option | moneyness | 0–15 days | 16–30 days | 31–60 days | 61–90 days | 91+ days | Total |
---|---|---|---|---|---|---|---|
deep OTM | 372 | 4327 | 27089 | 23799 | 10494 | 66081 | |
OTM | 6501 | 11635 | 22572 | 19567 | 8959 | 69234 | |
ATM | 8199 | 9681 | 17385 | 12141 | 5368 | 52774 | |
ITM | 3880 | 4510 | 5373 | 1484 | 761 | 16008 | |
deep ITM | 1205 | 1935 | 3032 | 1044 | 1335 | 8551 | |
total CALL | 20157 | 32088 | 75451 | 58035 | 26917 | 212648 | |
deep OTM | 6964 | 20580 | 44831 | 31225 | 7768 | 111368 | |
OTM | 6109 | 8142 | 15466 | 12674 | 5631 | 48022 | |
ATM | 8028 | 9669 | 17014 | 12001 | 6413 | 53125 | |
ITM | 4278 | 4826 | 7427 | 1790 | 1096 | 19417 | |
deep ITM | 2411 | 3002 | 3098 | 1161 | 1962 | 11634 | |
total PUT | 27790 | 46219 | 87836 | 58851 | 22870 | 243566 | |
47947 | 78307 | 163287 | 116886 | 49787 | 456214 |
sample with opening jump effects | sample without opening and mid-session jump effects | ||||
---|---|---|---|---|---|
N | 6745 | 6504 | |||
Mean | -0,000025394 | -0,000014111 | |||
Median | 0,000032644 | 0,000036116 | |||
Standard Deviation | 0,0030907 | 0,0028429 | |||
Minimum | -0,0319108 | -0,0319108 | |||
Maximum | 0,0216127 | 0,0216127 | |||
Kurtosis | 10,4364219 | 12,7560437 | |||
Skewness | -0,6227228 | 0,7206586 | |||
Kolmogorov-Smirnov | Statistic | 0,093349 | 0,086497 | ||
Jarque-Berra | Statistic | 30995,9195 | 44584,7971 |