learnfin_ds_1: learnfin Data Set 1
In learnfin/learnfin: Statistical Learning Methods for Financial Decision Making

This data set consists of European option contracts of S&P 500. Data set is separated into Training and Prediction sets defined in the t_or_p column. This particular data set consists of contracts from 2008-09-09 to 2009-04-08 with the change point at 2009-03-09 (first date of the prediction data).

1	learnfin_ds_1

`date`	Date of the contract (format: YYYY-MM-DD)
`option_symbol`	Unique identifier of the option. First three letters (SPX) defines the symbol of the underlying asset. Next 6 digits denote the expiration date (e.g. 080920 - Sep 20, 2008). Next character defines whether the contract is a (C)all or a (P)ut option. Last digits include the strike price.
`type`	Option type (call or put).
`underlying_price`	Price of the underlying at the time of the option.
`strike_price`	Strike price.
`moneyness`	Moneyness. Relative position of the spot price (S0) to the strike price (K).
`maturity`	Maturity. Time in trading days to expiration.
`market_price`	(Closing) Price of the contract determined by the market.
`model_price`	Price of the contract determined by the pricing model. By default all model prices are determined by a Black-Scholes model that assumes constant continuous risk-free and dividend rates and volatility of standard deviation of the log-returns with 2 years of lookback period.
`t_or_p`	Whether the contract should be used in the Training set or Prediction set. Training set should be used to train the clusters (in-sample estimation) and Prediction set should be used to get out-of-sample estimates.
`rf_rate`	Annualized risk free rate in percentage.
`dividend_yield`	Annualized dividend yield in percentage.