CrosbyFrauWTI

Published: 26 August 2022| Version 2 | DOI: 10.17632/ffdgbb32f4.2
Contributors:
Carme Frau,
John Crosby

Description

WTI light sweet crude oil - futures and plain vanilla option prices.

Files

Steps to reproduce

The information in these files is structures as follows: e.g. 40389,1,0.3213,1,79.39,0.1452,77.5,0.0019,1. Each value/position represents: 1 - observation date 2 - contract (1 refers to M2, 2 refers to M3, 3 refers to M4, 4 refers to M5, 5 refers to M6, 6 refers to Q1, 7 refers to Q2) 3 - quoted implied volatility (0.32 is 32%) 4 - option type (0 is put, 1 is call) 5 - futures price 6 - time to maturity (years) 7 - strike level 8 - OIS interest rates (0.01 is 1%) 9 - in (1) or out (0) - it is out (we do not consider this option into our analysis) if any variable is not valid.

Institutions

University of Maryland at College Park Robert H Smith School of Business, Universidad Complutense de Madrid

Categories

Crude Oil

License