oil.2012.10.01


  This dataset contains West Texas Intermediate (WTI) crude oil options with 43 days to expiration at the end of 
  the business day October 1, 2012.  On October 1, 2012, WTI closed at 92.44.


WTI Crude oil options

This package is a collection of various functions to extract the implied risk neutral density from option.

Kam Hamidieh

Risk Neutral Density Extraction Package

oil.2012.10.01 function

A data frame with 332 observations on the following 7 variables.
  <dl>
    <dt><code>type</code></dt><dd>a factor with levels <code>C</code> for call option <code>P</code> for put option</dd> <dt><code>strike</code></dt><dd>option strike</dd> <dt><code>settlement</code></dt><dd>option settlement price</dd> <dt><code>openint</code></dt><dd>option open interest</dd> <dt><code>volume</code></dt><dd>trading volume</dd> <dt><code>delta</code></dt><dd>option delta</dd> <dt><code>impliedvolatility</code></dt><dd>option implied volatility</dd> </dl> 

Format

CME posts sample data at:
http://www.cmegroup.com/market-data/datamine-historical-data/endofday.html

oil.2012.10.01: West Texas Intermediate Crude Oil Options on 2013-10-01

Description

Usage

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Format

Source

Examples