 28.0977
## 2017-01-02 22.9426 31.1954 28.0977
## X2016.09.16...1800
## 2016-12-06 45.3259
## 2016-12-07 47.9980
## 2016-12-08 54.9985
## 2016-12-09 62.0365
## 2016-12-12 66.8379
## 2016-12-13 64.4163
## 2016-12-14 78.6078
## 2016-12-15 79.4246
## 2016-12-16 29.6418
## 2016-12-19 30.3741
## 2016-12-20 30.1734
## 2016-12-21 29.2880
## 2016-12-22 30.2521
## 2016-12-23 30.9160
## 2016-12-26 30.9160
## 2016-12-27 32.4420
## 2016-12-28 32.9955
## 2016-12-29 34.3758
## 2016-12-30 34.2931
## 2017-01-02 34.2931
## [1] "SPX Vols"
SPX Skew (182)
## X30.Days X91.Days X182.Days X365.Days
## 2016-12-06 7.9387 8.4458 8.2677 6.5992
## 2016-12-07 6.9263 7.8215 7.9888 6.4736
## 2016-12-08 6.9026 7.5085 7.6467 6.3011
## 2016-12-09 6.8808 7.2724 7.4769 6.1016
## 2016-12-12 8.6807 7.5921 7.5824 6.1424
## 2016-12-13 8.3770 7.3189 7.3891 6.0639
## 2016-12-14 9.3778 7.8424 7.7640 6.2481
## 2016-12-15 10.9847 7.9359 7.9113 6.3203
## 2016-12-16 6.4863 8.0611 8.1254 6.5423
## 2016-12-19 6.0666 7.7202 7.7742 6.3264
## 2016-12-20 5.8841 7.6983 7.7477 6.3787
## 2016-12-21 5.6952 7.6689 7.6766 6.3630
## 2016-12-22 6.3407 8.0486 7.9184 6.5235
## 2016-12-23 6.3162 8.0475 7.9078 6.4790
## 2016-12-26 6.4314 8.0606 7.8842 6.4606
## 2016-12-27 6.5037 8.0116 7.8211 6.4133
## 2016-12-28 7.3792 8.7322 8.2298 6.5079
## 2016-12-29 7.8133 8.8618 8.3613 6.5808
## 2016-12-30 8.3504 9.2808 8.6214 6.6728
## 2017-01-02 8.4205 9.2667 8.5845 6.6506
## [1] "SPX Skews(90, 110)"
SPX Skew (365)
## X30.Days X91.Days X182.Days X365.Days
## 2016-12-06 7.9387 8.4458 8.2677 6.5992
## 2016-12-07 6.9263 7.8215 7.9888 6.4736
## 2016-12-08 6.9026 7.5085 7.6467 6.3011
## 2016-12-09 6.8808 7.2724 7.4769 6.1016
## 2016-12-12 8.6807 7.5921 7.5824 6.1424
## 2016-12-13 8.3770 7.3189 7.3891 6.0639
## 2016-12-14 9.3778 7.8424 7.7640 6.2481
## 2016-12-15 10.9847 7.9359 7.9113 6.3203
## 2016-12-16 6.4863 8.0611 8.1254 6.5423
## 2016-12-19 6.0666 7.7202 7.7742 6.3264
## 2016-12-20 5.8841 7.6983 7.7477 6.3787
## 2016-12-21 5.6952 7.6689 7.6766 6.3630
## 2016-12-22 6.3407 8.0486 7.9184 6.5235
## 2016-12-23 6.3162 8.0475 7.9078 6.4790
## 2016-12-26 6.4314 8.0606 7.8842 6.4606
## 2016-12-27 6.5037 8.0116 7.8211 6.4133
## 2016-12-28 7.3792 8.7322 8.2298 6.5079
## 2016-12-29 7.8133 8.8618 8.3613 6.5808
## 2016-12-30 8.3504 9.2808 8.6214 6.6728
## 2017-01-02 8.4205 9.2667 8.5845 6.6506
## [1] "SPX Skews(90, 110)"
SPX Skew vs. Price (182)
SPX Skew vs. Price (365)
SPX Skew (Put)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 11.4061 6.7206 5.0837 3.7134 2.9883 2.5181
## 2016-12-07 11.3287 6.6311 5.0643 3.6882 2.9751 2.5056
## 2016-12-08 10.9524 6.3014 4.8680 3.6002 2.9398 2.4917
## 2016-12-09 11.6367 6.3123 4.8280 3.5346 2.9256 2.5073
## 2016-12-12 12.9273 6.3086 4.8042 3.5372 2.9575 2.5214
## 2016-12-13 13.1053 6.1360 4.7449 3.5408 2.9452 2.5186
## 2016-12-14 15.2351 6.6035 4.9949 3.6460 2.9927 2.5759
## 2016-12-15 17.8860 6.8503 5.1287 3.7000 3.0300 2.5943
## 2016-12-16 9.2679 6.9904 5.2603 3.8056 3.1076 2.6525
## 2016-12-19 9.4093 6.8040 5.1220 3.7018 3.0307 2.6047
## 2016-12-20 9.0887 6.7732 5.1132 3.7165 3.0281 2.5924
## 2016-12-21 8.8812 6.6185 5.0654 3.7116 3.0250 2.5700
## 2016-12-22 8.9593 6.7551 5.1648 3.7956 3.0719 2.5979
## 2016-12-23 9.2371 6.7987 5.1658 3.7913 3.0799 2.6158
## 2016-12-26 9.0586 6.7335 5.1381 3.7767 3.0723 2.6095
## 2016-12-27 9.3241 6.7620 5.1350 3.7427 3.0483 2.5678
## 2016-12-28 9.6586 6.8793 5.1917 3.7454 3.0150 2.5264
## 2016-12-29 9.6124 6.8535 5.1659 3.7602 3.0515 2.5540
## 2016-12-30 10.1425 6.8570 5.1871 3.7661 3.0576 2.5558
## 2017-01-02 9.8653 6.7842 5.1568 3.7515 3.0492 2.5511
## [1] "SPX Skews(90, 100)"
SPX Skew (Call)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 -3.4674 1.7251 3.1840 2.8858 2.5520 2.2086
## 2016-12-07 -4.4024 1.1904 2.9245 2.7854 2.4880 2.1641
## 2016-12-08 -4.0499 1.2071 2.7787 2.7009 2.4555 2.1423
## 2016-12-09 -4.7559 0.9600 2.6489 2.5670 2.4022 2.1372
## 2016-12-12 -4.2466 1.2835 2.7782 2.6052 2.4217 2.1532
## 2016-12-13 -4.7283 1.1829 2.6443 2.5231 2.3806 2.1214
## 2016-12-14 -5.8574 1.2389 2.7691 2.6021 2.4509 2.1709
## 2016-12-15 -6.9013 1.0856 2.7825 2.6203 2.4702 2.1796
## 2016-12-16 -2.7817 1.0708 2.8651 2.7366 2.5275 2.2375
## 2016-12-19 -3.3426 0.9162 2.6521 2.6246 2.4641 2.2027
## 2016-12-20 -3.2046 0.9251 2.6345 2.6622 2.4817 2.1914
## 2016-12-21 -3.1860 1.0504 2.6111 2.6514 2.4511 2.1702
## 2016-12-22 -2.6186 1.2935 2.7536 2.7278 2.5077 2.1984
## 2016-12-23 -2.9209 1.2489 2.7420 2.6877 2.4964 2.2166
## 2016-12-26 -2.6272 1.3271 2.7461 2.6840 2.4918 2.2124
## 2016-12-27 -2.8204 1.2496 2.6861 2.6706 2.4723 2.2112
## 2016-12-28 -2.2794 1.8528 3.0382 2.7625 2.4845 2.1408
## 2016-12-29 -1.7992 2.0083 3.1954 2.8206 2.5423 2.1891
## 2016-12-30 -1.7922 2.4238 3.4343 2.9067 2.5613 2.1918
## 2017-01-02 -1.4449 2.4824 3.4278 2.8991 2.5551 2.1886
## [1] "SPX Skews(100, 110)"
SPX Calendar
## X30...91 X91...182 X91...365 X91...547
## 2016-12-06 -2.7236 -1.8205 -3.5758 -4.5005
## 2016-12-07 -2.2823 -1.8377 -3.5708 -4.4576
## 2016-12-08 -2.0462 -1.7267 -3.4081 -4.3014
## 2016-12-09 -2.2882 -1.8692 -3.6707 -4.7218
## 2016-12-12 -1.6738 -1.6246 -3.3420 -4.3963
## 2016-12-13 -1.4986 -1.5385 -3.1344 -4.1860
## 2016-12-14 -1.4878 -1.4937 -3.2174 -4.3195
## 2016-12-15 -2.1476 -1.6352 -3.3827 -4.5126
## 2016-12-16 -2.2995 -1.7112 -3.5784 -4.6973
## 2016-12-19 -2.4941 -1.6839 -3.6609 -4.7633
## 2016-12-20 -2.3588 -1.7536 -3.7331 -4.8519
## 2016-12-21 -2.5704 -1.6850 -3.6764 -4.7850
## 2016-12-22 -2.5433 -1.6248 -3.5444 -4.6286
## 2016-12-23 -2.6311 -1.6667 -3.5454 -4.6664
## 2016-12-26 -2.5464 -1.6388 -3.5004 -4.6139
## 2016-12-27 -2.3265 -1.6048 -3.5493 -4.7411
## 2016-12-28 -2.2088 -1.3849 -3.1393 -4.2811
## 2016-12-29 -1.9536 -1.4300 -3.0758 -4.1243
## 2016-12-30 -1.9722 -1.3030 -2.8916 -3.9038
## 2017-01-02 -1.9225 -1.2921 -2.8653 -3.8722
## [1] "SPX ATM Calendar"
HSCEI
HSCEI ATM Vol (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 17.3525 19.2290 20.6727 22.1222 22.7787 23.3603
## 2016-12-07 16.8514 18.7568 20.1864 21.9115 22.5135 23.1985
## 2016-12-08 16.6529 19.0003 20.4023 21.9471 22.5618 23.1901
## 2016-12-09 16.4014 18.8565 20.3395 21.9752 22.6363 23.2198
## 2016-12-12 17.9796 19.5048 20.6593 22.1540 22.8081 23.2889
## 2016-12-13 17.4350 19.2526 20.5600 22.0729 22.7673 23.3341
## 2016-12-14 17.4743 19.3129 20.5933 22.1131 22.7285 23.3980
## 2016-12-15 19.5414 20.3452 21.2023 22.5443 23.1686 23.7395
## 2016-12-16 18.8136 20.0994 21.1200 22.4703 23.0457 23.5752
## 2016-12-19 19.5029 20.4655 21.3086 22.5756 23.0673 23.6605
## 2016-12-20 19.6575 20.7206 21.4276 22.5908 23.1563 23.8590
## 2016-12-21 18.1129 20.0577 21.1403 22.4254 22.9604 23.5570
## 2016-12-22 18.7675 20.8300 21.5477 22.6890 23.2035 23.8100
## 2016-12-23 19.1457 21.0229 21.7398 22.9431 23.4174 23.9844
## 2016-12-26 19.7489 21.0965 21.7599 22.9592 23.4249 23.9938
## 2016-12-27 19.9500 21.1210 21.7666 22.9646 23.4275 23.9969
## 2016-12-28 20.3878 20.9974 21.5640 22.7300 23.1400 23.7300
## 2016-12-29 20.3238 20.8800 21.5800 22.7718 23.1032 23.6915
## 2016-12-30 19.7219 20.6893 21.5354 22.7323 22.9469 23.5712
## 2017-01-02 19.7237 20.7174 21.5515 22.7358 22.9572 23.5730
## [1] "HSCEI ATM Vols"
HSCEI ATM Vol (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 17.3525 19.2290 20.6727 22.1222 22.7787 23.3603
## 2016-12-07 16.8514 18.7568 20.1864 21.9115 22.5135 23.1985
## 2016-12-08 16.6529 19.0003 20.4023 21.9471 22.5618 23.1901
## 2016-12-09 16.4014 18.8565 20.3395 21.9752 22.6363 23.2198
## 2016-12-12 17.9796 19.5048 20.6593 22.1540 22.8081 23.2889
## 2016-12-13 17.4350 19.2526 20.5600 22.0729 22.7673 23.3341
## 2016-12-14 17.4743 19.3129 20.5933 22.1131 22.7285 23.3980
## 2016-12-15 19.5414 20.3452 21.2023 22.5443 23.1686 23.7395
## 2016-12-16 18.8136 20.0994 21.1200 22.4703 23.0457 23.5752
## 2016-12-19 19.5029 20.4655 21.3086 22.5756 23.0673 23.6605
## 2016-12-20 19.6575 20.7206 21.4276 22.5908 23.1563 23.8590
## 2016-12-21 18.1129 20.0577 21.1403 22.4254 22.9604 23.5570
## 2016-12-22 18.7675 20.8300 21.5477 22.6890 23.2035 23.8100
## 2016-12-23 19.1457 21.0229 21.7398 22.9431 23.4174 23.9844
## 2016-12-26 19.7489 21.0965 21.7599 22.9592 23.4249 23.9938
## 2016-12-27 19.9500 21.1210 21.7666 22.9646 23.4275 23.9969
## 2016-12-28 20.3878 20.9974 21.5640 22.7300 23.1400 23.7300
## 2016-12-29 20.3238 20.8800 21.5800 22.7718 23.1032 23.6915
## 2016-12-30 19.7219 20.6893 21.5354 22.7323 22.9469 23.5712
## 2017-01-02 19.7237 20.7174 21.5515 22.7358 22.9572 23.5730
## [1] "HSCEI ATM Vols"
HSCEI ATM Vol vs. Price (182)
## S X30.Days X91.Days X182.Days X365.Days X547.Days
## 2016-12-07 9829.58 16.8514 18.7568 20.1864 21.9115 22.5135
## 2016-12-08 9896.82 16.6529 19.0003 20.4023 21.9471 22.5618
## 2016-12-09 9867.95 16.4014 18.8565 20.3395 21.9752 22.6363
## 2016-12-12 9699.31 17.9796 19.5048 20.6593 22.1540 22.8081
## 2016-12-13 9719.94 17.4350 19.2526 20.5600 22.0729 22.7673
## 2016-12-14 9706.15 17.4743 19.3129 20.5933 22.1131 22.7285
## 2016-12-15 9479.16 19.5414 20.3452 21.2023 22.5443 23.1686
## 2016-12-16 9470.33 18.8136 20.0994 21.1200 22.4703 23.0457
## 2016-12-19 9377.43 19.5029 20.4655 21.3086 22.5756 23.0673
## 2016-12-20 9283.41 19.6575 20.7206 21.4276 22.5908 23.1563
## 2016-12-21 9331.63 18.1129 20.0577 21.1403 22.4254 22.9604
## 2016-12-22 9200.24 18.7675 20.8300 21.5477 22.6890 23.2035
## 2016-12-23 9181.75 19.1457 21.0229 21.7398 22.9431 23.4174
## 2016-12-26 9181.75 19.7489 21.0965 21.7599 22.9592 23.4249
## 2016-12-27 9181.75 19.9500 21.1210 21.7666 22.9646 23.4275
## 2016-12-28 9300.63 20.3878 20.9974 21.5640 22.7300 23.1400
## 2016-12-29 9312.76 20.3238 20.8800 21.5800 22.7718 23.1032
## 2016-12-30 9394.87 19.7219 20.6893 21.5354 22.7323 22.9469
## 2017-01-02 9394.87 19.7237 20.7174 21.5515 22.7358 22.9572
## 2017-01-03 9459.55 19.7237 20.7174 21.5515 22.7358 22.9572
## X730.Days
## 2016-12-07 23.1985
## 2016-12-08 23.1901
## 2016-12-09 23.2198
## 2016-12-12 23.2889
## 2016-12-13 23.3341
## 2016-12-14 23.3980
## 2016-12-15 23.7395
## 2016-12-16 23.5752
## 2016-12-19 23.6605
## 2016-12-20 23.8590
## 2016-12-21 23.5570
## 2016-12-22 23.8100
## 2016-12-23 23.9844
## 2016-12-26 23.9938
## 2016-12-27 23.9969
## 2016-12-28 23.7300
## 2016-12-29 23.6915
## 2016-12-30 23.5712
## 2017-01-02 23.5730
## 2017-01-03 23.5730
## [1] "HSCEI ATM Vols vs. Price"
HSCEI ATM Vol vs. Price (365)
## S X30.Days X91.Days X182.Days X365.Days X547.Days
## 2016-12-07 9829.58 16.8514 18.7568 20.1864 21.9115 22.5135
## 2016-12-08 9896.82 16.6529 19.0003 20.4023 21.9471 22.5618
## 2016-12-09 9867.95 16.4014 18.8565 20.3395 21.9752 22.6363
## 2016-12-12 9699.31 17.9796 19.5048 20.6593 22.1540 22.8081
## 2016-12-13 9719.94 17.4350 19.2526 20.5600 22.0729 22.7673
## 2016-12-14 9706.15 17.4743 19.3129 20.5933 22.1131 22.7285
## 2016-12-15 9479.16 19.5414 20.3452 21.2023 22.5443 23.1686
## 2016-12-16 9470.33 18.8136 20.0994 21.1200 22.4703 23.0457
## 2016-12-19 9377.43 19.5029 20.4655 21.3086 22.5756 23.0673
## 2016-12-20 9283.41 19.6575 20.7206 21.4276 22.5908 23.1563
## 2016-12-21 9331.63 18.1129 20.0577 21.1403 22.4254 22.9604
## 2016-12-22 9200.24 18.7675 20.8300 21.5477 22.6890 23.2035
## 2016-12-23 9181.75 19.1457 21.0229 21.7398 22.9431 23.4174
## 2016-12-26 9181.75 19.7489 21.0965 21.7599 22.9592 23.4249
## 2016-12-27 9181.75 19.9500 21.1210 21.7666 22.9646 23.4275
## 2016-12-28 9300.63 20.3878 20.9974 21.5640 22.7300 23.1400
## 2016-12-29 9312.76 20.3238 20.8800 21.5800 22.7718 23.1032
## 2016-12-30 9394.87 19.7219 20.6893 21.5354 22.7323 22.9469
## 2017-01-02 9394.87 19.7237 20.7174 21.5515 22.7358 22.9572
## 2017-01-03 9459.55 19.7237 20.7174 21.5515 22.7358 22.9572
## X730.Days
## 2016-12-07 23.1985
## 2016-12-08 23.1901
## 2016-12-09 23.2198
## 2016-12-12 23.2889
## 2016-12-13 23.3341
## 2016-12-14 23.3980
## 2016-12-15 23.7395
## 2016-12-16 23.5752
## 2016-12-19 23.6605
## 2016-12-20 23.8590
## 2016-12-21 23.5570
## 2016-12-22 23.8100
## 2016-12-23 23.9844
## 2016-12-26 23.9938
## 2016-12-27 23.9969
## 2016-12-28 23.7300
## 2016-12-29 23.6915
## 2016-12-30 23.5712
## 2017-01-02 23.5730
## 2017-01-03 23.5730
## [1] "HSCEI ATM Vols vs. Price"
HSCEI Skew (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 3.9325 3.7545 2.9702 2.3466 2.3200 2.1792
## 2016-12-07 3.2714 3.5610 2.7469 2.1885 2.1877 2.0572
## 2016-12-08 2.8675 3.1726 2.5354 2.0732 2.1223 2.0053
## 2016-12-09 3.1364 3.3294 2.6000 2.1225 2.1548 2.0345
## 2016-12-12 4.5807 3.9048 3.0368 2.3946 2.3153 2.1457
## 2016-12-13 4.6000 3.9048 2.9952 2.3814 2.3233 2.1548
## 2016-12-14 5.4639 4.1581 3.0477 2.4015 2.3338 2.1638
## 2016-12-15 6.2029 4.6484 3.5923 2.7729 2.5729 2.3463
## 2016-12-16 6.5796 4.8371 3.3214 2.6437 2.4332 2.3826
## 2016-12-19 7.0257 4.9100 3.4392 2.7908 2.5134 2.4525
## 2016-12-20 7.4175 5.4374 3.7170 2.9529 2.6241 2.5239
## 2016-12-21 7.0693 5.2542 3.5603 2.8777 2.5812 2.5123
## 2016-12-22 7.6664 5.8465 3.9715 3.1291 2.7425 2.6333
## 2016-12-23 7.4586 5.9177 3.9819 3.1465 2.7507 2.6427
## 2016-12-26 7.1521 5.8839 3.9159 3.1366 2.7443 2.6411
## 2016-12-27 7.0500 5.8726 3.8940 3.1333 2.7421 2.6405
## 2016-12-28 6.6797 5.4013 3.4911 2.9400 2.6300 2.5600
## 2016-12-29 6.7987 5.1500 3.3200 2.8884 2.5896 2.5186
## 2016-12-30 6.7697 5.0347 2.7569 2.4470 2.1814 2.3077
## 2017-01-02 6.6394 4.9589 2.7477 2.4426 2.1836 2.3042
## [1] "HSCEI Skews(90, 110)"
HSCEI Skew (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 3.9325 3.7545 2.9702 2.3466 2.3200 2.1792
## 2016-12-07 3.2714 3.5610 2.7469 2.1885 2.1877 2.0572
## 2016-12-08 2.8675 3.1726 2.5354 2.0732 2.1223 2.0053
## 2016-12-09 3.1364 3.3294 2.6000 2.1225 2.1548 2.0345
## 2016-12-12 4.5807 3.9048 3.0368 2.3946 2.3153 2.1457
## 2016-12-13 4.6000 3.9048 2.9952 2.3814 2.3233 2.1548
## 2016-12-14 5.4639 4.1581 3.0477 2.4015 2.3338 2.1638
## 2016-12-15 6.2029 4.6484 3.5923 2.7729 2.5729 2.3463
## 2016-12-16 6.5796 4.8371 3.3214 2.6437 2.4332 2.3826
## 2016-12-19 7.0257 4.9100 3.4392 2.7908 2.5134 2.4525
## 2016-12-20 7.4175 5.4374 3.7170 2.9529 2.6241 2.5239
## 2016-12-21 7.0693 5.2542 3.5603 2.8777 2.5812 2.5123
## 2016-12-22 7.6664 5.8465 3.9715 3.1291 2.7425 2.6333
## 2016-12-23 7.4586 5.9177 3.9819 3.1465 2.7507 2.6427
## 2016-12-26 7.1521 5.8839 3.9159 3.1366 2.7443 2.6411
## 2016-12-27 7.0500 5.8726 3.8940 3.1333 2.7421 2.6405
## 2016-12-28 6.6797 5.4013 3.4911 2.9400 2.6300 2.5600
## 2016-12-29 6.7987 5.1500 3.3200 2.8884 2.5896 2.5186
## 2016-12-30 6.7697 5.0347 2.7569 2.4470 2.1814 2.3077
## 2017-01-02 6.6394 4.9589 2.7477 2.4426 2.1836 2.3042
## [1] "HSCEI Skews(90, 110)"
HSCEI Skew vs. Price (182)
HSCEI Skew vs. Price (365)
HSCEI Skew (Put)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 6.5400 3.4932 2.3826 1.6711 1.4981 1.3568
## 2016-12-07 6.1143 3.4287 2.3277 1.5869 1.4262 1.2861
## 2016-12-08 6.2386 3.2161 2.2092 1.5330 1.4021 1.2653
## 2016-12-09 6.5493 3.3371 2.2449 1.5513 1.4036 1.2735
## 2016-12-12 7.4539 3.5784 2.4267 1.6834 1.4858 1.3331
## 2016-12-13 7.6050 3.6006 2.4063 1.6813 1.4848 1.3415
## 2016-12-14 8.0350 3.7168 2.4093 1.6877 1.4938 1.3322
## 2016-12-15 7.8486 3.7868 2.6392 1.8629 1.6071 1.4321
## 2016-12-16 8.2396 3.9829 2.5814 1.8277 1.5385 1.4546
## 2016-12-19 8.4243 3.8703 2.5852 1.8827 1.5748 1.4839
## 2016-12-20 8.2350 4.1742 2.7204 1.9620 1.6341 1.5148
## 2016-12-21 8.5593 4.1990 2.6654 1.9285 1.6119 1.5134
## 2016-12-22 8.8107 4.2932 2.8123 2.0471 1.6915 1.5736
## 2016-12-23 8.6657 4.4026 2.8242 2.0548 1.6899 1.5827
## 2016-12-26 7.3939 4.3513 2.7721 2.0459 1.6840 1.5811
## 2016-12-27 6.9700 4.3342 2.7547 2.0430 1.6820 1.5805
## 2016-12-28 7.0825 4.0994 2.5569 1.9500 1.6300 1.5300
## 2016-12-29 7.1731 4.0600 2.4700 1.9182 1.5995 1.5091
## 2016-12-30 7.2288 4.0300 2.2260 1.7266 1.4199 1.4083
## 2017-01-02 6.9775 3.9700 2.2142 1.7215 1.4197 1.4059
## [1] "HSCEI Skews(90, 100)"
HSCEI Skew (Call)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-12-06 -2.6075 0.2613 0.5876 0.6755 0.8219 0.8224
## 2016-12-07 -2.8429 0.1323 0.4192 0.6015 0.7615 0.7711
## 2016-12-08 -3.3711 -0.0435 0.3262 0.5402 0.7202 0.7400
## 2016-12-09 -3.4129 -0.0077 0.3551 0.5712 0.7512 0.7610
## 2016-12-12 -2.8732 0.3265 0.6101 0.7112 0.8295 0.8126
## 2016-12-13 -3.0050 0.3042 0.5889 0.7001 0.8385 0.8133
## 2016-12-14 -2.5711 0.4413 0.6384 0.7138 0.8400 0.8315
## 2016-12-15 -1.6457 0.8616 0.9531 0.9100 0.9657 0.9143
## 2016-12-16 -1.6600 0.8542 0.7400 0.8160 0.8947 0.9280
## 2016-12-19 -1.3986 1.0397 0.8541 0.9080 0.9385 0.9685
## 2016-12-20 -0.8175 1.2632 0.9966 0.9909 0.9900 1.0091
## 2016-12-21 -1.4900 1.0552 0.8949 0.9492 0.9692 0.9989
## 2016-12-22 -1.1443 1.5532 1.1592 1.0820 1.0510 1.0597
## 2016-12-23 -1.2071 1.5152 1.1577 1.0916 1.0608 1.0600
## 2016-12-26 -0.2418 1.5326 1.1438 1.0907 1.0603 1.0600
## 2016-12-27 0.0800 1.5384 1.1392 1.0903 1.0602 1.0600
## 2016-12-28 -0.4028 1.3019 0.9342 0.9900 1.0000 1.0300
## 2016-12-29 -0.3744 1.0900 0.8500 0.9701 0.9901 1.0095
## 2016-12-30 -0.4591 1.0047 0.5309 0.7204 0.7615 0.8993
## 2017-01-02 -0.3381 0.9889 0.5335 0.7211 0.7638 0.8983
## [1] "HSCEI Skews(100, 110)"
HSCEI Calendar
## X30...91 X91...182 X91...365 X91...547
## 2016-12-06 -1.8765 -1.4437 -2.8932 -3.5496
## 2016-12-07 -1.9053 -1.4296 -3.1548 -3.7567
## 2016-12-08 -2.3475 -1.4020 -2.9468 -3.5614
## 2016-12-09 -2.4550 -1.4830 -3.1187 -3.7799
## 2016-12-12 -1.5252 -1.1545 -2.6491 -3.3033
## 2016-12-13 -1.8176 -1.3074 -2.8203 -3.5147
## 2016-12-14 -1.8386 -1.2804 -2.8002 -3.4156
## 2016-12-15 -0.8037 -0.8571 -2.1991 -2.8234
## 2016-12-16 -1.2858 -1.0206 -2.3710 -2.9464
## 2016-12-19 -0.9626 -0.8431 -2.1101 -2.6018
## 2016-12-20 -1.0631 -0.7069 -1.8701 -2.4356
## 2016-12-21 -1.9449 -1.0826 -2.3676 -2.9026
## 2016-12-22 -2.0625 -0.7177 -1.8590 -2.3735
## 2016-12-23 -1.8772 -0.7169 -1.9202 -2.3945
## 2016-12-26 -1.3475 -0.6634 -1.8628 -2.3285
## 2016-12-27 -1.1710 -0.6456 -1.8436 -2.3065
## 2016-12-28 -0.6096 -0.5665 -1.7326 -2.1426
## 2016-12-29 -0.5562 -0.7000 -1.8918 -2.2232
## 2016-12-30 -0.9675 -0.8460 -2.0430 -2.2575
## 2017-01-02 -0.9936 -0.8342 -2.0184 -2.2399
## [1] "HSCEI ATM Calendar"
SABR
Stoxx
Spx
HSCEI
## [1] "Rho"
## RHO RHO.1 RHO.2 RHO.3
## 2016-12-01 -0.12023657 -0.1671449 -0.1937773 -0.2298822
## 2016-12-02 -0.14648612 -0.1897278 -0.2140929 -0.2430709
## 2016-12-05 -0.13980684 -0.2079852 -0.2316661 -0.2561752
## 2016-12-06 -0.12692900 -0.2107384 -0.2302418 -0.2580841
## 2016-12-07 -0.11268452 -0.1909378 -0.2118455 -0.2394009
## 2016-12-08 -0.08740626 -0.1735969 -0.1993133 -0.2316018
## 2016-12-09 -0.09471129 -0.1808831 -0.2039168 -0.2354164
## 2016-12-12 -0.13577013 -0.2331553 -0.2355700 -0.2569733
## 2016-12-13 -0.13730990 -0.2320330 -0.2349803 -0.2570729
## 2016-12-14 -0.15183004 -0.2365767 -0.2382783 -0.2587915
## 2016-12-15 -0.19285161 -0.2842528 -0.2803005 -0.2882094
## 2016-12-16 -0.19741442 -0.2524280 -0.2599881 -0.2995382
## 2016-12-19 -0.21062764 -0.2785646 -0.2781639 -0.3113846
## 2016-12-20 -0.23961448 -0.3004233 -0.2988741 -0.3232219
## 2016-12-21 -0.22244472 -0.2883899 -0.2923652 -0.3238697
## 2016-12-22 -0.27155796 -0.3266385 -0.3210174 -0.3437919
## 2016-12-23 -0.26879910 -0.3218638 -0.3189350 -0.3419752
## 2016-12-28 -0.24078710 -0.2899602 -0.2963004 -0.3300924
## 2016-12-29 -0.22210814 -0.2729072 -0.2888400 -0.3243564
## 2016-12-30 -0.21490968 -0.2144166 -0.2184678 -0.2796401
## [1] "Alpha"
## ALPHA ALPHA.1 ALPHA.2 ALPHA.3
## 2016-12-01 19.30992 20.15336 21.40514 22.38564
## 2016-12-02 19.60702 20.27566 21.52988 22.49014
## 2016-12-05 19.03120 20.05295 21.31010 22.33190
## 2016-12-06 18.30940 19.68170 21.06265 22.29223
## 2016-12-07 17.90693 19.24258 20.90133 22.17114
## 2016-12-08 18.19774 19.50128 20.97776 22.21788
## 2016-12-09 18.02165 19.41837 20.98228 22.22425
## 2016-12-12 18.50043 19.67500 21.05722 22.17383
## 2016-12-13 18.27937 19.60445 20.99710 22.23406
## 2016-12-14 18.32614 19.63981 21.03322 22.27697
## 2016-12-15 19.13953 20.07083 21.29187 22.42675
## 2016-12-16 18.86138 19.89867 21.13030 22.28086
## 2016-12-19 19.16442 20.11049 21.17887 22.28702
## 2016-12-20 19.29850 20.16846 21.14222 22.40115
## 2016-12-21 18.68898 19.92330 21.02026 22.17534
## 2016-12-22 19.35910 20.26148 21.19685 22.31022
## 2016-12-23 19.49097 20.41315 21.40609 22.44541
## 2016-12-28 19.59059 20.36392 21.29049 22.31140
## 2016-12-29 19.46375 20.37404 21.32956 22.28552
## 2016-12-30 19.36648 20.26634 21.19887 22.11059
## [1] "Vol"
## VOL VOL.1 VOL.2 VOL.3
## 2016-12-01 1.375491 1.0749571 0.7783908 0.5320843
## 2016-12-02 1.350478 1.0876896 0.7770562 0.5314816
## 2016-12-05 1.367099 1.0725525 0.7706198 0.5297590
## 2016-12-06 1.381904 1.0528589 0.7703320 0.5336357
## 2016-12-07 1.385796 1.0674474 0.7655309 0.5268815
## 2016-12-08 1.384214 1.0644193 0.7683080 0.5301748
## 2016-12-09 1.397680 1.0653115 0.7665122 0.5281004
## 2016-12-12 1.390109 1.0453784 0.7571197 0.5207315
## 2016-12-13 1.391900 1.0431634 0.7592045 0.5250650
## 2016-12-14 1.393764 1.0352469 0.7568024 0.5239320
## 2016-12-15 1.351247 1.0200407 0.7497229 0.5199027
## 2016-12-16 1.392021 1.0541508 0.7730462 0.5246241
## 2016-12-19 1.343751 1.0195311 0.7646235 0.5213319
## 2016-12-20 1.367752 1.0167341 0.7604246 0.5192895
## 2016-12-21 1.399089 1.0225484 0.7626099 0.5206634
## 2016-12-22 1.338749 1.0010319 0.7574755 0.5209067
## 2016-12-23 1.367394 1.0020228 0.7570813 0.5201756
## 2016-12-28 1.352622 0.9776858 0.7580886 0.5223585
## 2016-12-29 1.378207 0.9686571 0.7552733 0.5174625
## 2016-12-30 1.381446 1.0089892 0.7804532 0.5318962
KOSPI200
## [1] "Rho"
## RHO RHO.1 RHO.2 RHO.3
## 2016-12-02 -0.3261815 -0.2940644 -0.3869349 -0.2825322
## 2016-12-05 -0.3265761 -0.2937329 -0.3982408 -0.2831671
## 2016-12-06 -0.3143502 -0.2721362 -0.3896337 -0.2748800
## 2016-12-07 -0.2983293 -0.2594594 -0.3767705 -0.2736103
## 2016-12-08 -0.2658527 -0.2066781 -0.3220385 -0.2306033
## 2016-12-09 -0.2521235 -0.1906159 -0.3175226 -0.2318979
## 2016-12-12 -0.2497235 -0.1881262 -0.3197844 -0.2310671
## 2016-12-13 -0.2328478 -0.1927249 -0.3571674 -0.2272266
## 2016-12-14 -0.2333731 -0.1894648 -0.3584578 -0.2267451
## 2016-12-15 -0.2380970 -0.1906806 -0.3446186 -0.2342696
## 2016-12-16 -0.2389373 -0.1917371 -0.3461073 -0.2337105
## 2016-12-19 -0.2298111 -0.2026386 -0.3178882 -0.2323161
## 2016-12-20 -0.2413736 -0.2037496 -0.3113145 -0.2295453
## 2016-12-21 -0.2444486 -0.2047962 -0.3449401 -0.2372479
## 2016-12-22 -0.2485060 -0.2040642 -0.3745068 -0.2317274
## 2016-12-23 -0.2499879 -0.2175623 -0.3845653 -0.2377190
## 2016-12-26 -0.2418777 -0.2174308 -0.3856219 -0.2363388
## 2016-12-27 -0.2521363 -0.2470480 -0.3344358 -0.1831483
## 2016-12-28 -0.1787604 -0.1919437 -0.4153294 -0.2331247
## 2016-12-29 -0.1878145 -0.2195011 -0.4157538 -0.2323267
## [1] "Alpha"
## ALPHA ALPHA.1 ALPHA.2 ALPHA.3
## 2016-12-02 2.009692 2.092415 2.292302 2.414292
## 2016-12-05 2.013841 2.099551 2.302140 2.413181
## 2016-12-06 1.933037 2.026028 2.270191 2.442739
## 2016-12-07 1.886691 2.020549 2.264477 2.445212
## 2016-12-08 1.798825 1.971676 2.243932 2.441288
## 2016-12-09 1.877633 2.020662 2.272923 2.445835
## 2016-12-12 1.862655 2.049686 2.285094 2.452039
## 2016-12-13 1.873454 2.018206 2.296437 2.445072
## 2016-12-14 1.877495 2.040406 2.303450 2.445840
## 2016-12-15 1.841913 2.027500 2.290048 2.450202
## 2016-12-16 1.856441 2.028338 2.298535 2.451571
## 2016-12-19 1.889459 2.058916 2.311349 2.460289
## 2016-12-20 1.890750 2.056612 2.319408 2.479962
## 2016-12-21 1.905615 2.059072 2.323880 2.447444
## 2016-12-22 1.916994 2.060102 2.340286 2.494408
## 2016-12-23 1.923189 2.082375 2.352218 2.493476
## 2016-12-26 1.933208 2.086625 2.351888 2.492799
## 2016-12-27 1.918570 2.073047 2.353360 2.506579
## 2016-12-28 1.905137 2.066003 2.351793 2.507796
## 2016-12-29 1.859745 2.063228 2.361221 2.498188
## [1] "Vol"
## VOL VOL.1 VOL.2 VOL.3
## 2016-12-02 1.258971 0.9918621 0.7355454 0.5033718
## 2016-12-05 1.257142 0.9954691 0.7335772 0.5036254
## 2016-12-06 1.280499 1.0048922 0.7298667 0.5000051
## 2016-12-07 1.299516 1.0058931 0.7426966 0.4985144
## 2016-12-08 1.321869 1.0021322 0.7409063 0.4931890
## 2016-12-09 1.312256 1.0044319 0.7410611 0.4944452
## 2016-12-12 1.297658 0.9907420 0.7401031 0.4938367
## 2016-12-13 1.299338 1.0106106 0.7277115 0.4937021
## 2016-12-14 1.315801 1.0077718 0.7240038 0.4926577
## 2016-12-15 1.327596 1.0097178 0.7339927 0.4902722
## 2016-12-16 1.329301 1.0129651 0.7352968 0.4925977
## 2016-12-19 1.298763 0.9946767 0.7428550 0.4919175
## 2016-12-20 1.285082 0.9900571 0.7482476 0.4917874
## 2016-12-21 1.274874 0.9888366 0.7254766 0.4958655
## 2016-12-22 1.269075 0.9902680 0.7335272 0.4952477
## 2016-12-23 1.267316 0.9832517 0.7246504 0.4918972
## 2016-12-26 1.274654 0.9831545 0.7148151 0.4903898
## 2016-12-27 1.298749 1.0083963 0.6276993 0.4271007
## 2016-12-28 1.296309 1.0066389 0.7479795 0.4847747
## 2016-12-29 1.303093 0.9949323 0.7371232 0.4821813
