R/data.R

In GarvinK/vixr: Replication of intrada VIX quotes

#' S&P 500 INTRADAY DATA 
#'
#' A dataset containing intraday S&P 500 spot and option prices
#' diamonds.
#'
#' @format A data frame with 85560  rows and 28 variables:
#' \describe{
#'   \item{underlying_symbol}{Ticker Symbol}
#'   \item{quote_datetime}{Day and time of the quote}
#'   \item{root}{root}
#'   \item{expiration}{Expiration date of the option}
#'   \item{strike}{Strike price}
#'   \item{option_type}{Type of the option, i.e. call or put}
#'   \item{open}{First open price}
#'   \item{high}{Highest price}
#'   \item{low}{Lowest price}
#'   \item{close}{Last price of the day}
#'   \item{trade_volume}{Trade volume}
#'   \item{bid_size}{Bid size}
#'   \item{bid}{Bid price}
#'   \item{ask_size}{Ask size}
#'   \item{ask}{Ask price}
#'   \item{underlying_bid}{Bid of the underlying}
#'   \item{underlying_ask}{Ask of the underlying}
#'   \item{implied_underlying_price}{Implied underlying price}
#'   \item{active_underlying_price}{Active underlying price}
#'   \item{implied_volatility}{Implied volatility}
#'   \item{delta}{Delta}
#'   \item{gamma}{Gamma}
#'   \item{theta}{Theta}
#'   \item{vega}{ Vega}
#'   \item{rho}{Rho}
#'   \item{QuoteTime}{Time of the quote}
#'   \item{QuoteDate}{Date of the quote}
#'    \item{X}{index}
#'   ...
#' }
"VIX_SampleData"