atm: S&P500 Implied Volatilities - ATM
In ivol: Option-implied Informations
Description
Usage
Format
Source
Description
This dataset covers daily time-series of Black-Scholes implied volatilities from at-the-money Options on the S&P500 Equity Index, aka implied volatility term-structure.
Usage
1
Format
A data.frame with 2845 observations and 8 different maturities. Column names indicate different maturities: e.g. T30 means ATM implied volatility for the 30-day horizon. Row names represent date of observation.
Source
Thomson Reuter's Datastream
ivol documentation built on Sept. 19, 2019, 3 a.m.
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Description Usage Format Source
Description
This dataset covers daily time-series of Black-Scholes implied volatilities from at-the-money Options on the S&P500 Equity Index, aka implied volatility term-structure.
Usage
1 |
Format
A data.frame with 2845 observations and 8 different maturities. Column names indicate different maturities: e.g. T30 means ATM implied volatility for the 30-day horizon. Row names represent date of observation.
Source
Thomson Reuter's Datastream
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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