The two files are:
- distribute.R: illustrates the use of the csv data file.
- distribute.csv.gz: the data file.
From memory, here are the fields:
- yyyymmddnow
- date
- call based data (.c)
-
- meanivolday.c
- average
- p95.c,n05.c,Nd.c,Nat0.c,ivol.at.K0.c
- N is number of options used in calc. p95.c and n05.c are probably the options sitting at the 5th and 95th percentile for the at-the-money options (which are counted as such if they are within 2% of the current strikeprice).
- ivol.at.Km16.c,ivol.at.Km16b.c,code.c
- put based data (.p)
-
- meanivolday.p
- p95.p,n05.p,Nd.p,Nat0.p,ivol.at.K0.p
- ivol.at.Km16.p,ivol.at.Km16b.p,code.p
- x,logsigma64
- historical volatility
The data was created for Ivo Welch. The (Time-Varying) Importance of Disaster Risk. Financial Analysts Journal 72-5, Sep/Oct 2016. doi: 10.2469/faj.v72.n5.3.