Stoxx
Stoxx ATM Vol (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-30 17.7443 19.7407 20.3348 20.3530 20.5820 20.3181
## 2016-05-31 18.6786 20.4271 20.8245 20.7522 20.8195 20.5914
## 2016-06-01 20.2600 21.3786 21.4782 21.0778 21.0851 20.6746
## 2016-06-02 19.4775 21.0789 21.2786 20.9262 20.9723 20.6086
## 2016-06-03 19.8571 21.3900 21.4400 21.0514 21.0557 20.7051
## 2016-06-06 20.6457 21.5886 21.5497 21.0052 21.0456 20.5842
## 2016-06-07 19.8229 21.0914 21.1878 20.6957 20.8031 20.4563
## 2016-06-08 20.4975 21.5775 21.5369 20.9164 20.9569 20.5465
## 2016-06-09 22.0636 22.4857 22.1681 21.3946 21.3119 20.8071
## 2016-06-10 26.7904 25.0225 23.7600 22.3975 21.9922 21.3770
## 2016-06-13 31.4443 27.1329 25.0010 23.2974 22.4635 21.8962
## 2016-06-14 34.9254 29.0254 26.3170 23.8270 23.0088 22.1248
## 2016-06-15 34.3100 28.4514 25.7680 23.3935 22.6739 21.8900
## 2016-06-16 37.1931 30.0375 26.5579 23.7900 22.9200 22.0381
## 2016-06-17 35.1074 28.3000 25.4000 23.2148 22.4264 21.7662
## 2016-06-20 31.7700 25.3567 23.4703 21.8423 21.5448 20.8626
## 2016-06-21 31.6043 25.4673 23.4091 21.7007 21.4130 20.8033
## 2016-06-22 34.1240 25.8469 23.6778 21.9480 21.6412 21.0800
## 2016-06-23 28.5723 23.4597 22.1391 21.1245 20.8035 20.8769
## 2016-06-24 33.2700 28.5123 25.8115 23.5708 22.9987 22.0757
## [1] "SX5E ATM Vols"
Stoxx ATM Vol (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-30 17.7443 19.7407 20.3348 20.3530 20.5820 20.3181
## 2016-05-31 18.6786 20.4271 20.8245 20.7522 20.8195 20.5914
## 2016-06-01 20.2600 21.3786 21.4782 21.0778 21.0851 20.6746
## 2016-06-02 19.4775 21.0789 21.2786 20.9262 20.9723 20.6086
## 2016-06-03 19.8571 21.3900 21.4400 21.0514 21.0557 20.7051
## 2016-06-06 20.6457 21.5886 21.5497 21.0052 21.0456 20.5842
## 2016-06-07 19.8229 21.0914 21.1878 20.6957 20.8031 20.4563
## 2016-06-08 20.4975 21.5775 21.5369 20.9164 20.9569 20.5465
## 2016-06-09 22.0636 22.4857 22.1681 21.3946 21.3119 20.8071
## 2016-06-10 26.7904 25.0225 23.7600 22.3975 21.9922 21.3770
## 2016-06-13 31.4443 27.1329 25.0010 23.2974 22.4635 21.8962
## 2016-06-14 34.9254 29.0254 26.3170 23.8270 23.0088 22.1248
## 2016-06-15 34.3100 28.4514 25.7680 23.3935 22.6739 21.8900
## 2016-06-16 37.1931 30.0375 26.5579 23.7900 22.9200 22.0381
## 2016-06-17 35.1074 28.3000 25.4000 23.2148 22.4264 21.7662
## 2016-06-20 31.7700 25.3567 23.4703 21.8423 21.5448 20.8626
## 2016-06-21 31.6043 25.4673 23.4091 21.7007 21.4130 20.8033
## 2016-06-22 34.1240 25.8469 23.6778 21.9480 21.6412 21.0800
## 2016-06-23 28.5723 23.4597 22.1391 21.1245 20.8035 20.8769
## 2016-06-24 33.2700 28.5123 25.8115 23.5708 22.9987 22.0757
## [1] "SX5E ATM Vols"
VStoxx (365)
## x1 x2 x3 x4 x5 x6
## 2016-05-30 18.52 22.06 22.68 23.24 25.12 26.28
## 2016-05-31 19.60 23.09 23.54 24.10 25.71 26.48
## 2016-06-01 21.66 24.68 24.70 25.04 26.17 26.80
## 2016-06-02 20.00 23.93 24.18 24.61 25.82 26.58
## 2016-06-03 19.98 24.33 24.49 24.93 26.17 26.71
## 2016-06-06 19.81 24.54 24.55 24.92 25.94 26.72
## 2016-06-07 18.02 23.81 24.00 24.50 25.61 26.49
## 2016-06-08 17.94 24.73 24.68 25.08 25.88 26.58
## 2016-06-09 18.79 26.18 25.79 26.05 26.49 26.83
## 2016-06-10 24.90 30.42 29.27 28.66 27.86 27.41
## 2016-06-13 33.08 34.37 31.65 30.77 28.84 28.12
## 2016-06-14 40.27 38.33 34.70 33.37 30.37 28.93
## 2016-06-15 32.27 37.73 34.30 32.91 29.90 28.59
## 2016-06-16 32.27 40.19 36.09 34.47 30.59 28.79
## 2016-06-17 32.27 38.56 34.36 32.76 29.75 28.88
## 2016-06-20 35.54 30.89 29.61 28.14 28.27 28.88
## 2016-06-21 36.16 31.05 29.70 28.04 27.90 26.58
## 2016-06-22 38.53 31.89 30.06 28.01 27.84 26.97
## 2016-06-23 34.48 28.75 27.76 26.63 27.62 26.76
## 2016-06-24 36.90 33.83 32.40 30.14 29.18 27.83
## [1] "Stoxx ATM Vols"
Stoxx K Vol
## X2017.06.16...3500 X2016.12.16...3200 X2017.06.16...3700
## 2016-05-30 18.3385 19.3137 17.9535
## 2016-05-31 18.4536 19.4518 17.9842
## 2016-06-01 18.6468 19.7760 18.2020
## 2016-06-02 18.5137 19.5310 18.0861
## 2016-06-03 18.5167 19.3486 18.1320
## 2016-06-06 18.4453 19.4802 18.0437
## 2016-06-07 18.3630 19.4716 17.9727
## 2016-06-08 18.5068 19.6298 18.1088
## 2016-06-09 18.7892 19.9331 18.3831
## 2016-06-10 19.2749 20.5117 18.8844
## 2016-06-13 19.6369 21.1059 19.1975
## 2016-06-14 19.9132 21.7914 19.6136
## 2016-06-15 19.7917 21.5273 19.4513
## 2016-06-16 19.8270 21.9241 19.4427
## 2016-06-17 19.5169 21.2763 19.1261
## 2016-06-20 18.7641 20.4166 18.3440
## 2016-06-21 18.7362 20.6010 18.2879
## 2016-06-22 18.8835 20.9637 18.3623
## 2016-06-23 18.8281 20.3536 18.5061
## 2016-06-24 19.2689 20.9765 18.9575
## X2017.06.16...3400
## 2016-05-30 18.5974
## 2016-05-31 18.7735
## 2016-06-01 18.9713
## 2016-06-02 18.8273
## 2016-06-03 18.7943
## 2016-06-06 18.7338
## 2016-06-07 18.6629
## 2016-06-08 18.7964
## 2016-06-09 19.0701
## 2016-06-10 19.5721
## 2016-06-13 19.9500
## 2016-06-14 20.2097
## 2016-06-15 20.0602
## 2016-06-16 20.1462
## 2016-06-17 19.8207
## 2016-06-20 19.0631
## 2016-06-21 19.0386
## 2016-06-22 19.2277
## 2016-06-23 19.0986
## 2016-06-24 19.6077
## [1] "SX5E Vols"
Stoxx Skew (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-30 8.2086 8.3500 6.6405 4.6051 3.6975 2.7262
## 2016-05-31 9.3518 8.6154 6.8101 4.7442 3.7700 2.7357
## 2016-06-01 10.7100 9.2043 6.9946 4.8100 3.8984 2.8700
## 2016-06-02 10.7114 9.2811 7.0697 4.7762 3.8808 2.9193
## 2016-06-03 10.4014 9.3100 7.0708 4.8371 3.8829 2.9513
## 2016-06-06 10.9704 9.3000 7.0138 4.8434 3.8995 2.9470
## 2016-06-07 10.5043 9.2814 6.9929 4.7500 3.8140 2.8331
## 2016-06-08 10.6800 9.2282 6.9726 4.7382 3.8187 2.8569
## 2016-06-09 11.4143 9.3843 7.0360 4.7931 3.8835 2.9120
## 2016-06-10 13.4721 10.1625 7.3492 4.9440 3.9613 2.9769
## 2016-06-13 14.6993 10.3829 7.4462 5.1200 4.2048 3.2010
## 2016-06-14 14.9993 10.4921 7.5733 5.2113 4.2307 3.1857
## 2016-06-15 15.0200 10.6771 7.6651 5.1224 4.1652 3.1300
## 2016-06-16 15.2091 10.9364 7.8932 5.3300 4.2700 3.1976
## 2016-06-17 15.3546 10.8600 7.7300 5.3031 4.2441 3.1660
## 2016-06-20 17.0543 10.8722 7.6638 5.1829 4.1476 3.1402
## 2016-06-21 19.3040 11.3269 7.7158 5.1833 4.0714 3.0467
## 2016-06-22 21.1880 11.6124 7.7909 5.1855 4.0670 3.0819
## 2016-06-23 17.4080 10.4433 7.0003 4.8885 4.0046 3.3467
## 2016-06-24 15.0531 10.6162 7.3515 5.1664 4.1604 3.2752
## [1] "SX5E Skews(90, 110)"
Stoxx Skew (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-30 8.2086 8.3500 6.6405 4.6051 3.6975 2.7262
## 2016-05-31 9.3518 8.6154 6.8101 4.7442 3.7700 2.7357
## 2016-06-01 10.7100 9.2043 6.9946 4.8100 3.8984 2.8700
## 2016-06-02 10.7114 9.2811 7.0697 4.7762 3.8808 2.9193
## 2016-06-03 10.4014 9.3100 7.0708 4.8371 3.8829 2.9513
## 2016-06-06 10.9704 9.3000 7.0138 4.8434 3.8995 2.9470
## 2016-06-07 10.5043 9.2814 6.9929 4.7500 3.8140 2.8331
## 2016-06-08 10.6800 9.2282 6.9726 4.7382 3.8187 2.8569
## 2016-06-09 11.4143 9.3843 7.0360 4.7931 3.8835 2.9120
## 2016-06-10 13.4721 10.1625 7.3492 4.9440 3.9613 2.9769
## 2016-06-13 14.6993 10.3829 7.4462 5.1200 4.2048 3.2010
## 2016-06-14 14.9993 10.4921 7.5733 5.2113 4.2307 3.1857
## 2016-06-15 15.0200 10.6771 7.6651 5.1224 4.1652 3.1300
## 2016-06-16 15.2091 10.9364 7.8932 5.3300 4.2700 3.1976
## 2016-06-17 15.3546 10.8600 7.7300 5.3031 4.2441 3.1660
## 2016-06-20 17.0543 10.8722 7.6638 5.1829 4.1476 3.1402
## 2016-06-21 19.3040 11.3269 7.7158 5.1833 4.0714 3.0467
## 2016-06-22 21.1880 11.6124 7.7909 5.1855 4.0670 3.0819
## 2016-06-23 17.4080 10.4433 7.0003 4.8885 4.0046 3.3467
## 2016-06-24 15.0531 10.6162 7.3515 5.1664 4.1604 3.2752
## [1] "SX5E Skews(90, 110)"
Stoxx Skew (K)
## X30.Days X91.Days X182.Days X365.Days
## 2016-05-30 16.9144 11.6201 8.8434 6.3771
## 2016-05-31 17.7599 11.8431 9.0144 6.4023
## 2016-06-01 18.3560 12.1926 9.0923 6.4515
## 2016-06-02 18.3758 12.1694 9.1151 6.3798
## 2016-06-03 16.8311 11.9993 9.0405 6.4021
## 2016-06-06 17.0047 11.9792 8.9629 6.4087
## 2016-06-07 17.2014 12.2211 9.0878 6.4407
## 2016-06-08 16.7494 12.0624 8.9853 6.3637
## 2016-06-09 16.6555 12.0534 8.9426 6.3108
## 2016-06-10 16.8564 12.5340 9.0805 6.2340
## 2016-06-13 16.8173 12.3207 8.9480 6.1759
## 2016-06-14 16.2775 12.1435 8.8878 6.0353
## 2016-06-15 16.9207 12.5619 9.1155 6.0671
## 2016-06-16 17.7014 13.0361 9.4232 6.2763
## 2016-06-17 17.6577 12.9352 9.2825 6.3699
## 2016-06-20 20.4381 13.4198 9.4809 6.6429
## 2016-06-21 23.1187 13.9140 9.5426 6.7015
## 2016-06-22 24.0312 14.2092 9.6114 6.6771
## 2016-06-23 23.1224 13.5170 9.1075 6.7714
## 2016-06-24 15.4749 12.4532 8.7357 5.9683
## [1] "SX5E Skews(2500, 3200)"
Stoxx Skew (Put)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-30 8.1229 5.2136 3.9116 2.8222 2.1960 1.6748
## 2016-05-31 8.6854 5.3011 3.9918 2.8391 2.2401 1.6762
## 2016-06-01 9.1450 5.4514 4.0192 2.8691 2.2762 1.7315
## 2016-06-02 9.2668 5.4511 4.0411 2.8446 2.2800 1.7571
## 2016-06-03 9.0100 5.4350 4.0562 2.8971 2.2821 1.7636
## 2016-06-06 8.9211 5.4007 4.0023 2.8895 2.2730 1.7647
## 2016-06-07 8.9171 5.4643 4.0162 2.8685 2.2402 1.7129
## 2016-06-08 9.1150 5.4211 3.9905 2.8513 2.2364 1.7292
## 2016-06-09 9.0786 5.4557 3.9987 2.8569 2.2527 1.7465
## 2016-06-10 8.4214 5.6600 4.0754 2.8803 2.2698 1.7735
## 2016-06-13 8.6693 5.6657 4.0686 2.9145 2.3886 1.8558
## 2016-06-14 8.4786 5.6964 4.1301 2.9801 2.3964 1.8530
## 2016-06-15 8.1800 5.7764 4.1745 2.9555 2.3632 1.8300
## 2016-06-16 7.5974 5.7475 4.2266 3.0300 2.4100 1.8587
## 2016-06-17 7.9034 5.8100 4.1800 3.0559 2.4169 1.8478
## 2016-06-20 8.9143 5.9707 4.2086 3.0524 2.3786 1.8639
## 2016-06-21 10.3286 6.1425 4.2110 3.0565 2.3454 1.8214
## 2016-06-22 10.3220 6.2352 4.2226 3.0027 2.3132 1.8096
## 2016-06-23 10.8706 6.0035 4.0271 3.0236 2.4662 2.1026
## 2016-06-24 7.9729 5.5469 3.8992 2.8893 2.3202 1.8757
## [1] "SX5E Skews(90, 100)"
Stoxx Skew (Call)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-30 0.0857 3.1364 2.7289 1.7829 1.5015 1.0513
## 2016-05-31 0.6664 3.3143 2.8184 1.9051 1.5299 1.0596
## 2016-06-01 1.5650 3.7529 2.9754 1.9409 1.6223 1.1385
## 2016-06-02 1.4446 3.8300 3.0286 1.9315 1.6008 1.1621
## 2016-06-03 1.3914 3.8750 3.0146 1.9400 1.6007 1.1877
## 2016-06-06 2.0493 3.8993 3.0115 1.9540 1.6265 1.1823
## 2016-06-07 1.5871 3.8171 2.9767 1.8815 1.5738 1.1202
## 2016-06-08 1.5650 3.8071 2.9821 1.8869 1.5823 1.1277
## 2016-06-09 2.3357 3.9286 3.0374 1.9362 1.6308 1.1655
## 2016-06-10 5.0507 4.5025 3.2738 2.0636 1.6915 1.2035
## 2016-06-13 6.0300 4.7171 3.3776 2.2055 1.8163 1.3452
## 2016-06-14 6.5207 4.7957 3.4432 2.2312 1.8343 1.3327
## 2016-06-15 6.8400 4.9007 3.4905 2.1669 1.8020 1.3000
## 2016-06-16 7.6117 5.1889 3.6666 2.3000 1.8600 1.3389
## 2016-06-17 7.4511 5.0500 3.5500 2.2472 1.8272 1.3182
## 2016-06-20 8.1400 4.9015 3.4553 2.1305 1.7690 1.2763
## 2016-06-21 8.9754 5.1844 3.5048 2.1267 1.7260 1.2252
## 2016-06-22 10.8660 5.3773 3.5682 2.1828 1.7538 1.2722
## 2016-06-23 6.5374 4.4398 2.9732 1.8650 1.5385 1.2441
## 2016-06-24 7.0803 5.0692 3.4523 2.2771 1.8402 1.3995
## [1] "SX5E Skews(100, 110)"
Stoxx Calendar (182)
## X30...91 X91...182 X91...365 X91...547
## 2016-05-30 -1.9964 -0.5941 -0.6123 -0.8413
## 2016-05-31 -1.7486 -0.3974 -0.3251 -0.3923
## 2016-06-01 -1.1186 -0.0997 0.3008 0.2935
## 2016-06-02 -1.6014 -0.1996 0.1528 0.1066
## 2016-06-03 -1.5329 -0.0500 0.3386 0.3343
## 2016-06-06 -0.9429 0.0389 0.5834 0.5430
## 2016-06-07 -1.2686 -0.0964 0.3957 0.2884
## 2016-06-08 -1.0800 0.0406 0.6611 0.6206
## 2016-06-09 -0.4221 0.3176 1.0911 1.1738
## 2016-06-10 1.7679 1.2625 2.6250 3.0303
## 2016-06-13 4.3114 2.1319 3.8355 4.6693
## 2016-06-14 5.9000 2.7083 5.1983 6.0166
## 2016-06-15 5.8586 2.6834 5.0579 5.7775
## 2016-06-16 7.1556 3.4796 6.2475 7.1175
## 2016-06-17 6.8074 2.9000 5.0852 5.8736
## 2016-06-20 6.4133 1.8864 3.5144 3.8119
## 2016-06-21 6.1370 2.0581 3.7666 4.0543
## 2016-06-22 8.2771 2.1691 3.8990 4.2057
## 2016-06-23 5.1126 1.3205 2.3352 2.6562
## 2016-06-24 4.7577 2.7008 4.9415 5.5136
## [1] "SX5E ATM Calendar"
Stoxx Calendar (365)
## X30...91 X91...182 X91...365 X91...547
## 2016-05-30 -1.9964 -0.5941 -0.6123 -0.8413
## 2016-05-31 -1.7486 -0.3974 -0.3251 -0.3923
## 2016-06-01 -1.1186 -0.0997 0.3008 0.2935
## 2016-06-02 -1.6014 -0.1996 0.1528 0.1066
## 2016-06-03 -1.5329 -0.0500 0.3386 0.3343
## 2016-06-06 -0.9429 0.0389 0.5834 0.5430
## 2016-06-07 -1.2686 -0.0964 0.3957 0.2884
## 2016-06-08 -1.0800 0.0406 0.6611 0.6206
## 2016-06-09 -0.4221 0.3176 1.0911 1.1738
## 2016-06-10 1.7679 1.2625 2.6250 3.0303
## 2016-06-13 4.3114 2.1319 3.8355 4.6693
## 2016-06-14 5.9000 2.7083 5.1983 6.0166
## 2016-06-15 5.8586 2.6834 5.0579 5.7775
## 2016-06-16 7.1556 3.4796 6.2475 7.1175
## 2016-06-17 6.8074 2.9000 5.0852 5.8736
## 2016-06-20 6.4133 1.8864 3.5144 3.8119
## 2016-06-21 6.1370 2.0581 3.7666 4.0543
## 2016-06-22 8.2771 2.1691 3.8990 4.2057
## 2016-06-23 5.1126 1.3205 2.3352 2.6562
## 2016-06-24 4.7577 2.7008 4.9415 5.5136
## [1] "SX5E ATM Calendar"
KOSPI200
KOSPI200 ATM Vol
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 10.3729 11.8275 13.8014 14.8985 15.7963 16.2009
## 2016-05-30 10.7214 12.3886 13.9897 14.9574 15.7963 16.1728
## 2016-05-31 10.3880 12.0836 13.7208 14.7570 15.6744 16.0454
## 2016-06-01 10.3354 12.0214 13.6729 14.6779 15.5806 15.9843
## 2016-06-02 10.5200 11.9800 13.7308 14.7471 15.6645 16.0196
## 2016-06-03 10.6951 12.0393 13.7692 14.7960 15.7379 16.0678
## 2016-06-07 11.0460 12.2307 13.9524 14.7608 15.5359 15.9354
## 2016-06-08 10.4266 12.1964 13.9310 14.7545 15.5591 15.9430
## 2016-06-09 11.0100 12.5400 14.0600 14.8985 15.7325 16.0809
## 2016-06-10 11.3900 12.7965 14.2842 15.0487 15.8091 16.1136
## 2016-06-13 13.3300 14.8581 15.4825 16.0547 16.6237 16.7692
## 2016-06-14 13.5000 15.0438 15.9825 16.4413 16.8975 16.9950
## 2016-06-15 14.4907 15.1054 15.9028 16.2925 16.6800 16.8660
## 2016-06-16 14.9721 15.4015 16.0374 16.4912 16.9406 17.0512
## 2016-06-17 15.2000 15.2686 16.0177 16.6266 16.8227 17.0354
## 2016-06-20 14.6200 14.7457 15.6975 16.1580 16.6198 16.9234
## 2016-06-21 14.4700 14.5913 15.4335 16.0047 16.6218 16.9244
## 2016-06-22 14.4500 14.5771 15.3757 16.0063 16.4962 16.8521
## 2016-06-23 15.0400 15.1492 15.7577 16.0294 16.6934 16.9494
## 2016-06-24 17.9300 17.9465 17.9822 17.6096 18.0344 17.9394
## [1] "KOSPI200 ATM Vols"
KOSPI200 Skew
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 6.6731 4.9961 4.8900 3.8573 2.7732 2.3671
## 2016-05-30 6.9129 5.0429 4.9042 3.8448 2.7557 2.3664
## 2016-05-31 6.9080 5.0407 4.9609 3.8525 2.7046 2.3423
## 2016-06-01 6.9097 4.3014 3.9991 3.2783 2.5277 2.2704
## 2016-06-02 6.5049 4.8700 4.0685 3.2694 2.5140 2.2638
## 2016-06-03 6.4837 4.9714 4.2741 3.3756 2.5073 2.2574
## 2016-06-07 6.5180 5.1179 4.6310 3.7077 2.7903 2.4135
## 2016-06-08 6.2339 5.2900 4.7362 3.7342 2.7383 2.3664
## 2016-06-09 6.1500 5.4800 4.4800 3.5675 2.6599 2.2118
## 2016-06-10 6.7400 5.7166 4.5048 3.5478 2.5961 2.1788
## 2016-06-13 8.5300 7.3289 5.1050 3.9606 2.8225 2.3774
## 2016-06-14 8.8900 7.5327 5.8243 4.5171 3.2171 2.6200
## 2016-06-15 9.3850 8.6579 6.1692 4.6204 3.0800 2.5622
## 2016-06-16 9.6686 8.6000 6.4975 4.8649 3.2469 2.6838
## 2016-06-17 9.2300 8.9214 5.5962 3.6057 2.9731 2.4340
## 2016-06-20 8.5600 8.2179 5.6113 4.1770 2.9328 2.4027
## 2016-06-21 8.2600 7.9290 5.6277 4.2617 2.9581 2.3993
## 2016-06-22 8.0400 7.7157 5.6200 4.3010 2.9744 2.4158
## 2016-06-23 8.3200 7.9415 5.6708 4.2244 2.9325 2.4058
## 2016-06-24 9.8700 9.2140 5.7087 4.0983 2.8350 2.4070
## [1] "KOSPI200 Skews(90, 110)"
KOSPI200 Calendar
## X30...91 X91...182 X91...365 X91...547
## 2016-05-27 -145.46 -197.39 -307.10 -396.88
## 2016-05-30 -166.71 -160.11 -256.88 -340.77
## 2016-05-31 -169.56 -163.72 -267.35 -359.08
## 2016-06-01 -168.60 -165.14 -265.65 -355.91
## 2016-06-02 -146.00 -175.08 -276.71 -368.45
## 2016-06-03 -134.41 -172.99 -275.67 -369.86
## 2016-06-07 -118.47 -172.17 -253.01 -330.52
## 2016-06-08 -176.98 -173.46 -255.81 -336.26
## 2016-06-09 -153.00 -152.00 -235.85 -319.25
## 2016-06-10 -140.65 -148.77 -225.22 -301.26
## 2016-06-13 -152.81 -62.44 -119.66 -176.56
## 2016-06-14 -154.38 -93.87 -139.74 -185.36
## 2016-06-15 -61.47 -79.74 -118.71 -157.46
## 2016-06-16 -42.94 -63.58 -108.96 -153.91
## 2016-06-17 -6.86 -74.92 -135.80 -155.41
## 2016-06-20 -12.57 -95.18 -141.23 -187.41
## 2016-06-21 -12.13 -84.22 -141.33 -203.04
## 2016-06-22 -12.71 -79.86 -142.91 -191.90
## 2016-06-23 -10.92 -60.85 -88.01 -154.42
## 2016-06-24 -1.65 -3.57 33.69 -8.79
## [1] "KOSPI200 ATM Calendar"
SPX
SPX ATM Vol (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 10.1904 12.8225 14.5238 16.1049 16.9627 17.6035
## 2016-05-31 11.3382 13.3440 14.8718 16.3241 17.1361 17.7445
## 2016-06-01 11.2082 13.2537 14.7846 16.3296 17.0731 17.7173
## 2016-06-02 10.7556 12.9599 14.5904 16.2350 17.0279 17.6573
## 2016-06-03 10.3890 12.9825 14.6997 16.2473 17.0748 17.6953
## 2016-06-06 10.8750 13.0429 14.6594 16.2171 17.0832 17.7588
## 2016-06-07 10.9753 12.9927 14.6736 16.3973 17.2708 17.9240
## 2016-06-08 10.7775 12.9432 14.6247 16.3988 17.2423 17.9260
## 2016-06-09 11.3783 13.4418 15.0223 16.7032 17.5183 18.1601
## 2016-06-10 13.2702 14.7775 16.0688 17.3989 18.0946 18.6358
## 2016-06-13 16.2604 16.7950 17.6187 18.5456 18.9573 19.3645
## 2016-06-14 16.3143 16.8485 17.5567 18.4373 18.9552 19.3333
## 2016-06-15 16.2100 16.5457 17.2253 18.1544 18.6777 19.1323
## 2016-06-16 15.6043 16.0489 16.7919 17.8500 18.4100 18.8852
## 2016-06-17 15.7879 16.1931 16.9621 17.8556 18.4735 18.8806
## 2016-06-20 14.9583 15.2693 16.1011 17.1832 17.8764 18.4552
## 2016-06-21 15.2566 15.2683 16.1037 17.2087 17.7860 18.3755
## 2016-06-22 17.5564 16.1402 16.5141 17.3628 17.9045 18.3272
## 2016-06-23 13.9063 14.0312 15.0126 16.2900 17.0732 17.5829
## 2016-06-24 19.6994 18.1350 18.0632 18.6929 19.0262 19.4737
## [1] "SPX ATM Vols"
SPX ATM Vol (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 10.1904 12.8225 14.5238 16.1049 16.9627 17.6035
## 2016-05-31 11.3382 13.3440 14.8718 16.3241 17.1361 17.7445
## 2016-06-01 11.2082 13.2537 14.7846 16.3296 17.0731 17.7173
## 2016-06-02 10.7556 12.9599 14.5904 16.2350 17.0279 17.6573
## 2016-06-03 10.3890 12.9825 14.6997 16.2473 17.0748 17.6953
## 2016-06-06 10.8750 13.0429 14.6594 16.2171 17.0832 17.7588
## 2016-06-07 10.9753 12.9927 14.6736 16.3973 17.2708 17.9240
## 2016-06-08 10.7775 12.9432 14.6247 16.3988 17.2423 17.9260
## 2016-06-09 11.3783 13.4418 15.0223 16.7032 17.5183 18.1601
## 2016-06-10 13.2702 14.7775 16.0688 17.3989 18.0946 18.6358
## 2016-06-13 16.2604 16.7950 17.6187 18.5456 18.9573 19.3645
## 2016-06-14 16.3143 16.8485 17.5567 18.4373 18.9552 19.3333
## 2016-06-15 16.2100 16.5457 17.2253 18.1544 18.6777 19.1323
## 2016-06-16 15.6043 16.0489 16.7919 17.8500 18.4100 18.8852
## 2016-06-17 15.7879 16.1931 16.9621 17.8556 18.4735 18.8806
## 2016-06-20 14.9583 15.2693 16.1011 17.1832 17.8764 18.4552
## 2016-06-21 15.2566 15.2683 16.1037 17.2087 17.7860 18.3755
## 2016-06-22 17.5564 16.1402 16.5141 17.3628 17.9045 18.3272
## 2016-06-23 13.9063 14.0312 15.0126 16.2900 17.0732 17.5829
## 2016-06-24 19.6994 18.1350 18.0632 18.6929 19.0262 19.4737
## [1] "SPX ATM Vols"
SPX K Vol
## X2016.09.16...2000 X2016.09.16...1850 X2016.09.16...1900
## 2016-05-27 16.4092 20.8368 19.4145
## 2016-05-31 16.7629 21.2398 19.8013
## 2016-06-01 16.7492 21.2440 19.8018
## 2016-06-02 16.6860 21.1604 19.7363
## 2016-06-03 16.5425 21.0917 19.6442
## 2016-06-06 16.8830 21.4528 20.0214
## 2016-06-07 16.9348 21.5613 20.1133
## 2016-06-08 17.1674 21.8592 20.3916
## 2016-06-09 17.5625 22.3399 20.8323
## 2016-06-10 18.2984 23.3562 21.7216
## 2016-06-13 19.8042 25.2740 23.4736
## 2016-06-14 19.6186 24.9396 23.1870
## 2016-06-15 19.1725 24.5205 22.7599
## 2016-06-16 18.9124 24.2579 22.5056
## 2016-06-17 18.7924 24.1403 22.3834
## 2016-06-20 18.2891 23.6125 21.8895
## 2016-06-21 18.5303 23.9022 22.1740
## 2016-06-22 19.3484 24.8505 23.0586
## 2016-06-23 18.1632 23.3820 21.7717
## 2016-06-24 19.5296 25.1914 23.3212
## X2016.09.16...1800
## 2016-05-27 22.2374
## 2016-05-31 22.6516
## 2016-06-01 22.6640
## 2016-06-02 22.5725
## 2016-06-03 22.5116
## 2016-06-06 22.8798
## 2016-06-07 23.0093
## 2016-06-08 23.3178
## 2016-06-09 23.8474
## 2016-06-10 24.9636
## 2016-06-13 27.0436
## 2016-06-14 26.6551
## 2016-06-15 26.2294
## 2016-06-16 25.9615
## 2016-06-17 25.8348
## 2016-06-20 25.2678
## 2016-06-21 25.5730
## 2016-06-22 26.5958
## 2016-06-23 24.9924
## 2016-06-24 27.0255
## [1] "SPX Vols"
SPX Skew (182)
## X30.Days X91.Days X182.Days X365.Days
## 2016-05-27 7.6064 9.2825 9.0654 7.0741
## 2016-05-31 8.6195 9.7067 9.2148 7.1452
## 2016-06-01 8.4780 9.6141 9.2100 7.1499
## 2016-06-02 8.4382 9.4819 9.2738 7.2401
## 2016-06-03 8.2280 9.6671 9.4426 7.2484
## 2016-06-06 8.5875 9.6659 9.4019 7.2447
## 2016-06-07 8.7217 9.5181 9.3097 7.2312
## 2016-06-08 8.6950 9.4468 9.2516 7.2210
## 2016-06-09 9.1467 9.8285 9.4264 7.2897
## 2016-06-10 11.1559 10.8856 9.9497 7.4271
## 2016-06-13 13.5540 12.1481 10.3611 7.6347
## 2016-06-14 13.5442 12.0992 10.3388 7.6169
## 2016-06-15 13.0400 11.8986 10.1196 7.5187
## 2016-06-16 12.7169 11.6311 10.1662 7.6000
## 2016-06-17 13.1130 11.8132 10.1710 7.5219
## 2016-06-20 12.6100 11.2902 9.9078 7.4782
## 2016-06-21 13.1011 11.3691 10.0545 7.5068
## 2016-06-22 14.2086 11.7374 10.2111 7.5583
## 2016-06-23 11.7417 10.4052 9.5606 7.4732
## 2016-06-24 15.6638 12.8743 10.2549 7.5000
## [1] "SPX Skews(90, 110)"
SPX Skew (365)
## X30.Days X91.Days X182.Days X365.Days
## 2016-05-27 7.6064 9.2825 9.0654 7.0741
## 2016-05-31 8.6195 9.7067 9.2148 7.1452
## 2016-06-01 8.4780 9.6141 9.2100 7.1499
## 2016-06-02 8.4382 9.4819 9.2738 7.2401
## 2016-06-03 8.2280 9.6671 9.4426 7.2484
## 2016-06-06 8.5875 9.6659 9.4019 7.2447
## 2016-06-07 8.7217 9.5181 9.3097 7.2312
## 2016-06-08 8.6950 9.4468 9.2516 7.2210
## 2016-06-09 9.1467 9.8285 9.4264 7.2897
## 2016-06-10 11.1559 10.8856 9.9497 7.4271
## 2016-06-13 13.5540 12.1481 10.3611 7.6347
## 2016-06-14 13.5442 12.0992 10.3388 7.6169
## 2016-06-15 13.0400 11.8986 10.1196 7.5187
## 2016-06-16 12.7169 11.6311 10.1662 7.6000
## 2016-06-17 13.1130 11.8132 10.1710 7.5219
## 2016-06-20 12.6100 11.2902 9.9078 7.4782
## 2016-06-21 13.1011 11.3691 10.0545 7.5068
## 2016-06-22 14.2086 11.7374 10.2111 7.5583
## 2016-06-23 11.7417 10.4052 9.5606 7.4732
## 2016-06-24 15.6638 12.8743 10.2549 7.5000
## [1] "SPX Skews(90, 110)"
SPX Skew (Put)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 9.4264 6.9625 5.3008 3.9265 3.1885 2.6832
## 2016-05-31 9.5647 6.9345 5.2593 3.9198 3.1889 2.6755
## 2016-06-01 9.6853 6.9455 5.2837 3.9093 3.1844 2.6530
## 2016-06-02 9.7673 6.9633 5.3172 3.9539 3.2232 2.6903
## 2016-06-03 9.7025 7.0055 5.3125 3.9687 3.2292 2.6760
## 2016-06-06 9.9538 7.0541 5.3574 3.9805 3.2316 2.6755
## 2016-06-07 10.5518 7.1085 5.3584 3.9840 3.2479 2.6829
## 2016-06-08 10.9700 7.2400 5.4021 3.9792 3.2540 2.6898
## 2016-06-09 10.9008 7.2949 5.4261 4.0036 3.2712 2.7054
## 2016-06-10 11.7743 7.4941 5.4866 4.0180 3.2882 2.7238
## 2016-06-13 12.8622 7.8675 5.6049 4.0892 3.3397 2.7537
## 2016-06-14 11.9317 7.5655 5.5060 4.0532 3.2966 2.7516
## 2016-06-15 11.2000 7.5429 5.4453 4.0164 3.2633 2.7098
## 2016-06-16 11.0300 7.5507 5.4924 4.0600 3.3000 2.7467
## 2016-06-17 10.6064 7.4694 5.4098 4.0248 3.2670 2.7263
## 2016-06-20 10.7836 7.4674 5.4130 4.0391 3.2775 2.7192
## 2016-06-21 10.9722 7.5533 5.4336 4.0248 3.2746 2.7175
## 2016-06-22 11.3591 7.6369 5.5115 4.0588 3.2918 2.7466
## 2016-06-23 11.7587 7.5824 5.5064 4.1042 3.3384 2.7742
## 2016-06-24 12.0015 7.4455 5.3591 3.9707 3.2356 2.6844
## [1] "SPX Skews(90, 100)"
SPX Skew (Call)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 -1.8200 2.3200 3.7646 3.1476 2.8196 2.4053
## 2016-05-31 -0.9453 2.7722 3.9556 3.2254 2.8462 2.4156
## 2016-06-01 -1.2073 2.6686 3.9263 3.2406 2.8450 2.4038
## 2016-06-02 -1.3291 2.5185 3.9566 3.2863 2.8829 2.4303
## 2016-06-03 -1.4745 2.6615 4.1301 3.2797 2.8908 2.4278
## 2016-06-06 -1.3663 2.6119 4.0445 3.2642 2.8949 2.4204
## 2016-06-07 -1.8301 2.4096 3.9513 3.2471 2.8842 2.3986
## 2016-06-08 -2.2750 2.2068 3.8496 3.2418 2.8534 2.4066
## 2016-06-09 -1.7541 2.5336 4.0003 3.2860 2.9116 2.4230
## 2016-06-10 -0.6184 3.3915 4.4632 3.4091 2.9620 2.4692
## 2016-06-13 0.6918 4.2806 4.7562 3.5455 3.0171 2.5087
## 2016-06-14 1.6126 4.5337 4.8328 3.5637 3.0643 2.5359
## 2016-06-15 1.8400 4.3557 4.6743 3.5023 2.9922 2.4942
## 2016-06-16 1.6869 4.0804 4.6737 3.5400 3.0200 2.5026
## 2016-06-17 2.5067 4.3437 4.7612 3.4970 3.0273 2.5097
## 2016-06-20 1.8264 3.8228 4.4948 3.4391 2.9994 2.4979
## 2016-06-21 2.1289 3.8158 4.6210 3.4820 2.9664 2.4761
## 2016-06-22 2.8495 4.1005 4.6996 3.4995 2.9943 2.5182
## 2016-06-23 -0.0170 2.8228 4.0542 3.3690 2.9726 2.5544
## 2016-06-24 3.6623 5.4288 4.8958 3.5292 2.9785 2.5052
## [1] "SPX Skews(100, 110)"
SPX Calendar
## X30...91 X91...182 X91...365 X91...547
## 2016-05-27 -2.6321 -1.7013 -3.2824 -4.1402
## 2016-05-31 -2.0059 -1.5278 -2.9800 -3.7921
## 2016-06-01 -2.0455 -1.5309 -3.0759 -3.8194
## 2016-06-02 -2.2043 -1.6305 -3.2751 -4.0680
## 2016-06-03 -2.5934 -1.7173 -3.2648 -4.0924
## 2016-06-06 -2.1678 -1.6165 -3.1742 -4.0404
## 2016-06-07 -2.0174 -1.6809 -3.4046 -4.2781
## 2016-06-08 -2.1657 -1.6815 -3.4556 -4.2991
## 2016-06-09 -2.0635 -1.5805 -3.2614 -4.0764
## 2016-06-10 -1.5073 -1.2913 -2.6214 -3.3171
## 2016-06-13 -0.5347 -0.8237 -1.7506 -2.1623
## 2016-06-14 -0.5342 -0.7082 -1.5888 -2.1067
## 2016-06-15 -0.3357 -0.6796 -1.6087 -2.1320
## 2016-06-16 -0.4446 -0.7429 -1.8011 -2.3611
## 2016-06-17 -0.4052 -0.7689 -1.6625 -2.2803
## 2016-06-20 -0.3110 -0.8318 -1.9139 -2.6071
## 2016-06-21 -0.0118 -0.8353 -1.9404 -2.5177
## 2016-06-22 1.4162 -0.3740 -1.2227 -1.7643
## 2016-06-23 -0.1249 -0.9815 -2.2589 -3.0420
## 2016-06-24 1.5644 0.0718 -0.5579 -0.8912
## [1] "SPX ATM Calendar"
HSCEI
HSCEI ATM Vol (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 22.2540 23.4230 23.9215 23.9797 24.2284 24.3018
## 2016-05-30 23.6600 24.1097 24.3507 24.1786 24.2671 24.2427
## 2016-05-31 24.4097 24.3300 24.1136 23.9924 24.2531 24.1931
## 2016-06-01 24.3531 24.0333 24.3616 24.1800 24.2777 24.2078
## 2016-06-02 23.8996 23.5421 24.1285 24.1390 24.1607 24.0000
## 2016-06-03 23.8521 23.4730 23.7869 23.8286 23.8514 23.7492
## 2016-06-06 23.0021 22.7260 23.2698 23.7308 23.5814 23.5612
## 2016-06-07 23.1603 22.4323 22.9764 23.2191 23.2958 23.3642
## 2016-06-08 22.7448 22.1353 22.7795 23.0192 23.2985 23.2065
## 2016-06-10 24.3879 23.1500 23.4455 23.3692 23.7520 23.6648
## 2016-06-13 27.6407 25.5137 25.1709 24.8745 24.8747 24.6506
## 2016-06-14 28.1448 25.8293 25.5918 25.2091 25.0749 24.9131
## 2016-06-15 26.0248 25.0300 25.7993 24.9385 24.8785 24.8057
## 2016-06-16 26.8476 26.1667 26.1292 25.2814 25.4771 25.1918
## 2016-06-17 26.1214 25.2993 25.4286 25.0020 25.0054 24.8879
## 2016-06-20 25.7376 24.0833 24.3170 24.1880 24.2901 24.2044
## 2016-06-21 25.5086 24.1640 24.3142 24.0587 24.1921 24.0846
## 2016-06-22 26.4407 24.6347 24.4814 24.2031 24.2569 24.1730
## 2016-06-23 26.5021 24.1553 24.2838 24.1803 24.1210 24.0325
## 2016-06-24 27.6321 26.1020 25.7384 25.3208 25.0858 25.0800
## [1] "HSCEI ATM Vols"
HSCEI ATM Vol (365)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 22.2540 23.4230 23.9215 23.9797 24.2284 24.3018
## 2016-05-30 23.6600 24.1097 24.3507 24.1786 24.2671 24.2427
## 2016-05-31 24.4097 24.3300 24.1136 23.9924 24.2531 24.1931
## 2016-06-01 24.3531 24.0333 24.3616 24.1800 24.2777 24.2078
## 2016-06-02 23.8996 23.5421 24.1285 24.1390 24.1607 24.0000
## 2016-06-03 23.8521 23.4730 23.7869 23.8286 23.8514 23.7492
## 2016-06-06 23.0021 22.7260 23.2698 23.7308 23.5814 23.5612
## 2016-06-07 23.1603 22.4323 22.9764 23.2191 23.2958 23.3642
## 2016-06-08 22.7448 22.1353 22.7795 23.0192 23.2985 23.2065
## 2016-06-10 24.3879 23.1500 23.4455 23.3692 23.7520 23.6648
## 2016-06-13 27.6407 25.5137 25.1709 24.8745 24.8747 24.6506
## 2016-06-14 28.1448 25.8293 25.5918 25.2091 25.0749 24.9131
## 2016-06-15 26.0248 25.0300 25.7993 24.9385 24.8785 24.8057
## 2016-06-16 26.8476 26.1667 26.1292 25.2814 25.4771 25.1918
## 2016-06-17 26.1214 25.2993 25.4286 25.0020 25.0054 24.8879
## 2016-06-20 25.7376 24.0833 24.3170 24.1880 24.2901 24.2044
## 2016-06-21 25.5086 24.1640 24.3142 24.0587 24.1921 24.0846
## 2016-06-22 26.4407 24.6347 24.4814 24.2031 24.2569 24.1730
## 2016-06-23 26.5021 24.1553 24.2838 24.1803 24.1210 24.0325
## 2016-06-24 27.6321 26.1020 25.7384 25.3208 25.0858 25.0800
## [1] "HSCEI ATM Vols"
HSCEI Skew (182)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 0.9690 2.9178 3.7068 3.2942 2.7834 2.4033
## 2016-05-30 1.1500 2.1552 3.3540 3.2087 2.7142 2.3542
## 2016-05-31 0.8286 3.4700 3.8225 3.1815 2.7085 2.3608
## 2016-06-01 1.0303 3.3793 3.1858 2.7892 2.6131 2.4026
## 2016-06-02 0.6437 3.3460 2.8862 2.6815 2.5378 2.3400
## 2016-06-03 0.1731 3.2460 3.0089 2.6243 2.5043 2.3175
## 2016-06-06 -0.1362 3.2960 2.9644 2.5453 2.4501 2.2905
## 2016-06-07 -1.3238 2.8957 2.6587 2.3421 2.3036 2.1938
## 2016-06-08 -1.4393 2.7940 2.5453 2.2792 2.2612 2.1532
## 2016-06-10 -0.2028 2.3500 2.7537 2.5530 2.4494 2.2778
## 2016-06-13 3.5597 5.0970 3.7479 2.9634 2.7385 2.4814
## 2016-06-14 5.0462 6.0073 4.0487 3.0663 2.8281 2.5608
## 2016-06-15 4.6210 5.2350 3.6846 2.9508 2.7354 2.4786
## 2016-06-16 7.2838 6.6067 4.4523 3.3471 3.0221 2.6918
## 2016-06-17 4.9966 5.8170 4.1043 3.1830 2.9165 2.6087
## 2016-06-20 3.4762 4.3933 3.4046 2.8878 2.6894 2.4505
## 2016-06-21 3.7100 4.6810 3.4796 2.8641 2.7066 2.4788
## 2016-06-22 4.9769 5.2847 3.5023 2.8008 2.6554 2.4566
## 2016-06-23 7.1952 5.4217 3.3408 2.7092 2.5743 2.3658
## 2016-06-24 8.1310 6.3260 3.9416 3.1026 2.8469 2.5466
## [1] "HSCEI Skews(90, 110)"
HSCEI Skew (365)
HSCEI Skew (Put)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 6.0940 3.4322 2.6835 2.0143 1.6580 1.4104
## 2016-05-30 5.3200 3.1070 2.5664 1.9757 1.6227 1.3851
## 2016-05-31 4.5707 3.3000 2.6753 1.9597 1.6278 1.3938
## 2016-06-01 4.5059 3.2833 2.4525 1.8523 1.6392 1.4482
## 2016-06-02 4.2521 3.4631 2.3515 1.7975 1.6052 1.4172
## 2016-06-03 4.0128 3.3300 2.3807 1.7700 1.5929 1.4061
## 2016-06-06 4.2734 3.5700 2.3790 1.7329 1.5602 1.3993
## 2016-06-07 3.5083 3.2297 2.1752 1.6242 1.4945 1.3562
## 2016-06-08 3.3190 3.1640 2.1076 1.5854 1.4627 1.3254
## 2016-06-10 3.7914 2.7033 2.1681 1.7192 1.5467 1.3858
## 2016-06-13 6.2317 4.2520 2.6959 1.9316 1.6993 1.4873
## 2016-06-14 7.1269 4.7933 2.8705 1.9830 1.7390 1.5262
## 2016-06-15 7.2607 4.4350 2.6907 1.9192 1.6869 1.4843
## 2016-06-16 8.3303 4.9953 3.0400 2.1129 1.8386 1.5958
## 2016-06-17 7.3693 4.6623 2.8714 2.0377 1.7858 1.5539
## 2016-06-20 6.4848 3.9800 2.5262 1.8878 1.6609 1.4684
## 2016-06-21 6.3886 4.1020 2.5613 1.8849 1.6979 1.4977
## 2016-06-22 7.0669 4.2340 2.5030 1.8323 1.6469 1.4659
## 2016-06-23 8.1259 4.4907 2.4715 1.7905 1.6156 1.4252
## 2016-06-24 8.2055 4.7220 2.7353 1.9815 1.7463 1.5053
## [1] "HSCEI Skews(90, 100)"
HSCEI Skew (Call)
## X30.Days X91.Days X182.Days X365.Days X547.Days X730.Days
## 2016-05-27 -5.1250 -0.5144 1.0233 1.2799 1.1254 0.9929
## 2016-05-30 -4.1700 -0.9518 0.7876 1.2330 1.0914 0.9691
## 2016-05-31 -3.7421 0.1700 1.1473 1.2219 1.0807 0.9669
## 2016-06-01 -3.4755 0.0960 0.7333 0.9369 0.9738 0.9545
## 2016-06-02 -3.6084 -0.1171 0.5347 0.8841 0.9326 0.9229
## 2016-06-03 -3.8397 -0.0840 0.6282 0.8543 0.9114 0.9114
## 2016-06-06 -4.4097 -0.2740 0.5854 0.8124 0.8899 0.8912
## 2016-06-07 -4.8321 -0.3340 0.4835 0.7179 0.8091 0.8377
## 2016-06-08 -4.7583 -0.3700 0.4377 0.6938 0.7985 0.8278
## 2016-06-10 -3.9941 -0.3533 0.5856 0.8337 0.9027 0.8920
## 2016-06-13 -2.6721 0.8450 1.0520 1.0318 1.0391 0.9941
## 2016-06-14 -2.0807 1.2140 1.1781 1.0833 1.0892 1.0346
## 2016-06-15 -2.6397 0.8000 0.9940 1.0315 1.0485 0.9943
## 2016-06-16 -1.0466 1.6113 1.4123 1.2343 1.1836 1.0959
## 2016-06-17 -2.3728 1.1547 1.2329 1.1453 1.1307 1.0548
## 2016-06-20 -3.0086 0.4133 0.8785 1.0000 1.0285 0.9822
## 2016-06-21 -2.6786 0.5790 0.9182 0.9791 1.0087 0.9812
## 2016-06-22 -2.0900 1.0507 0.9993 0.9685 1.0085 0.9907
## 2016-06-23 -0.9307 0.9310 0.8692 0.9187 0.9587 0.9405
## 2016-06-24 -0.0745 1.6040 1.2064 1.1211 1.1005 1.0413
## [1] "HSCEI Skews(100, 110)"
HSCEI Calendar
## X30...91 X91...182 X91...365 X91...547
## 2016-05-27 -1.1690 -0.4985 -0.5567 -0.8054
## 2016-05-30 -0.4497 -0.2410 -0.0689 -0.1574
## 2016-05-31 0.0797 0.2164 0.3376 0.0769
## 2016-06-01 0.3198 -0.3283 -0.1467 -0.2444
## 2016-06-02 0.3575 -0.5864 -0.5969 -0.6186
## 2016-06-03 0.3791 -0.3139 -0.3556 -0.3784
## 2016-06-06 0.2761 -0.5438 -1.0048 -0.8554
## 2016-06-07 0.7280 -0.5440 -0.7868 -0.8635
## 2016-06-08 0.6095 -0.6441 -0.8839 -1.1631
## 2016-06-10 1.2379 -0.2955 -0.2192 -0.6020
## 2016-06-13 2.1270 0.3428 0.6392 0.6389
## 2016-06-14 2.3155 0.2376 0.6202 0.7544
## 2016-06-15 0.9948 -0.7693 0.0915 0.1515
## 2016-06-16 0.6809 0.0374 0.8852 0.6895
## 2016-06-17 0.8220 -0.1292 0.2974 0.2939
## 2016-06-20 1.6543 -0.2337 -0.1047 -0.2068
## 2016-06-21 1.3446 -0.1502 0.1053 -0.0281
## 2016-06-22 1.8060 0.1532 0.4316 0.3777
## 2016-06-23 2.3467 -0.1285 -0.0250 0.0343
## 2016-06-24 1.5301 0.3636 0.7812 1.0162
## [1] "HSCEI ATM Calendar"
SABR
Stoxx
## [1] "Rho"
## RHO RHO.1 RHO.2 RHO.3
## 2016-05-30 -0.4791557 -0.5064431 -0.4998482 -0.3561078
## 2016-05-31 -0.4876069 -0.5130390 -0.5276021 -0.3570357
## 2016-06-01 -0.5144018 -0.5301216 -0.5316264 -0.3832002
## 2016-06-02 -0.5181727 -0.5378870 -0.5333068 -0.3931190
## 2016-06-03 -0.5209832 -0.5321665 -0.5304839 -0.4022108
## 2016-06-06 -0.5203303 -0.5343805 -0.5349151 -0.4026764
## 2016-06-07 -0.5151492 -0.5281595 -0.5209357 -0.3803138
## 2016-06-08 -0.5143234 -0.5289036 -0.5218671 -0.3878665
## 2016-06-09 -0.5185629 -0.5328946 -0.5313268 -0.3948124
## 2016-06-10 -0.5514668 -0.5605930 -0.5519279 -0.3957308
## 2016-06-13 -0.5680219 -0.5787021 -0.5871690 -0.4528001
## 2016-06-14 -0.5719047 -0.5819622 -0.5859949 -0.4439936
## 2016-06-15 -0.5779163 -0.5854697 -0.5697579 -0.4335953
## 2016-06-16 -0.6101315 -0.6142242 -0.5997585 -0.4489913
## 2016-06-17 -0.5893643 -0.5938399 -0.5851336 -0.4423632
## 2016-06-20 -0.5685007 -0.5756142 -0.5631116 -0.4330936
## 2016-06-21 -0.5848226 -0.5839996 -0.5599935 -0.4122862
## 2016-06-22 -0.5980954 -0.5937345 -0.5743030 -0.4305425
## 2016-06-23 -0.5383069 -0.5199543 -0.5055790 -0.4093092
## 2016-06-24 -0.5997906 -0.6157725 -0.6194693 -0.4813979
## [1] "Alpha"
## ALPHA ALPHA.1 ALPHA.2 ALPHA.3
## 2016-05-30 10.93979 11.31223 11.50770 11.32690
## 2016-05-31 11.27745 11.53922 11.71619 11.43060
## 2016-06-01 11.79315 11.87536 11.85378 11.46675
## 2016-06-02 11.58876 11.76547 11.77310 11.43995
## 2016-06-03 11.70597 11.75910 11.76276 11.43615
## 2016-06-06 11.78650 11.83089 11.75995 11.38644
## 2016-06-07 11.57561 11.68628 11.63742 11.35078
## 2016-06-08 11.81669 11.83868 11.72032 11.37751
## 2016-06-09 12.23312 12.12366 11.93486 11.46874
## 2016-06-10 13.46321 12.84570 12.32833 11.61114
## 2016-06-13 14.46779 13.39898 12.73412 11.86263
## 2016-06-14 15.33572 13.96402 12.90166 11.85400
## 2016-06-15 15.11393 13.75503 12.71882 11.78333
## 2016-06-16 15.97913 14.18232 12.94806 11.86193
## 2016-06-17 15.12466 13.61629 12.69631 11.77132
## 2016-06-20 13.69015 12.76261 12.13365 11.46956
## 2016-06-21 13.82582 12.79126 12.10190 11.44924
## 2016-06-22 14.06377 12.96608 12.26740 11.64567
## 2016-06-23 12.84528 12.16914 11.83876 11.62301
## 2016-06-24 15.03251 13.68152 12.73516 11.83633
## [1] "Vol"
## VOL VOL.1 VOL.2 VOL.3
## 2016-05-30 1.1862815 0.8493531 0.5799474 0.4001716
## 2016-05-31 1.1840966 0.8567981 0.5537348 0.3951932
## 2016-06-01 1.1385069 0.8338590 0.5569908 0.3927287
## 2016-06-02 1.1337586 0.8281356 0.5495927 0.3918486
## 2016-06-03 1.1133413 0.8393057 0.5667076 0.3844991
## 2016-06-06 1.1148875 0.8279664 0.5611923 0.3837975
## 2016-06-07 1.1430163 0.8399529 0.5693943 0.3890320
## 2016-06-08 1.1346607 0.8318739 0.5645824 0.3854258
## 2016-06-09 1.1417722 0.8334432 0.5550364 0.3857412
## 2016-06-10 1.1069482 0.8103262 0.5398118 0.3836373
## 2016-06-13 1.0805046 0.7909046 0.5167148 0.3633789
## 2016-06-14 1.0806315 0.8020416 0.5341710 0.3683247
## 2016-06-15 1.0902121 0.8104573 0.5408699 0.3702828
## 2016-06-16 1.0091007 0.7870018 0.5317491 0.3657216
## 2016-06-17 1.0562585 0.7990295 0.5516337 0.3695746
## 2016-06-20 1.1421985 0.8271044 0.5710265 0.3872790
## 2016-06-21 1.1410816 0.8149230 0.5731928 0.3921661
## 2016-06-22 1.1471309 0.8086327 0.5473473 0.3669575
## 2016-06-23 1.2260305 0.8631986 0.6238024 0.4865824
## 2016-06-24 0.9343814 0.6960738 0.4861283 0.3475231
Spx
HSCEI
KOSPI200