sp500.2013.04.19: S&P 500 Index Options on 2013-04-19

In RND: Risk Neutral Density Extraction Package

Description

This dataset contains S&P 500 options with 62 days to expiration at the end of the business day April 19, 2013. On April 19, 2013, S&P 500 closed at 1555.25.

Usage

data(sp500.2013.04.19)

Format

A data frame with 171 observations on the following 19 variables.

bidsize.c

call bid size

bid.c

call bid price

ask.c

call ask price

asksize.c

call ask size

chg.c

change in call price

impvol.c

call implied volatility

vol.c

call volume

openint.c

call open interest

delta.c

call delta

strike

option strike

bidsize.p

put bid size

bid.p

put bid price

ask.p

put ask price

asksize.p

put ask size

chg.p

change in put price

impvol.p

put implied volatility

vol.p

put volume

openint.p

put open interest

delta.p

put delta

Source

http://www.cboe.com/DelayedQuote/QuoteTableDownload.aspx

Examples

data(sp500.2013.04.19)

Example output

RND documentation built on May 1, 2019, 10:52 p.m.